In this paper, the author focuses on the study of the legal institution of the Open Stock Corporation, analyzing the way how it has been treated in our legislation over time. Furthermore, he analyzes its current regulation in the General Law of Corporations, the Securities Market Law and some isolated legal provisions. Finally, he provides some ideas for the necessary reform of this institution. / En el presente artículo, el autor se centra en el estudio de la institución jurídica de la Sociedad Anónima Abierta, analizando la forma como ha sido tratada en nuestra legislación a lo largo del tiempo. Asimismo, analiza su regulación actual en la Ley General de Sociedades, en la Ley del Mercado de Valores y en algunas disposiciones legales aisladas. Finalmente, brinda algunas ideas para la necesaria reforma de esta institución.

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國際證券管理組織（The International Organization of Securities Commissions, IOSCO）認為自律機構（Self-Regulatory Organization, SRO）是管理證券市場之必要條件之一。我國證券交易法第四、五章對證券商同業公會與證券交易所皆設有專章特別規範，亦可看出自律機構在證券市場的重要性。惟目前臺灣證券交易所、財團法人中華民國證券櫃檯買賣中心及中華民國證券商業同業公會等協助管理證券市場之機構，在法律規範面及執行面皆存有許多待改進之處。本文以證券自律機構對證券商及其人員之管理規範為探討重點，試著從比較立法例說明美國、英國及日本等國家證券市場自律監理制度演變過程及法制規範，並分析探討前述臺灣證券交易所等機構所存在之問題，期能藉由制度比較，整理歸納提出我國證券自律機構在法制架構及實務運作上可供改進之具體建議。

本文包含關於估計風險與動態資產配置的兩篇研究。第一篇研究主要就當須估計的投資組合其投入參數具有高維度特質的觀點下，探究因忽略不確定性通膨而對資產配置過程中帶來的估計風險。此研究基於多重群組架構下所發展出的新投資決策法則，能夠確實地評價不確定性通膨對資產報酬的影響性，並在應用於建構大規模投資組合時，能有效減少進行最適化投資決策過程中所需的演算時間與成本。而將此模型應用於建構全球ETFs投資組合的實證結果則進一步顯示，若在均值變異數架構下，因建構大型投資組合時須估計高維度投入參數而伴隨有大量估計風險時，參數估計方式建議結合採用貝氏估計方法來估算資產報酬的一階與二階動差，其所對應得到的投資組合樣本外績效會比直接採用歷史樣本動差來得佳。此實證結果亦隱含：在均值變異數架構下，穩定的參數估計值比起最新且即時的參數估計資訊對於投資組合的績效來得有益。同時，若當投入參數的樣本估計值波動很大時，增加放空限制亦能有利投組樣本外績效。 第二篇文章則主要處理當處於對數常態證券市場下時，投資組合報酬率不具有有限動差並導致無法在均值變異數架構下發展出最適化封閉解時的難題。本研究示範此時可透過漸近方法的應用，有效發展出在具有放空限制下，考量了估計風險後的簡單投資組合配置法則，並且展示如何將其應用至實務上的資產配置過程以建構全球投資組合。本文的數值範例與實證模擬結果皆顯示，估計風險的存在對於最適投資組合的選擇有實質的影響，無估計風險下得出的最適投資組合，不必然是存有估計風險下的最適投資組合。此外，實證模擬結果亦證明，當存有估計風險時，本文所發展的簡單法則，能使建構出的投資組合具有較佳的樣本外績效表現。 / This dissertation consists of two essays on dynamic asset allocation with regard to dealing with estimation risk as being in different uncertainties in the mean-variance framework. The first essay concerns estimation errors from disregarding uncertain inflation in terms of the need in estimating high-dimensional input parameters for portfolio optimization. This study presents simplified and valid criteria referred to as the EGP-IMG model based on the multi-group framework to be capable of pricing inflation risk in a world of uncertainty. Empirical studies shows the proposed model indeed provides a smart way in picking worldwide ETFs that serves well to reduce the amount of costs and time in constructing a global portfolio when facing a large number of investment products. The effect of Bayesian estimation on improving estimation risk as the decision maker is subject to history sample moments for input parameters estimations is meanwhile examined. The results indicate portfolios implementing the Stein estimation and shrinkage estimators offer better performance compared with those applying the history sample estimators. It implicitly demonstrates that yielding stable estimates for means and covariances is more critical in the MV framework than getting the newest up-to-date parameters estimates for improving portfolio performance. Though short-sales constraints intuitively should hurt, they do practically contribute to uplift portfolio performance as being subject to volatile estimates of returns moments. The second essay undertakes the difficulty that the probability distribution of a portfolio's returns may not have finite moments in a lognormal-securities market, and thus leads to the arduous problem in solving the closed-form solutions for the optimal portfolio under the mean-variance framework. As being in a lognormal-securities market, this study systematically delivers a simple rule in optimization with regard to the presence of estimation risk. The simple rule is derived accordingly by means of asymptotic properties when short sales are not allowed. The consequently numerical example specifies the detailed procedures and shows that the optimal portfolio with estimation risk is not equivalent to that ignoring the existence of estimation risk. In addition, the portfolio performance based on the proposed simple rule is examined to present a better out-of-sample portfolio performance relative to the benchmarks.

Final qualifying work (master's thesis) is devoted to the reserching of the methods of identifying the manipulations that undermine the effectiveness of the stock market. The subject of the research is the way of identifying manipulative transactions in the stock market of Russia. The main purpose of the research is the development of specific proposals and the selection of statistical methods relevant for the Russian stock market to improve the existing system of state control aimed at identifying various types and methods of manipulative trading in the stock market. In conclusion, practical steps for the strengthen of the stock market of the Russian Federation are formulated. / Выпускная квалификационная работа (магистерская диссертация) посвящена изучению методов выявления манипуляций, подрывающих эффективность фондового рынка. Предметом исследования выступают методы выявления манипулятивных сделок на российском фондовом рынке. Основной целью исследования выступает разработка конкретных предложений и выбор статистических методов, релевантных для российского фондового рынка, для совершенствования существующей системы государственного контроля, направленной на выявление различных видов и способов манипулятивной торговли на фондовом рынке. В заключении сформулированы практические шаги по укреплению фондового рынка Российской Федерации.