1. Macro-Strategic Perspectives on Asset Management
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.

2. Macro Knowledge Premium
BlackRock Paradigm – 1080。 against Financial Crisis
High-Frequency Trading – Arbitrage over Uncertainty
Insider-Trading Probe – Information Asymmetry
QE2 Money-Supply Bubble – Currency War
Global-Warming & Aging-Population - Sustainability
welcome to Digital Capitalism

3. Unstable Equilibrium 2001/12/28 2011/07/01
Global-Imbalance of Trade & Investment
2001/12/28
2011/07/01
Equilibrium of Capital Flows

4. 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

5. Financial Engineering
Macro-based Portfolio Construction

6. Impact Factors
Trading-Strategies & Risk-Factors

7. Dynamic Financial Analysis
Trilogy of Market Risk Factor Transition