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Research on asset allocation strategies based on robust risk parity model 基于稳健风险平价模型的资产配置策略研究

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-27 DOI: 10.1016/j.frl.2026.109586

Yifan Li , Zhenjun Ye

Risk parity strategies are widely adopted in asset allocation for their risk-balanced advantage, yet they remain vulnerable to financial market uncertainty—a critical pain point for global investors amid volatile market conditions. Addressing dynamic market uncertainty remains a key challenge in optimizing risk parity performance. This study proposes a robust risk parity (RRP) asset allocation strategy. By integrating an adaptive perturbation mechanism and a robust covariance matrix estimation method within the traditional risk parity framework, the proposed strategy effectively addresses the impact of financial market uncertainty on investment portfolios. The RRP strategy dynamically adjusts the perturbation radius and employs the robustly estimated covariance matrix. This approach enhances portfolio resilience and stability while preserving the balanced allocation of risk across assets. Empirical analysis, based on data from the Chinese market spanning the period 2012 to 2024, compares the performance of the robust risk parity strategy against traditional risk parity (TRP), equal weight (EW), global minimum variance (GMV), global maximum return (MaxRet), and enhanced risk parity (ERP). Numerical results demonstrate that the RRP strategy outperforms the alternative models. Specifically, by incorporating GARCH volatility forecasting, market state identification, and factor-structured covariance estimation, the RRP strategy achieves higher returns and a superior Sharpe ratio, alongside lower volatility and maximum drawdown, resulting in an improved Calmar ratio. This strategy effectively enhances return robustness and reduces portfolio risk under uncertain market conditions, offering actionable insights for investors navigating global market volatility.

风险平价策略因其风险平衡优势而被广泛应用于资产配置，但它们仍然容易受到金融市场不确定性的影响——这是全球投资者在动荡的市场条件下的一个关键痛点。解决动态市场的不确定性仍然是优化风险平价绩效的关键挑战。本文提出了一种稳健的风险平价（RRP）资产配置策略。该策略通过在传统风险平价框架中集成自适应摄动机制和稳健协方差矩阵估计方法，有效地解决了金融市场不确定性对投资组合的影响。RRP策略动态调整扰动半径，并采用鲁棒估计协方差矩阵。这种方法增强了投资组合的弹性和稳定性，同时保持了风险在资产之间的均衡分配。基于2012 - 2024年的中国市场数据，实证分析了稳健风险平价策略与传统风险平价（TRP）、等权重（EW）、全局最小方差（GMV）、全局最大收益（MaxRet）和增强风险平价（ERP）策略的表现。数值结果表明，RRP策略优于备选模型。具体而言，通过结合GARCH波动率预测、市场状态识别和因子结构协方差估计，RRP策略实现了更高的收益和更优的夏普比率，以及更低的波动率和最大的回撤率，从而提高了卡尔玛比率。该策略有效地提高了回报稳健性，并在不确定的市场条件下降低了投资组合风险，为投资者应对全球市场波动提供了可行的见解。

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引用次数: 0

Government myopia and corporate environmental investment: Evidence from urban policy text analysis 政府短视与企业环境投资：来自城市政策文本分析的证据

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-27 DOI: 10.1016/j.frl.2026.109583

Yaxin Wang , Siyu Wang , Yan Li

This study examines the impact of local governments’ short-term orientation on corporate environmental investment and its underlying mechanisms. Using data from Chinese nonfinancial A-share listed firms spanning 2014–2024, government myopia significantly suppresses corporate environmental investment. Specifically, local governments’ short-term performance orientation indirectly weakens firms’ environmental investments by influencing managerial short-termism and profit orientation. Moreover, local digital infrastructure focus and corporate pollution intensity have notable moderating roles in the relationship between government myopia and environmental investment, enhancing the negative effect of government myopia on corporate environmental investment. This study provides theoretical insights for policymakers to optimize local environmental policies, particularly balancing short-term performance pressure with long-term environmental goals, and offers new perspectives for corporate green investment decisions.

本研究探讨了地方政府短期取向对企业环境投资的影响及其潜在机制。利用2014-2024年中国非金融类a股上市公司的数据，政府短视显著抑制了企业环境投资。具体而言，地方政府的短期绩效导向通过影响管理者的短期性和利润导向，间接削弱了企业的环境投资。此外，地方数字基础设施关注度和企业污染强度对政府近视与环境投资的关系具有显著的调节作用，增强了政府近视对企业环境投资的负面影响。本研究为决策者优化地方环境政策，特别是平衡短期绩效压力和长期环境目标提供了理论见解，并为企业绿色投资决策提供了新的视角。

引用次数: 0

How does financial regulation drive financial technology innovation? The role of government subsidies and financing constraints 金融监管如何推动金融科技创新？政府补贴和融资约束的作用

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-26 DOI: 10.1016/j.frl.2026.109580

Chengshan Hang, Jingdong Yan, Wensheng Yan

Facing the numerous risks brought about by financial technology innovation, implementing scientific and effective financial regulation is a necessary means to maintain the stability of the national financial system and enhance the efficiency of the application of financial technology innovation. Based on the listed companies in the financial industry of Shanghai and Shenzhen A-share markets from 2012 to 2023, this paper uses the benchmark regression model, panel threshold regression model, and mediating effect model to empirically test the driving effect and mechanism of financial regulation on financial technology innovation. The research finds that the positive impact of financial regulation on financial technology innovation has a threshold effect., and government subsidies and financing constraints have mediating effects between the two. This study provides a useful reference for improving China's financial regulation model and enhancing the level of financial technology innovation.

面对金融科技创新带来的众多风险，实施科学有效的金融监管是维护国家金融体系稳定、提升金融科技创新应用效率的必要手段。本文以2012 - 2023年沪深两市a股金融行业上市公司为样本，运用基准回归模型、面板阈值回归模型和中介效应模型，实证检验金融监管对金融科技创新的驱动效应和机制。研究发现，金融监管对金融技术创新的正向影响存在门槛效应。，政府补贴和融资约束在两者之间起中介作用。本研究为完善中国金融监管模式、提升金融科技创新水平提供了有益的参考。

引用次数: 0

Media environmental coverage and corporate green innovation: A dual-mechanism test based on incurred regulatory pressure and institutional investors’ green attention 媒体环境报道与企业绿色创新：基于监管压力和机构投资者绿色关注的双机制检验

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-26 DOI: 10.1016/j.frl.2026.109581

Liang Chen , Kowkam Zhang , Longlong Duan

In the context of the “Carbon Peaking and Carbon Neutrality” objectives and the global green transition, media coverage of environmental issues has emerged as a crucial external monitoring and governance mechanism, steering corporations toward sustainable and green development. This paper examines how environmental media coverage affects green innovation, using data from listed companies between 2008 and 2023. Empirical findings demonstrate that environmental media coverage significantly promotes green innovation, primarily through two transmission channels: (1) Incurred regulatory, wherein media exposure strengthens governmental enforcement and public scrutiny, increasing firms’ compliance incentives; and (2) Resource allocation: media coverage improves firms’ environmental reputation in financial markets, increases institutional investors’ attention to green performance, and ultimately facilitates greater investment in green innovation. This study identifies novel drivers of corporate green innovation and underscores the positive role of environmental media coverage in stimulating such behavior, offering a fresh perspective on advancing ecological civilization.

在“碳峰值和碳中和”目标和全球绿色转型的背景下，媒体对环境问题的报道已经成为一种重要的外部监测和治理机制，引导企业走向可持续和绿色发展。本文利用2008年至2023年上市公司的数据，考察了环境媒体报道对绿色创新的影响。实证结果表明，环境媒体报道对绿色创新有显著促进作用，主要通过两种传播渠道：(1)引发监管，媒体曝光强化了政府执法和公众监督，增加了企业的合规激励；(2)资源配置：媒体报道提高了企业在金融市场上的环境声誉，增加了机构投资者对绿色绩效的关注，最终促进了更多的绿色创新投资。本研究发现了企业绿色创新的新驱动因素，并强调了环境媒体报道在促进企业绿色创新行为中的积极作用，为推进生态文明提供了新的视角。

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引用次数: 0

Mortgage pricing, borrower-based limits, and retention 抵押贷款定价，基于借款人的限制和保留

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-26 DOI: 10.1016/j.frl.2026.109576

Endre J. Reite, Are Oust, Rune Bach, Jakob Holst

This study examines how initial mortgage pricing and macroprudential lending limits shape the duration of the client–bank relationship. Using 14,020 Norwegian mortgage contracts issued between 2011 and 2022, we estimate a Cox proportional hazards model and a complementary difference-in-differences framework around the 2017 tightening of debt-to-income and loan-to-value caps. The results indicate that higher loan-to-value and debt-to-income ratios shorten relationship duration, while credit risk became less influential after 2017. Borrowers receiving the lowest initial rates are most likely to switch, consistent with stronger price sensitivity. The findings suggest that regulation shifts behavioral responses from risk-based to rule-based constraints. Although associational, the evidence contributes to the understanding of how pricing and regulation jointly affect customer retention and competition in mortgage markets.

本研究探讨了初始抵押贷款定价和宏观审慎贷款限制如何塑造客户-银行关系的持续时间。使用2011年至2022年之间发布的14,020份挪威抵押贷款合同，我们估计了Cox比例风险模型和2017年债务收入比和贷款价值比上限收紧前后的互补差异框架。结果表明，较高的贷款价值比和债务收入比缩短了关系持续时间，而信用风险在2017年后的影响减弱。获得最低初始利率的借款人最有可能转换，这与更强的价格敏感性相一致。研究结果表明，监管将行为反应从基于风险的转变为基于规则的约束。尽管相关，证据有助于理解定价和监管如何共同影响抵押贷款市场的客户保留和竞争。

引用次数: 0

Cash or card – combat or coexistence? A non-cooperative differential game approach 现金还是卡牌——战斗还是共存？非合作微分对策方法

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-26 DOI: 10.1016/j.frl.2026.109582

Paolo Bartesaghi , Edoardo Beretta , Marco Desogus , Ralf Korn

The present letter analyses the current evolution of the monetary landscape mostly characterized by means of payments based on digitization (e.g., credit/debit cards) to the disadvantage of physical ones (e.g., cash). In parallel, pleas for a more sustainable lifestyle are increasingly heard by the banking and financial sector providing payment solutions, which should be also perceived to be sufficiently secure against frauds. For instance, fraud losses due to identity theft are at a cross-country level on the surge for credit-card payments while cash is considered less practical and connected with operational and logistical challenges (e.g., production and issuance, return, sorting and destruction). In the light of these developments and trade-offs, we derive the optimal combination of (digital versus physical) means of payments to pay in an environmentally sustainable and safe way. By means of a non-cooperative differential game, this letter provides a baseline symmetric Nash model supplemented by a Stackelberg extension capturing realistic leader-follower dynamics and calibrates both frameworks to European payment data. We derive closed-form solutions and discuss coexistence conditions for optimal payment systems and suggest directions for future, empirically more sophisticated extensions.

本信函分析了当前货币格局的演变，其主要特征是基于数字化（例如，信用卡/借记卡）的支付方式，而不利于实物支付（例如，现金）。与此同时，提供支付解决方案的银行和金融部门越来越多地听到对更可持续生活方式的呼吁，这些解决方案也应该被认为是足够安全的，可以防止欺诈。例如，由于身份盗窃造成的欺诈损失在信用卡支付激增的情况下是跨国的，而现金被认为不太实用，并且与运营和后勤挑战（例如，生产和发行、退货、分类和销毁）有关。鉴于这些发展和权衡，我们得出了（数字与物理）支付方式的最佳组合，以环境可持续和安全的方式支付。通过非合作微分博弈，这封信提供了一个基线对称纳什模型，辅以Stackelberg扩展，捕捉现实的领导者-追随者动态，并将这两个框架校准为欧洲支付数据。我们推导了封闭形式的解决方案，讨论了最优支付系统的共存条件，并提出了未来的方向，经验上更复杂的扩展。

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引用次数: 0

Exploring the financial mechanisms of digital inclusion in promoting farmers’ income 探索数字普惠促进农民增收的金融机制

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-25 DOI: 10.1016/j.frl.2026.109578

Qinyue Song , Mingyi Yan , Zhengxin Shi , Zhenfu Han

This study examines how digital financial inclusion (DFI) influences farmers’ income by facilitating industrial structure upgrading using panel data from 279 Chinese cities spanning 2011–2022. Employing fixed effects, instrumental variable, and threshold models, DFI significantly boosts rural income. Industrial upgrading is a crucial mechanism, and heterogeneity and threshold analyses reveal stronger effects in central and western regions, among lower-income populations, and at early and advanced DFI development stages. These findings emphasize the relevance of digital finance in promoting inclusive, sustainable, and finance-enabled rural development.

本研究利用2011-2022年279个中国城市的面板数据，考察了数字普惠金融（DFI）如何通过促进产业结构升级影响农民收入。利用固定效应、工具变量和阈值模型，DFI显著提高了农村收入。产业升级是关键机制，异质性和阈值分析显示，在中西部地区、低收入人群以及DFI发展的早期和晚期阶段，产业升级的影响更强。这些发现强调了数字金融在促进包容性、可持续和金融支持的农村发展方面的重要性。

引用次数: 0

The impact of family firm intergenerational succession on innovation Bubbles 家族企业代际传承对创新泡沫的影响

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-25 DOI: 10.1016/j.frl.2026.109577

Songyang Yu

Using data on Chinese A-share listed family firms from 2007 to 2024, this study examines the impact of intergenerational succession on corporate innovation bubbles. We construct an innovation bubble indicator based on patent structural imbalance to capture firms’ tendency toward “quantity over quality” in innovation. The results show that intergenerational succession significantly reduces innovation bubbles. Mechanism analysis indicates that this effect operates through lower agency costs: the continuity of family control alleviates owner–manager conflicts and restrains short-term, strategic, and low-quality innovation, thereby guiding resources toward higher-quality R&D. Heterogeneity analysis further demonstrates that the effect is stronger in the eastern and western regions and in nonhigh-tech industries. This study provides new evidence on the governance role of family succession in mitigating innovation bubbles in China.

本文利用2007 - 2024年中国a股上市家族企业的数据，考察了代际传承对企业创新泡沫的影响。我们构建了一个基于专利结构失衡的创新泡沫指标，以捕捉企业在创新中“数量重于质量”的倾向。结果表明，代际传承显著降低了创新泡沫。机制分析表明，这一效应通过较低的代理成本发挥作用：家族控制的连续性缓解了所有者与经理人之间的冲突，抑制了短期的、战略性的、低质量的创新，从而引导资源流向更高质量的研发。异质性分析进一步表明，东西部地区和非高新技术产业的影响更强。本研究为家族继承在缓解中国创新泡沫中的治理作用提供了新的证据。

引用次数: 0

Social credit system construction and corporate rent-seeking: Evidence from China 社会信用体系建设与企业寻租：来自中国的证据

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-24 DOI: 10.1016/j.frl.2026.109574

Peng Liu , Jianfei Shen , Hualong Li

Existing research lacks empirical evidence on whether the construction of the social credit system (SCS) curbs corporate rent‑seeking. This study uses Chinese A‑share firms (2010–2023), treating the phased rollout of “SCS Construction Model Cities” (Credit model cities) as a quasi‑natural experiment and applying a multi‑period difference‑in‑differences (DID) design. Results show SCS construction significantly reduces corporate rent‑seeking, robust to various checks. Mechanism tests indicate SCS acts by improving the information environment and enhancing market competition. Corporate digital transformation positively moderates this effect. Heterogeneity analysis finds stronger effects in regions with weak institutions (low fiscal transparency, low innovation capacity). The study provides a theoretical perspective on how formal institutions curb corporate rent‑seeking in the digital era.

现有研究缺乏社会信用体系建设是否抑制企业寻租的实证证据。本研究以中国A股公司为研究对象（2010-2023年），将分阶段推出的“信用示范城市”（SCS建设示范城市）作为准自然实验，采用了多期差中差（DID）设计。结果表明，SCS的建设显著减少了企业的寻租行为，对各种检查都很有效。机制测试表明，SCS通过改善信息环境和增强市场竞争来发挥作用。企业数字化转型正向调节了这一影响。异质性分析发现，制度薄弱地区（财政透明度低、创新能力低）的影响更大。该研究为数字时代正规制度如何抑制企业寻租提供了理论视角。

引用次数: 0

The risk-reducing effect of ESG investment: Evidence from mutual funds ESG投资的风险降低效应：来自共同基金的证据

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters

Pub Date : 2026-01-24 DOI: 10.1016/j.frl.2026.109571

Ruochen Li , Shuyu Xue , Quansheng Xuan , Xue Cui

This study explores the role of environmental, social, and governance (ESG) investment in mitigating fund risk and enhancing portfolio resilience, using Chinese mutual fund data from 2009 to 2022. We find that ESG investment in funds significantly decreases fund risk. The risk-reduction benefits are more pronounced for funds that are signatories to the Principles for Responsible Investment (PRI). Moreover, ESG-integrated funds exhibit lower risk and greater resilience during periods of adverse markets and heightened ESG-related attention. We further show that ESG investment is associated with lower tail risk, lower ambiguity, and higher net returns. These findings highlight the significance of ESG investing as a strategic tool for strengthening portfolio resilience and promoting financial stability.

本文利用2009年至2022年的中国共同基金数据，探讨了环境、社会和治理（ESG）投资在降低基金风险和增强投资组合弹性方面的作用。我们发现ESG对基金的投资显著降低了基金风险。对于签署了负责任投资原则（PRI）的基金来说，降低风险的好处更为明显。此外，整合esg的基金在市场不利时期表现出更低的风险和更大的弹性，并引起了与esg相关的高度关注。我们进一步表明，ESG投资与较低的尾部风险、较低的模糊性和较高的净回报相关。这些发现突出了ESG投资作为加强投资组合弹性和促进金融稳定的战略工具的重要性。

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全部化学•材料生命科学医学物理工程技术环境•农林材料科学地球科学法学管理学化学环境科学与生态学计算机科学教育学经济学农林科学人文科学生物学数学物理与天体物理心理学综合性期刊其他工业工程理学历史学农学文学信息工程

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Finance Research Letters

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