短文一篇

人艰不拆。社会看多了也不想说什么了,虽说faculty无数的学术成就是建立在phd和薄厚的一腔狗血上的,但我依然对选择这条路无悔。

传说萨缪尔森从科学界转到经济学界,能够拉高两个学科的平均智商。我觉得经济学家太受到鄙视了。当然,目前经济学科的绝对难度是远远低于纯粹数学和物理的,基本还停留在19世纪理论科学的研究水平。数学工具刻画物理尚且不够用,刻画更复杂的人性那就更不够用了。有人在网上说怎么着一个冬令营级别的同学去搞经济学,绝对能搞出点名堂,因为智力水平摆在那里,经济学理论不行是只有一帮三等奖水平的家伙在搞。现在,连IMO满分金牌都去搞纯粹经济理论了,我相信这个学科未来是有前途的,绝对不是什么数学学不好才被迫去搞经济学的。

很羡慕北美搞数学  物理 化学  生物 计算机和统计的 同学们,清北帮和科大帮已经形成了气候,什么问题解决不了,打电话给通讯录上的本科同学,就能解决了。很遗憾,我这个学科还做不到这一点。

New York Subway

       It is two years since my last visit to New York. City born and city bred in Shanghai, I am really familiar with the smell of the cosmopolitan, which I shll never have chance to access in Buffalo. Last time when I was in New York was during my CYDP program to Columbia University while this time I am only a graduate school student. I still remember the day in New York since it is most resemblance to my homeland, which you might argue my nostalgia dominates in my spirit at this time.

       In the New York the first thing is the subway. No matter where you go in Manhattan, the quickest way is to take the subway, particularly during the peak hours. It is reported that the Mayor Michael Bloomberg takes the subway to office each week to test the quality of public transportation and at the same time save a little precious time. Built one hundred years ago, New York subway still remains the feeling of old days. Old ornament swaying and sweltering platform with no air conditioning facilities excruciating, I would rather say the subway system in Shanghai is far more advanced than that in New York. Maybe someday I should write to mayor Bloomberg to advice him to install air-conditioners and shielding barriers on the platform, as it is reported 55 will killed by subway trains last year. What a horrible thing it is! Notice that in Shanghai almost nobody is killed after the installation of shielding barriers, the social planner of New York ought to consider to install such kind of facilities to protect citizens from being hurt from trains, where can in a great extent reduce the casualty during commute everyday. I was told since my early age that the American government shows great respect to human beings and design everything suitable to supply convenience to citizens. But it is the truth in small city but not in cosmopolitan. In NYC hardly could I find a restroom vacant on the fifth avenue, which made me wait for five minutes outside the door of a male restroom in McDonald’s. That is a first-time wonderful experience that I have never undergone before. Back to the topic of the subway shielding barriers. Experts estimate that such kind of facilities can not only protect the live of human beings but save the energy cost and reduce the noise in the station as well. That is another reason it is a must to install barriers. The one-hundred-year-old New York subway brings such insupportable great noise to the passengers so that it seems an earthquake hits the station when the train approaching. Comparing with the huge benefits of installation of the barriers, the expense can be neglected no matter how expensive the labor costs. Someone may argue the New York subway is 24-hour running and consequently results in no time to cover such installing. The solution is quite simple. We can shut down the some stations on weekend and accomplish such kind of installation. I don’t think workers with high efficiency in such a quick pace cosmopolitan can fail to finish this task in a weekend, where I gain from the experience in Shanghai that workers can finish such installation in ten hours.

To tell the truth, all cosmopolitans are similar with each other with fast pace, crowed streets, inconvenient restrooms, running the red light, dirty streets, congested public transportations and traffic, and countless skyscrapers. Comparing with the low pace in small cities, I still like the feeling of New York and Shanghai firstly because I have little people to meet with in small cities and mainly because Shanghai is the city I grow up and live for 22 years. Unhesitatingly I can say I am a social animal and have to have close connection with people nearby. No matter how magnificent scenery of the Niagara Falls, I could no longer prefer this life track, sort of, to the crowed streets and abundant life in a cosmopolitan. I can go to the museums, theaters, film centers, shopping malls, Nanjing Road, Huaihai Road in Shanghai while in Buffalo I can only go to church on weekend. You may argue China has severe air pollution and political problems but what I shall tell you I have never heard of bed bugs in Shanghai. This kind of bed begs can torture you more than a bad authority.

Moving back to the topic of New York subway, I would rather say I admire the designer of the subway system of New York, who can separate the local train to the express one hundred years ago by constructing four paralleling railways. I can be transported from the Time Square to 96th street in several minutes taking the express line 2 with only one stop between crossing 54 blocks. If there were only one railway in the uptown direction, I should have had to endure twenty minutes or more to commute. The original designer of New York subway must be a genius, for he could foresee the crowded and congested Manhattan Island one hundred years later and reserved the express railway for his offspring. Why do our social planner lack such kind of capability the reserve convenience for the future? For instance, the metro line 3 and line 4 in Shanghai shares nine stations in common at the very beginning of the construction of line 4 to reduce to cost. But with so many people rush to the city, the designer plans to separate line 4 from the shared railway because the original design restricts the capacity of line 4. The cost of separation greatly exceeds the expense of building separate railways and stations at the very beginning but unfortunately our social planner is shortsighted. The designer of New York subway adds a railway track at the very beginning to reserve for the future while our designer reduces a track to save cost. Sarcastically finally we have to put more money to redesign and rebuild the line 4. We are paying for our shortsightedness no only in the metro design.

 

What we care is the thing remains forever

When you arrive at the United States first, you will have the feeling that all the people in the United States are really stubborn. No matter how you get angry, they will never allows any behavior prohibited by the law or regulation happens. For instance, if you fail to carry your ID card with you, you will find it is absolutely impossible to get aboard no matter how urgent you are. Usually when this kind of situation happens in China, you can be on aboard by playing tricks or bribing the staff. But here is the United States and there is no way.

What we observe in daily life is that Chinese people individually is much smarter than the United States. However, when we treat these people as a union we have to conclude that US people have higher efficiency than Chinese. It is not because the Chinese can fail to adapt the US society but the group of Chinese people has decreasing efficiency with respect to scale. It is said that one individual Chinese person is a dragon but one group of Chinese is a crowd of insects, which means we Chinese can never succeed to cooperate with each other. Everyone in the game only cares about himself, calculating his own benefits without taking collective interests into account. It is just like the situation in the prisoner dilemma that everyone is eager to admit rather than deny his crime by seeking his own benefit while the mutual benefit is the lowest in this Nash equilibrium. We have no right to blame each person to look for his own maximum benefit. However, in the real life when we are struggle for our own interest with no moral bottom line, it will lead to great moral hazard. Someone may argue the moral hazard of some individuals shall not directly lead to severe problem. But the speculative behaviors of individual has cultivated a social speculative atmosphere therefore leads to a speculative authority, which is considered to be the most terrible thing.

Actually, what the Chinese authority behaves is partly similar to the behavior of the prisoner in the dilemma. The authority can do whatever things no matter how horrible to maximize the government’s utility such as seizing money, power and stability in short run, neglecting the long run negative effects such as low social moral standard and peasant uprising, for each government leader has only at most ten-year tenure to maximize his utility. This authority speculation, therefore, is the main reason of Chinese long-time turmoil period for almost thousands of years. During the Culture Revolution, for instance, in order to regain righteousness of the power, Mao destroyed almost all the historical relics and treated them as feudal vestiges. On the contrary, after the Reform and Opening Up Policy in the late 20th century, the authority rebuilt these historic relics to increase sightseeing income. The authority uses almost all kinds of methods to dilute the ideology influence among Chinese. By reaching its own sake, the government could break the rule that is built by itself in a short time, which make no further convince among the ordinary people and will definitely cause disastrous effects in the long run. No one will protect the weak and the disadvantage by maximizing his own short run benefit. In 1949, no one remembered to help the KMT party since CCP promises to the social that everyone would live better under their dominance. Almost everyone, under the rule of speculation and short run utility maximization, chooses to terminate KMT’s political position in the mainland. Needless to say, it is himself who used speculation standard to make judgment rather than CPC killed his life in the Culture Revolution. Those persons forget that no one will keep promise without surveillance.

What we do is the thing that ought to remain constant forever: the Constitution, the respect to the rule. The rule of the society should never be adjusted according to one’s own benefit. A rule is a rule. The speculation moral standard should be abandoned thoroughly from the society, or the tragedy will happen once more in the future, simply just because the human nature is similar. We cannot expect too much on the peaceful transformation of China, since nowadays almost all the people live under speculation moral standard and even those scholars who ask for democracy cannot be an exception. Today the scholar can vote for A and tomorrow can for B just because choose A maximizes his utility today while B maximizes tomorrow. There SHOULD be an eternity in the society. That is actually the GOD, because GOD has no conflicts with us and saves our soul by dedicating himself to us. Any agency with real entities can never satisfy the definition of eternity since any agency will have someday that can not survive any more. We can never prove the existence of GOD and nor cannot we. That is the strongest demonstration of the existence of GOD as an eternal.

Looking at the peace in the United States, what remains the constant is its Constitution and Social Rules. We can see the constant wonderful scene of Yellow Stone Park and the Great Canyon, which is under protection of the law that claims we should leave these magnificent scenes to our offspring. These can never be destroyed in the United States just because the Americans believe the eternity of GOD and obey the rule in any conditions without asking ”why”. Thanks the almighty GOD to leave us such great moral standard and consequently such great landscapes. This phenomenon was and will never be observed in the land of China. In one word, a Chinese individual is a dragon while groups of Chinese are simply worms because an individual only cares about himself and only cares short run.

When you believe the eternity, the GOD will bless you. And when you do not believe, the GOD will never pray for you. That seems to be irrational. But how can make the statement of “irrational conclusion” by using the assumption that the spirit of ration dominates the world? If you don’t believe eternity and always speculates, the history of turmoil will reappear in China in the foreseeable future, which will cause another demolishing slaughter both physically and mentally.

往事回首 五年

五年前的今日,当我踏出复旦附中的校园时,我已经隐约觉得北京大学的校门已经为我打开。一年半的辛勤付出,在复旦附中的校园里得到了回报。可以说,复旦附中是我高中生涯的福地,我高中生涯的第一次拿奖是在复旦附中,把我最后送入大学校园的地方也是在附中。虽然最后由于种种的原因,与北京大学擦肩而过,我依然感受到我的高中生涯充满了乐趣,充实而又感受到智慧的力量。

事实上,我在高中之前没有受过数学竞赛的任何训练。当别的孩子从小开始梅内劳斯的时候,我到高一上半学期的时候都全然不知这些东西为何物。直到有一天,因为平时测验的数学分数比较好,老师问我有没有兴趣参加数学竞赛的兴趣小组。我当时权衡了一下,想想从小数学也不差,就答应了下来。这偶然的一刹那间的选择,塑造了我高中的三年。

从那时开始,我就开始提前学习高中数学知识。从解析几何到立体几何再到数列等等,一开始学的时候是非常的艰难。我以前缺乏这样的自学体验,在看材料尤其是初次尝试做题的时候总是感受到这些题太难了,做不出来。我甚至有过半路放弃的冲动,因为我的起点太低了。相比较四校理科班的同学,他们从小就受到了严格的数学竞赛训练,往往一进高中就基本学完了高中数学的基本内容。高一下半学期的时候,老师甚至请来了复旦附中的姜子麟和沈诞琦来交流。听到姜子麟说他快要上高中的时候就把高中数学精做完了,我感受到了我和这些高手们在基础上的巨大差距。当时仰望那些数学保送生,总是觉得达到这样的水平是多么可望而不可及。当我自己迈入这一行列的时候,才方知前面的路还有很长,曾经的遥不可及的目标在实现的时候却又显得不那么高大伟岸了。

在我的学习过程中,对我帮助最大的就是我的老师和几个和我差不多水平的同学。我的老师如同春风化雨般对我这个初学者给了最大的帮助。甚至在第一次不等式考试我在100分中只得了15分也从未对我放弃。从那以后,我一开始下决心好好练好计算的基本功,不仅仅接触了各种奇奇怪怪的不等式,还了解到了问题的处理方法比如调整法和累次求极值法。对于常用的导数和代数展开运算也练的相对比较熟练。在我相对非常薄弱的几何环节,魏传豪给了我巨大的帮助。作为我们当中平面几何最好的一位,他很有富有想象力的构造给了我莫大的启示。同时,随着自己去摸索单墫老师的翻译著作,自己也慢慢理清了几何变换的一些基本框架,熟记了一些常用的结论和推演方法。知识的积累本质上是把一些结论变成自我的本能,然后才能使人站在更高的台阶上摸索更深层次的东西。我记得我老师说过,当时牟晓生高一时在中国国家队选拔考试中因几何失手而遗憾落选当年的国家队,导致他高二拿一年疯狂地研究单墫老师的几何译作,这才有了2008年IMO第六题的优美解法。他在2008IMO P6中所用到的引理正是单老师译作中的一个经典结论。本质上而言,学术就是这样一个知识积累进而想的更远的过程。区别就是做一道数学竞赛题可能只要5个小时,想明白一个重要的学术问题可能要花5000个小时。

在我相对十分薄弱的组合数学,舒五昌老师和冯志刚老师的译作和单墫老师的研究教程教会了我大量的解决这类问题的方法,可以说没有舒五昌老师和冯志刚老师,我可能最后也无法拿到这个一等奖。尤其是在舒五昌老师的课上,我感受到了舒老师的惊人天赋和对问题敏锐的嗅觉。不夸张的说,我个人认为舒五昌老师在这方面的天赋甚至高过我们这届的IMO满分选手牟晓生。当舒老师把牟晓生当时做不出的结论推而广之的时候,我感受到了这位能够心算(10!)^(3/10)的老教授身上的智慧。包括在2008年全国联赛加试的第二题,我下意识地运用了舒老师和冯老师书中的一个著名引理,然后轻松地解决了这个问题。这个引理我至今还能清楚的记得,因为这个漂亮的结论是对抽屉原理的巧妙运用,颇有P. Erdos处理问题的巧劲在其中。

我还清楚地记得,五年前的这个时候,当我直觉般地感受到基于黄金分割的因式分解和托勒密不等式后,这个一等奖已经是囊中之物了。时至今日,当我去回首当年的试题,我突然发现我没有做出的题目也并没有很大的难度。也许随着时光的流逝和阅历的增长,很多当年觉得很困难的问题也变得不是那么的艰难。这正是印证了:站在巨人的肩膀上,我们能看的更高更远。随着岁月的积淀和深入的研究,可能很多我现在觉得困难的问题在未来也会变得不那么艰难。正如同20年前的人们无法想到便捷通讯遍布全球一样,我们也不会想到我们现在面临的一些困难在未来可能会变得微不足道。为了这种未来的微不足道,我们全体学人需要不断努力。既然上帝赋予了我们不同常人的智慧,我们就不应该挥霍这样一份天赋,不仅仅是为了生存而谋生,为了一份干活轻松收入丰厚的工作而放弃自己的使命。我们有责任让世界变得更美好。也许我们思索十分钟就能解决别人十年解决不了的问题,为什么我们不能花十年去做一个改变世界的发现?

感谢许老师和王伟叶老师,我觉得你们能在中学里发挥自己最大的光芒。还有傻胖魏传豪,愿你在盐湖城的高原追求数学乐园的净土,我知道,一个人一辈子一直做自己喜欢的工作是一件多么有乐趣的事情。小黑,虽然我们素未谋面,但我已经感受到你的热情,愿你继承你父亲的天赋,在统计届做出更多的成就。中国人已经证明了华人在这行中的天赋,我也相信你能做的更好。还有我们这一届最杰出的世界冠军,谢谢你给锦程带来膜拜大神的感觉。我虽然没有见过你,但我觉得我终究会见到你。也愿你为中国人拿到第一个诺贝尔经济学奖。我知道,以你的天赋,你曾站在马德里的世界之巅,你也终将会站在瑞典皇家科学院的经济学世界之巅。

巴塞尔协定 与存款准备金规定的消亡

古时的钱庄其实就是现代的银行。在那时,人们将资产放在钱庄中保管,渐渐的钱庄发现将钱庄中别人的资产借出去就可以获得不错的收益。但是如果全借出去的话,如果存放资产的人前来取他的资产,钱庄就无法兑付,这样的话钱庄很有可能因此而倒闭。于是钱庄不得不在钱庄中保留一部分的资产应对兑付压力。这就是现代的准备金制度,银行准备金的多少是根据客户的资金需求程度,市场的风险程度和市场的利率决定的。一般来说,客户资金需求越高,市场风险程度越大,市场的利率越低,银行多保留的准备金就会越多。我们注意到,正常的货币循环中,是利率的多少决定了准备金的多寡,而不是反过来,这是因为商业银行的准备金不是生息资产(在中国却不是,央行为商业银行的准备金头寸支付利息),保留多的准备金意味着失去放贷的收益。所以商业银行会根据市场风险,客户的资金需求,还有保留准备可能带来的损失,权衡利弊,决定最后的准备金比例。这完全是商业银行的自主决定行为,而不应该是中央银行的规定。在一个健康的竞争机制下,市场会淘汰准备金比例和方式管理不当的商业银行,留下竞争力强的。
逐渐的,随着时代的推移,商业银行发现光用存款的多寡来决定放贷的数量并不是很符合现代的公司运作机制。在自身自有资本匮乏的情况下,一个经营不善就可能导致商业银行资不抵债,满盘皆输。设想一个极端情况,商业银行如果没有自有资本,那么商业银行想要避免破产的话,就要从经营的第一分钟开始保证他的资产质量(贷款)可以保证存款本息的兑付,稍有不慎就会导致资不抵债,引发储户挤兑。在信息手段不发达的古代,储户对于银行资产状况的判断非常的迟钝,往往银行的经营出现大问题储户也毫不知情,加之储户跑去银行提取大额现金的成本也不低。如此决定了在很多情况下,即使银行资不抵债也不会出现大面积的挤兑现象。但是在信息技术高度发达的今天,也许轻点鼠标就能完成挤兑,交易成本极为低廉,信息公开更透明,使得银行如果缺乏自由资金做肉盾的庇护,出现一丁点贷款质量恶化的情况就很容易被挤兑而导致破产。所以才会有如今不断严格的巴塞尔协议。
巴塞尔协议的大意是将银行的资产分类,进行加权计算后得出银行的加权风险资产,然后强行规定一个资本金比加权风险资产的最低比例。这样使得银行在出现相当程度的贷款损失后,依然有能力能够偿付客户的存款。这样的话大大降低了银行被挤兑的可能性,提高了公众对于银行的信赖程度,这样从另一个方面减少了银行的负债(存款)管理成本。在遭受相当程度的贷款损失下,储户也不需要挤兑银行。在挤兑成本日益低廉的今天,如果哪家银行不遵守巴塞尔协定的要求,储户很容易抛弃这家银行,转到另外的高资本充足率的银行中。这样使得巴塞尔协定逐渐从一个软性的约束变成一个硬性的制度约束。中国目前也为商业银行的资本充足率根据巴塞尔协议设定了细致的要求,增强了公众对银行的信心。四大行的IPO,发行可转换债券或者次级债,都是从某种程度上提高银行的核心资本充足率(通过发行股票)或资本充足率(发行次级债)。这对于银行,储户,甚至是贷款需求者都有着莫大的好处。
我们注意到,随着巴塞尔协定的推出,西方国家更是几乎完全放弃了对存款准备金率的管制,因为银行的自由资本是比存款准备金更有效的应对挤兑的武器。自由资本是银行自己的,存款准备金是储户的,那自己的钱作为缓冲区当然比拿储户的钱作为缓冲区更值得信赖。所以,当今严格遵守巴塞尔协定的市场化运作的商业银行 几乎都不会遭遇任何的存款准备金率管制。因为存款准备金率的管制毫无意义,它的初衷是为了防止挤兑,现在有了更强有力的银行自由资本作为提高储户信心的保证,那么设置一个大于0的存款准备金率就显得毫无意义,反而会约束商业银行的放贷能力。在有足够自由资本的情况下,商业银行的存款的绝大部分甚至是全部都是能转化为有效贷款为储户贡献利润的。也就是说,在0准备金的体系下,商业银行理论上可以创造无穷多的货币,货币乘数可以无穷大,这大大放宽了商业银行的盈利空间。当然,市场化的商业银行当然不会选择把货币乘数搞得无穷大,他们会自主决定保留一部分存款作为超额准备金,调节货币乘数,平衡潜在的能力和风险。因为巴塞尔协议制约了他们的货币乘数,如果货币乘数很大,那么风险资产数量也会变得很大,那样的话不能及时补充资本金的话就会导致违反资本充足率约定,这样会导致储户的大量流失。

也就是说,现行的巴塞尔协议使得商业银行货币供给从由存款制约进化到由自有资本约束。这也是现代股份责任制的强化体现,空手套白狼是不允许的,你必须要手上有粮才能套狼。手上的粮就是自有资本。无粮者,被狼咬一口的话,倒霉的是储户,而银行却不用承担风险,这是非常不合理的制度。巴塞尔协定保证了套狼者有粮,提高了银行违约责任
,保护了储户资金安全,是现代股份有限责任制度的核心写照。

有限生命和无限灵魂

经济学中最能解释价值观差异的就是囚徒博弈。2个同伙囚徒,被抓住了,分开来独立审讯。如果双方都坦白,那么都判5年;如果都抵赖不承认,那么会因为证据不足都只判1年;如果一个抵赖一个坦白,那么抵赖的会因为撒谎判8年,坦白的因为检举有功不判刑。

每个人的占优策略就是坦白,因为如果你坦白的话,我坦白就关5年,抵赖就要关8年,所以你坦白我的占优策略就是坦白;如果你抵赖,我坦白就是不关。抵赖就要关1年,所以你抵赖我的占优策略还是坦白。于是双方都会选择坦白,个人的理性就会导致集体利益利益的最小化,双方都抵赖都只要关1年,结果现在双方都坦白就要各关5年。在这个情况下,双方就是对抗博弈,纳什均衡就是(坦白,坦白)

如果这样的博弈无限次的重复,双方当然会约定每次都抵赖,如果你这一次坦白的话,这次以后我就永远坦白。 于是无限次囚徒博弈的均衡就是每次都是(抵赖,抵赖),否则只要有一个人违背约定坦白的话,以后所有的日子,他将会受到别人坦白的报复,所以他在任何时候都不会坦白,永远是抵赖。 这就是无限次囚徒博弈的均衡,集体的利益都是最大化的。
但是,如果这样的博弈进行不是无限次,而是有限次,不如说100次,那么在最后一次博弈中,没有一个傻瓜会选择继续遵守约定,因为已经没有下一局了,你无法报复我。所以最后一句大家都会坦白。由于倒数第二次的时候大家都知道最后一句大家都不会遵守约定,所以第99次双方还是会选择不遵守约定,坦白(这时候遵守约定抵赖的人是傻瓜,因为后面那局对方无法因为不遵守约定 而报复你)。以此类推,得出每一次博弈双方都是选择不合作,均衡是(坦白,坦白)。

说了这个例子,就是为了强调有限次和无限次对于博弈选择的重大区别。 有限次博弈最后都是对抗博弈,无限次博弈肯定是合作博弈。但是现实中,人的生命都是有限的,今天不作恶不代表明天不作恶,你30岁可以不抢钱爽一把,40岁也可以保证不抢钱爽一把,难道你在你的生命最后一天就会选择不抢钱爽一把么? 这时候你已经没有明天了,游戏已经没有下一局了,理智的博弈人的选择就是抢钱爽一把。这就是为什么我们国家以前很多贪官59岁狂贪的原因了,我已经没有明天了,今天白捞白不捞啊。

但是,生命是有限的,人的灵魂是无限的。人类有限的生命寄托于无限的灵魂中,有限的生命结合了无限的灵魂,这样的生命才能永生。 这种无限灵魂生命的价值观,导致了在死前一天,我也不会抢钱爽一把,因为这样死后是要下地狱的,为了死后不下地狱,我死前不能爽一把。 有限回合的囚徒博弈,在无限灵魂生命的价值观体系下,演化成了无限回合的囚徒博弈,博弈人的选择当然都是永远遵守约定,也就是永不抢钱。当然你不信什么死后 地狱啊 天堂啊 这一套的话,那就随你了,那你短暂的生命终究是有限回合囚徒博弈。这样的话,排队插队,退休前狂贪,马路上乱并线,这就是现实的中国,有限次囚徒博弈最真实的均衡写照!

如果你信,你的生命就能寄托在无限灵魂中。大家都信,你就会看到谦谦君子,廉政官员,有序的道路,美好的环境,宁可杀人成仁不可屈服元兵的文天祥。 你问为什么你要信,我无法回答你,我也不知道怎么回答。但是大家不信的后果,就是今日之中国。

我说,没有这样的价值观,什么制度 也无法使得现在变得更美好。三权分立,民主共和是建立在无限的生命价值观体系下的,没有这样的价值观,就没有现代人类文明的基石。

打新也要“市场化”

(原载于 2010年2月13日 除夕夜 新民晚报  发表时标题《选准公司开盘就抛》被删节 ,此为原稿)

IPO重启大半年之后,打新的年化收益率已经从百分之二三十下降到了跑不赢银行利率。上周17家个股的纷纷破发已经让新股不败神话彻底破灭。在新股发行价格和节奏逐渐市场化的同时,我们的申购行为也要变的市场化而不是机械化,从有新必打过渡到选择性申购。

首先,在申购的时候要观察指数的运行情况。今年由于央行收紧货币流动性和欧洲主权债务危机,指数很难出现趋势性机会,这时分配一二级市场的资金量就能显著地提高收益率。新股发行节奏还没有完全市场化,部分地是由管理层的调控决定的,我们观察到很大程度上新股的发行节奏快慢和指数的运行正相关。指数冲高了,管理层希望收一下流动性,多发几只新股出来,这时可以分散资金去一级市场,密集的发行也提高了资金中签率,同时打新也能规避指数回调的风险;而指数运行在低位时,管理层经常通过减缓IPO速度来维稳市场,这时打新往往是在市场人气涣散时,大量的资金涌向一级市场,也许认购新股就没有“抄底”来的合算了。往往闭着眼睛见新就打没有这种选择时机的打新来的好。

其次,在打新的时候要选择好公司,而不能单一的用PE(市盈率)这个指标来衡量。PE只是反应了公司的过去而不是将来,我会选择一些具有高成长潜力的公司来进行申购。我们看到那些破发的公司往往不是发行市盈率最高的公司,而多是一些缺乏潜力的公司股票。何为高成长哪,比如说科技股医药股就是好的选择,这种公司破发的概率就会小的多;而一些夕阳产业,申购的时候就要谨慎一点,是不是这个公司的确与众不同,如果没有吸引你的地方还要发个高价,那我们就没有理由申购了。很多人抱怨新股的市盈率太高,但是真的有成长性的公司,给予高估值是恰当的,因为来年的业绩会逐渐把市盈率做低。比如说光大证券,发行时高达58.56倍的发行市盈率,随着09年年报的披露,PE马上就降低到30倍以下了。同时,在打新时不光仅仅关注市盈率这个指标,还要参考它的市净率,净资产收益,现金流,结合自己对于这个行业的了解,理性地进行申购。市场是会回报勤奋的人的,如果打新的时候只是机械化的认购,连这个公司干什么都不知道,很容易把打新变成“打套”。

最后,新股上市后的操作很大程度上决定了收益率的高低。从去年到现在,开盘就跑平均来说是最明智的选择。当然我们不排除盘中炒作的可能,但这种可能性正随着扩容速度的增加而减少。除了一些极具题材效应和人气效应的股票(比如第一批创业板上市),只要不是过分地向下偏离它的合理价格,就可以考虑开盘就跑。开盘就跑也有窍门,等集合竞价出来之后,在9点25分到9点30分间的5分钟时报价时段,根据价格优先时间优先的撮合规则,在这5分钟内报价稍低的和较早地往往能撮合出来一个高价,但也不能报的太低以致真的在这个价位上成交。很多新股第一天长长的上引线就是在9点30分的一刹那出来的,如果能卖在上引线里面,那你的收益一定会优于平均水准。

在新股不断破发的情况下,选择性地分配打新资金和打新品种,外加灵活的抛售策略,一定能提高新股的收益率,在新股市场化发行的今天依然能享受到IPO的这块大蛋糕,为资金提供安全性的同时博取额外的收益。

用定投的理念投资ETF

(原载于2010年04月10日 新民晚报 此版本为发表稿)

现在很多基民都做基金定投,就是通过分期分笔投资的方法,来降低市场的系统性风险。这种理念对于大多数不具备专业投资水平能力的散户来说,往往能取得不错的收益。曾经有人做过一个实验,华尔街的对冲基金经理的平均业绩竟然无法超过飞镖选股的业绩。这不仅仅是因为市场的有效性和随机性,更是因为被动管理的交易成本远远低于主动投资,同时投资的心态更为平和,真正做到让资金保值和稳健增长。

在长期的投资过程中,市场的大方向总是向上的,于是投资指数基金是一个不错的选择。而在如今的震荡市中,用主动的投资理念操作被动的指数基金,则是一种跑赢市场的好方法。在这其中,ETF则是指数基金的上上之选。它完全复制了跟踪标的指数,不依赖于基金经理对于市场的判断能力。所以不妨每个月都用一点闲钱投资ETF,这样能花最小的精力分享股市上涨的收益,又能分散市场急涨急跌的风险。由于ETF能在二级市场交易,又不收印花税,所以它的交易费用大大低于投资普通的基金。ETF的套利机制可以保证ETF的交易在二级市场的交易价格和它的IOPV(盘中净值)保持高度的一致性。

而在震荡市中,ETF更是波段操作的理想标的。单只个股的起起落落很难把握,而大盘的短期方向就更容易把握。大盘上涨过多了,抛出点ETF;大盘跌得过凶就补回一点。比如说操作50ETF,把所有的份额分成3份,每次大盘上涨50点就抛出一份,跌了50点就补回一份;在日内交易里也遵循冲高抛出一份,回档补回一份的策略。考虑到ETF极其低廉的交易成本,这样的方法能有效地跑赢市场,让你用最简单的方法取得超过市场大部分人的收益。加之每月不断地投入,被动的交易战略加上主动的交易战术,往往能取得事半功倍的效果,让你不用对市场有特别深入的研究就能轻轻松松赚钱。定投本来就是分散风险,不把菜放在一个篮子里,而这种波段操作的方法更是深得定投的精髓,长期坚持下来一定会受益匪浅的。

市场上的ETF风格迥异,有机构投资者活跃的50ETF,有交投活跃波动大的中小板ETF,也有专门投资特定股票的红利ETF、超大盘ETF。今年又是ETF的壮大之年,特别是和紧密关联股指期货的沪深300ETF和跟踪海外指数的跨境ETF的推出,能极大地丰富广大投资者的选择。ETF这种简捷的交易产品未来一定有更大的发展空间,也会吸引更多的投资者。我们不妨用定投的理念来简单地交易。大道至简,坚持下去,说不定简简单单的方法也能超越华尔街的基金经理。