Transcript 3. Jenher Jeng, G5 Capital Mnagement. Ltd., Taiwan (鉅融資本管理

The 19th Annual Conference on PBFEAM
第十九屆亞太財務經濟會計及管理會議
總經導向的資產管理新思維
Macro-Strategic Perspectives on Asset Management
鄭振和 Jenher Jeng
U.C. Berkeley PhD of Statistics
CEO of G5 Capital Management, Ltd.
Macro Knowledge Premium
• BlackRock Paradigm –
1080。 against Financial Crisis
• High-Frequency Trading –
• Insider-Trading Probe –
Arbitrage over Uncertainty
Information Asymmetry
• QE2 Money-Supply Bubble –
Currency War
• Global-Warming & Aging-Population -
welcome to Digital Capitalism
Sustainability
Unstable Equilibrium
0.8
0.6
0.4
0.2
0
-0.2
Global-Imbalance of Trade & Investment
-0.4
-0.6
-0.8
Jan02
Jan04
Jan06
Jan08
Jan10
2001/12/28
Jan12
2011/07/01
Equilibrium of Capital Flows
Market Dynamics
Capital Flows
dSt/St = rt ·dt + Ψө(∫[0,t]k(|τ-t|)·Sτ-1dSτ) ·dt + Ση(∫[0,t]k(|τ-t|)·Sτ-1dSτ)·dWt
Rational Memory Processes
Co-integrated Rational Memory Processes
Financial Engineering
Macro-based Portfolio Construction
Impact Factors
Trading-Strategies & Risk-Factors
Dynamic Financial Analysis
Trilogy of Market Risk Factor Transition