Ronghua Luo, Yi Liu and Wei Lan
Under the classical mean-variance framework, the purpose of this paper is to investigate the properties of the instability of minimal variance portfolio and then propose a novel…
Abstract
Purpose
Under the classical mean-variance framework, the purpose of this paper is to investigate the properties of the instability of minimal variance portfolio and then propose a novel penalized expected risk criterion (PERC) for optimal portfolio selection.
Design/methodology/approach
The proposed method considers not only a portfolio’s expected risk, but also its instability that is quantified by the variance of the estimated portfolio weights. This study tests the out-of-sample performance of various portfolio selection methods on both China and US stock markets.
Findings
It is very useful to control portfolio stability in real application of portfolio selection. The empirical results on both US and China stock markets show that PERC portfolio effectively controls turnover and consequently the transaction cost, and that is why it is so competing compared with other alternative methods.
Research limitations/implications
The findings suggest that the rebalancing turnover and the associated transaction cost that is usually ignored in theoretical analysis play a very important role in real investment.
Practical implications
For investors, especially institutional investors, the rebalancing turnover and corresponding transaction cost must be carefully addressed. The variance of the estimated portfolio weights is a good candidate to quantify portfolio instability.
Originality/value
This study addresses the important role of portfolio instability and proposes a novel expected risk criterion for portfolio selection after the quantitative definition of portfolio instability.
Details
Keywords
Huaqing Min, Chang'an Yi, Ronghua Luo and Jinhui Zhu
This paper aims to present a hybrid control approach that combines learning-based reactive control and affordance-based deliberate control for autonomous mobile robot navigation…
Abstract
Purpose
This paper aims to present a hybrid control approach that combines learning-based reactive control and affordance-based deliberate control for autonomous mobile robot navigation. Unlike many current navigation approaches which only use learning-based paradigms, the authors focus on how to utilize the machine learning methods for reactive control together with the affordance knowledge that is simultaneously inherent in natural environments to gain advantages from both local and global optimization.
Design/methodology/approach
The idea is to decompose the complex and large-scale robot navigation task into multiple sub-tasks and use the hierarchical reinforcement learning (HRL) algorithm, which is well-studied in the learning and control algorithm domains, to decompose the overall task into sub-tasks and learn a grid-topological map of the environment. An affordance-based deliberate controller is used to inspect the affordance knowledge of the obstacles in the environment. The hybrid control architecture is then designed to integrate the learning-based reactive control and affordance-based deliberate control based on the grid-topological and affordance knowledge.
Findings
Experiments with computer simulation and an actual humanoid NAO robot have demonstrated the effectiveness of the proposed hybrid approach for mobile robot navigation.
Originality/value
The main contributions of this paper are a new robot navigation framework that decomposes a complex navigation task into multiple sub-tasks using the HRL approach, and hybrid control architecture development that integrates learning-based and affordance-based paradigms for autonomous mobile robot navigation.
Details
Keywords
Dan Luo and Ronghua Ju
The purpose of the paper is to examine China's county‐level fiscal difficulties. A large portion of China's counties (county‐level cities) have to run with the shortage of…
Abstract
Purpose
The purpose of the paper is to examine China's county‐level fiscal difficulties. A large portion of China's counties (county‐level cities) have to run with the shortage of financial resources and huge government debt. To make a suitable policy to solve this problem is a top priority.
Design/methodology/approach
Using the first‐hand survey data, the paper compares nine sample counties whose economic development level is different, sums up the difficulties county‐level governments are facing and explores countermeasures from qualitative and quantitative approaches.
Findings
By studying the survey data of nine sample counties (cities), it is found that county‐level finance is facing the following problems: low‐level fiscal revenue, high debt risk and large gap of fiscal revenue between different counties (cities). Based on these findings, the paper provides suggestions such as ensuring that the county‐level government has sufficient fiscal resources and improving the transfer payment system.
Originality/value
Data from three well‐developed counties (county‐level cities), three middle‐income counties (county‐level cities) and three backward counties made the paper's findings more comprehensive and realistic and suggestions more practical.
Details
Keywords
Zhiqiang Zhang, Xingyu Zhu and Ronghua Wei
Large displacement misalignment under the action of active faults can cause complex three-dimensional deformation in subway tunnels, resulting in severe damage, distortion and…
Abstract
Purpose
Large displacement misalignment under the action of active faults can cause complex three-dimensional deformation in subway tunnels, resulting in severe damage, distortion and misalignment. There is no developed system of fortification and related codes to follow. There are scientific problems and technical challenges in this field that have never been encountered in past research and practices.
Design/methodology/approach
This paper adopted a self-designed large-scale active fault dislocation simulation loading system to conduct a similar model test of the tunnel under active fault dislocation based on the open-cut tunnel project of the Urumqi Rail Transit Line 2, which passes through the Jiujiawan normal fault. The test simulated the subway tunnel passing through the normal fault, which is inclined at 60°. This research compared and analyzed the differences in mechanical behavior between two types of lining section: the open-cut double-line box tunnel and the modified double-line box arch tunnel. The structural response and failure characteristics of the open-cut segmented lining of the tunnel under the stick-slip part of the normal fault were studied.
Findings
The results indicated that the double-line box arch tunnel improved the shear and longitudinal bending performance. Longitudinal cracks were mainly distributed in the baseplate, wall foot and arch foot, and the crack position was basically consistent with the longitudinal distribution of surrounding rock pressure. This indicated that the longitudinal cracks were due to the large local load of the cross-section of the structure, leading to an excessive local bending moment of the structure, which resulted in large eccentric failure of the lining and formation of longitudinal cracks. Compared with the ordinary box section tunnel, the improved double-line box arch tunnel significantly reduced the destroyed and damage areas of the hanging wall and footwall. The damage area and crack length were reduced by 39 and 59.3%, respectively. This indicates that the improved double-line box arch tunnel had good anti-sliding performance.
Originality/value
This paper adopted a self-designed large-scale active fault dislocation simulation loading system to conduct a similar model test of the tunnel under active fault dislocation. This system increased the similarity ratio of the test model, improved the dislocation loading rate and optimized the simulation scheme of the segmented flexible lining and other key factors affecting the test. It is of great scientific significance and engineering value to investigate the structure of subway tunnels under active fault misalignment, to study its force characteristics and damage modes, and to provide a technical reserve for the design and construction of subway tunnels through active faults.
Details
Keywords
Jun Chen, Alireza Tourani-Rad and Ronghua Yi
The purpose of this paper is to investigate the impact of short selling and margin trading on the price discovery and price informativeness of cross-listed firms, using a sample…
Abstract
Purpose
The purpose of this paper is to investigate the impact of short selling and margin trading on the price discovery and price informativeness of cross-listed firms, using a sample of Chinese firms listed on the China and Hong Kong stock exchanges.
Design/methodology/approach
The sample consists of 67 Chinese cross-listed firms on A-share and H-share markets out of which 18 firms are allowed to be sold short/ traded on margin since March 2010. Using pre- and post-event period, the authors compare and contrast various market microstructure variables. The contributions of the home (A-share) and overseas (H-share) markets to the incorporation of new information into prices are calculated following the permanent-transitory approach of Gonzalo and Granger (1995) as well as the adverse selection component of Lin et al. (1995).
Findings
The findings indicate that for the group of Chinese cross-listed firms that are not allowed to be sold short or bought on margin, the home (A-share) market contributes more to the price discovery process over time. However, for the group of cross-listed firms that are eligible for short selling and margin trading, the authors observe no significant difference in the contribution of either A- or H-share markets to the price discovery. The contribution of home market for these firms is even lower around the announcement of major events. The authors further find that while the short sale activities appears to be informative, measured by the adverse selection (AS) component of spread, on the whole they have not led the A-share markets to be more informative.
Research limitations/implications
The sample of cross-listed Chinese firms that are allowed to be sold short or bought on margin are rather limited. Hence, the results should be read with some caution.
Practical implications
The removal of short selling constraints appears to improve the contribution of the respective markets to the process price discovery, in the case for larger cross-listed firms.
Originality/value
The authors shed new lights on how the introduction of short selling and margin trading impacts on the price discovery of the Chinese cross-listed firms. A further contribution of the study is the use of high frequency data, while most of the previous studies on the Chinese markets use daily data.