Quantitative Models and Construction Methods Model Name: MP-Adv-DRL-Cor - **Model Construction Idea**: The model uses convolutional neural networks (CNN) to capture dynamic patterns in asset prices and WaveNet to model cross-asset dependencies. It combines these inputs with deep reinforcement learning (DRL) to solve multi-period Bellman equations for optimal long-term portfolio allocation[2][24][25] - **Model Construction Process**: - **CNN for Dynamic Price Sequence Information Extraction**: CNN is used to extract dynamic features from asset price sequences. The process involves several layers including input, convolution, pooling, fully connected, and softmax layers[25][27] - **Convolution Layer Formula**: $$ \mathbf{y}_{j,n}=\delta\Bigg{(}\mathbf{b}+\sum_{l=0}^{Z}\sum_{m=0}^{M}\varpi_{l,m}\mathbf{x}_{j+l,n+m}^{\prime}\Bigg{)} $$ where $\delta$ is the activation function, $\mathbf{b}$ is the shared bias parameter, $Z$ and $M$ are the length and width of the local receptive field, $\varpi_{l,m}$ are the shared weight parameters, and $\mathbf{x}_{j+l,n+m}^{\prime}$ is the input matrix data[25] - **Activation Function Formula**: $$ \delta(x^{\prime})=ReLU(x^{\prime})=\left\{\begin{array}{c}x^{\prime},x^{\prime}\geq0\\ 0,x^{\prime}<0\end{array}\right. $$ ReLU function is used to prevent overfitting and enhance non-linear expression capability[25] - **WaveNet for Cross-Asset Dependency Information Extraction**: WaveNet captures time-varying dependencies between assets using convolution layers and causal convolutions with dilation operations[28] - **WaveNet Dependency Formula**: $$ \mathbf{q}_{i,t}(\mathbf{r}_{t})=\left(\varphi(\mathbf{r}_{i,t})\odot(\mathbf{1}\mathbf{\omega}_{0}^{\mathrm{T}})+\sum_{j=1}^{N}\varphi(\mathbf{r}_{j,t})\odot(\mathbf{1}\mathbf{\omega}_{j}^{\mathrm{T}})\right)\mathbf{1}+\mathbf{a} $$ where $\varphi$ is the neural network function, $\mathbf{a}$ is the bias term, and $\mathbf{r}_{t}$ is the input stream[28] - **DRL for Multi-Period Portfolio Decision Making**: Combines dynamic asset price features and dependency information as inputs for the deterministic policy gradient (DPG) model to optimize portfolio allocation[29] - **MDP and Multi-Period Bellman Equation**: $$ V_{\pi}(s)=E_{\pi}\left(U_{t,h}\left|s_{t}=s\right.\right)=E_{\pi}\left(\left.\sum_{k=1}^{h}\gamma^{k-1}u_{t+k}\left|s_{t}=s\right.\right) $$ where $V_{\pi}(s)$ is the state value function, $U_{t,h}$ is the multi-period utility function, and $\gamma$ is the time preference parameter[32] - **DRL Objective Function**: $$ \max_{\theta}J(\pi_{\theta})=\mathbb{E}_{\pi_{\theta}(h,n)}\big{(}U_{t,h}(u_{t+1}(\omega_{t+1}),u_{t+2}(\omega_{t+2}),\ \cdot\ \cdot\ \cdot,u_{t+h}(\omega_{t+h}))\big{)} $$ where $\theta$ are the neural network parameters[36] - **Model Evaluation**: The MP-Adv-DRL-Cor method generally outperforms other methods in terms of annual return, Sharpe ratio, and maximum drawdown across different holding periods, risk aversion levels, and transaction costs[3][52][56] Model Backtesting Results MP-Adv-DRL-Cor Model Performance Metrics - **Holding Period h = 1** - **Annual Return**: 12.48% (S&P 100), 8.808% (DJIA), 13.58% (S&P/TSX Composite)[53] - **Annual Volatility**: 24.57% (S&P 100), 21.43% (DJIA), 25.35% (S&P/TSX Composite)[53] - **Sharpe Ratio**: 0.508 (S&P 100), 0.411 (DJIA), 0.536 (S&P/TSX Composite)[53] - **Maximum Drawdown**: 39.80% (S&P 100), 35.34% (DJIA), 48.01% (S&P/TSX Composite)[53] - **Turnover**: 0.007 (S&P 100), 0.007 (DJIA), 0.008 (S&P/TSX Composite)[53] - **Holding Period h = 5** - **Annual Return**: 25.72% (S&P 100), 19.79% (DJIA), 17.91% (S&P/TSX Composite)[53] - **Annual Volatility**: 28.89% (S&P 100), 33.51% (DJIA), 21.58% (S&P/TSX Composite)[53] - **Sharpe Ratio**: 0.890 (S&P 100), 0.590 (DJIA), 0.830 (S&P/TSX Composite)[53] - **Maximum Drawdown**: 39.19% (S&P 100), 51.72% (DJIA), 37.94% (S&P/TSX Composite)[53] - **Turnover**: 0.087 (S&P 100), 0.080 (DJIA), 0.009 (S&P/TSX Composite)[53] - **Holding Period h = 22** - **Annual Return**: 22.37% (S&P 100), 19.23% (DJIA), 18.42% (S&P/TSX Composite)[53] - **Annual Volatility**: 37.08% (S&P 100), 32.49% (DJIA), 22.10% (S&P/TSX Composite)[53] - **Sharpe Ratio**: 0.603 (S&P 100), 0.592 (DJIA), 0.833 (S&P/TSX Composite)[53] - **Maximum Drawdown**: 44.13% (S&P 100), 52.63% (DJIA), 38.65% (S&P/TSX Composite)[53] - **Turnover**: 0.099 (S&P 100), 0.103 (DJIA), 0.020 (S&P/TSX Composite)[53] - **Holding Period h = 36** - **Annual Return**: 29.21% (S&P 100), 28.88% (DJIA), 21.38% (S&P/TSX Composite)[53] - **Annual Volatility**: 36.14% (S&P 100), 34.32% (DJIA), 27.08% (S&P/TSX Composite)[53] - **Sharpe Ratio**: 0.808 (S&P 100), 0.841 (DJIA), 0.790 (S&P/TSX Composite)[53] - **Maximum Drawdown**: 32.09% (S&P 100), 44.24% (DJIA), 40.83% (S&P/TSX Composite)[53] - **Turnover**: 0.170 (S&P 100), 0.109 (DJIA), 0.074 (S&P/TSX Composite)[53] - **Holding Period h = 66** - **Annual Return**: 27.51% (S&P 100), 17.40% (DJIA), 15.50% (S&P/TSX Composite)[53] - **Annual Volatility**: 39.43% (S&P 100), 31.32% (DJIA), 37.11% (S&P/TSX Composite)[53] - **Sharpe Ratio**: 0.698 (S&P 100), 0.555 (DJIA), 0.418 (S&P/TSX Composite)[53] - **Maximum Drawdown**: 66.10% (S&P 100), 36.22% (DJIA), 55.38% (S&P/TSX Composite)[53] - **Turnover**: 0.107 (S&P 100), 0.092 (DJIA), 0.197 (S&P/TSX Composite)[53] Quantitative Factors and Construction Methods Factor Name: Risk Aversion Coefficient (λ) - **Factor Construction Idea**: The risk aversion coefficient influences the

万马科技（ [Table_StockNameRptType] 300698） 公司点评 [Table_Author] 分析师：陈晶 执业证书号：S0010522070001 电话：15000930816 邮箱：chenjing@hazq.com [Table_CompanyReport] 相关报告 1.推出遨云自动驾驶方案，积极探索 robotaxi 商业落地 2024-11-02 2.盈利能力快速提升，自动驾驶落地 生花 2024-03-31 主要观点： ⚫[Table_Summary] 事件回顾： 战略合作天翼云，智驾能力赋能具身智能和低空出行 | 投资评级：买入（维持） [Table_Rank] | | --- | | 报告日期： 2025-03-13 | | [Table_BaseData] 收盘价（元） | 43.58 | | --- | --- | | 近 12 个月最高/最低（元） | 53.04/25.63 | | 总股本（百万股） | 134 | | 流通股本（百万股） | 119 | | 流通股比例（%） | 88.47 | | 总市值（亿元） | 58 | | 流通市值（亿元） | 52 ...

Investment Rating - The investment rating for the company is "Buy" (maintained) [1] Core Views - The recent strategic partnership between the company's subsidiary, Youka Technology, and Tianyi Cloud aims to enhance capabilities in intelligent connected vehicles, autonomous driving, and computing infrastructure, promoting large-scale applications in smart vehicles and other intelligent industries [4][5] - The company is actively exploring the commercial deployment of its "Aoyun" autonomous driving solution, which is positioned to compete with Tesla's Full Self-Driving (FSD) system, leveraging advantages such as 5G dual cards and private network services [6][7] - The integration of connected vehicle technology with autonomous driving capabilities is expected to extend into fields such as embodied intelligence and low-altitude travel, marking a significant shift in the smart automotive industry [7][10] Financial Summary - The company forecasts a net profit attributable to shareholders of 94 million, 204 million, and 303 million yuan for 2024, 2025, and 2026 respectively, with corresponding EPS of 1.52 and 2.26 yuan [11] - Revenue is projected to grow from 590 million yuan in 2024 to 1.531 billion yuan in 2026, reflecting a compound annual growth rate (CAGR) of 53.7% [13][16] - The gross margin is expected to stabilize around 40% by 2026, with a return on equity (ROE) projected to reach 29.1% [13][17]

[Table_StockNameRptType] 宝丰能源（600989） 公司点评 内蒙一期如期投产，煤炭价格下行带来盈利弹性 | 投资评级：买入（维持） [Table_Rank] | | | --- | --- | | 报告日期： | 2025-03-13 | | [Table_BaseData] 收盘价（元） | 17.49 | | 近 12 个月最高/最低（元） | 17.84/14.20 | | 总股本（百万股） | 7,333 | | 流通股本（百万股） | 7,333 | | 流通股比例（%） | 100.00 | | 总市值（亿元） | 1,283 | | 流通市值（亿元） | 1,283 | [公司价格与沪深 Table_Chart] 300 走势比较 -20% -10% 0% 10% 20% 30% 3/13 5/13 7/13 9/13 11/13 1/13 宝丰能源 沪深300 [Table_Author] 分析师：王强峰 [Table_Author] 分析师：王强峰 执业证书号：S0010522110002 电话：13621792701 邮箱：wangqf@hazq.com 执业证书 ...

Investment Rating - Investment Rating: Buy (Maintain) [2] Core Views - The company achieved a revenue of 32.983 billion yuan in 2024, a year-on-year increase of 13.21%, and a net profit attributable to shareholders of 6.338 billion yuan, up 12.16% year-on-year [5] - The fourth quarter saw a recovery in production and sales after maintenance in the third quarter, with a revenue of 8.708 billion yuan, a year-on-year decrease of 0.30%, but a quarter-on-quarter increase of 18.04% [6] - The company is expected to benefit from the commissioning of its Inner Mongolia project, which will significantly enhance its earnings elasticity in 2025 [12] Summary by Sections Financial Performance - In 2024, the company reported a net profit of 6.338 billion yuan, with a basic earnings per share of 0.87 yuan [5] - The fourth quarter's net profit was 1.801 billion yuan, reflecting a year-on-year increase of 2.33% and a quarter-on-quarter increase of 46.16% [6] - The company’s revenue is projected to grow significantly in the coming years, with estimates of 54.865 billion yuan in 2025 and 67.308 billion yuan in 2026 [13] Production and Cost Management - The company has optimized its coal procurement sources, resulting in a decrease in average procurement prices for various types of coal in 2024 [8] - The commissioning of new projects, including a 10 million tons/year ethylene project, is expected to provide stable low-cost raw material support [11] - The Inner Mongolia project will enhance the company's production capacity to 5.2 million tons/year, making it the largest coal-to-olefins facility globally [11] Future Outlook - The company is expected to see significant profit growth in 2025, with projected net profits of 13.305 billion yuan, reflecting a year-on-year increase of 109.9% [13] - The ongoing projects in Ningdong and Xinjiang are anticipated to provide long-term growth opportunities [12] - The company maintains a leading position in cost control within the industry, which is expected to solidify its status as a benchmark enterprise [12]

[Table_IndNameRptType] 基础化工 行业周报 国际油价持续回落，农药、制冷剂等价格上涨 [Table_IndRank] 行业评级：增持 报告日期： 2025-03-13 [Table_Chart] 行业指数与沪深 300 走势比较 -31% -17% -4% 10% 23% 37% 12/23 3/24 6/24 9/24 基础化工 沪深300 [Table_Author] 分析师：王强峰 执业证书号：S0010522110002 电话：13621792701 邮箱：wangqf@hazq.com 分析师：刘天其 执业证书号：S0010524080003 电话：17321190296 邮箱：liutq@hazq.com 主要观点： ⚫[Table_Summary] 行业周观点 本周（2025/3/1-2025/3/7）化工板块整体涨跌幅表现排名第 13 位， 涨跌幅为+2.27% ，走势处于市场整体走势中上游。上证综指涨跌幅 为+1.56%，创业板指涨跌幅为+1.61%，申万化工板块跑赢上证综指 0.71 个百分点，跑赢创业板指 0.66 个百分点。 ⚫ 2025 年化工行业景气度将延续分 ...

[Table_IndNameRptType] 基础化工 行业周报 国际油价持续回落，农药、制冷剂等价格上涨 [Table_IndRank] 行业评级：增持 报告日期： 2025-03-13 [Table_Chart] 行业指数与沪深 300 走势比较 -31% -17% -4% 10% 23% 37% 12/23 3/24 6/24 9/24 基础化工 沪深300 [Table_Author] 分析师：王强峰 执业证书号：S0010522110002 电话：13621792701 邮箱：wangqf@hazq.com 分析师：刘天其 执业证书号：S0010524080003 电话：17321190296 邮箱：liutq@hazq.com 主要观点： （2）配额政策落地在即，三代制冷剂有望进入高景气周期。24 年起 三代制冷剂供给进入"定额+持续削减"阶段，同时二代制冷剂加速削 减，四代制冷剂因为专利问题价格居高不下难以形成替代，制冷剂供 给端持续缩减。同时随着热泵、冷链市场发展以及空调存量市场持续 扩张，叠加东南亚国家制冷剂需求扩张等因素，需求端保持稳定增长。 未来制冷剂市场供需缺口将会持续扩大，制冷剂价格 ...

Investment Rating - The report assigns an initial investment rating of "Buy" for the company [1]. Core Insights - The company has signed a significant contract worth RMB 322.2 million, expected to positively impact its operating performance for 2025-2026 [4]. - The company has made substantial progress in the research and development of semiconductor testing equipment, particularly the FT testing machine, which has achieved major advancements in 2024 [4]. - The company has a strong historical development trajectory, transitioning from display testing to semiconductor testing, with established partnerships with major manufacturers [5][18]. - The semiconductor testing equipment market is dominated by a few key players, presenting a significant opportunity for domestic alternatives [6]. - The company aims to expand its product offerings in the semiconductor testing sector, focusing on high-value DRAM testing equipment [6][7]. Summary by Sections Company Overview - The company has evolved through three stages: initial focus on touch detection equipment, expansion into OLED testing technology, and recent advancements in Micro LED and semiconductor testing [5][18]. - The company has established partnerships with leading manufacturers in both the display and semiconductor sectors, enhancing its market position [26]. Future Growth and Competitive Analysis - The company is positioned to benefit from the shift of display production capacity to mainland China, increasing demand for domestically produced testing equipment [2][23]. - The company has developed a comprehensive product matrix for new display devices and is actively investing in semiconductor testing equipment [25][37]. Financial Forecast and Investment Recommendations - The company is projected to achieve net profits of RMB 84 million, RMB 193 million, and RMB 264 million for the years 2024, 2025, and 2026, respectively, with corresponding EPS of 0.89, 2.05, and 2.80 [8][10]. - The report anticipates a significant increase in revenue, with a forecasted growth rate of 23.8% in 2024 and 49.7% in 2025 [10].

Investment Rating - Investment Rating: Buy (Maintain) [2] Core Views - The company is expected to achieve a significant revenue increase in 2024, with projected revenue of 2.956 billion yuan, a year-on-year increase of 39.84%, and a net profit of 487 million yuan, up 32.80% year-on-year [6] - The collaboration with Ningde Times marks a key milestone in commercializing bio-based polyamide materials, enhancing market penetration in the new energy sector [7] - The long-term growth path is clear, supported by technological advantages and policy incentives, particularly in the context of carbon neutrality goals [8] Summary by Sections Financial Performance - In 2024, the company anticipates a total revenue of 2.956 billion yuan, with a profit total of 546 million yuan and a net profit attributable to shareholders of 487 million yuan [5] - The fourth quarter of 2024 is projected to generate revenue of 741 million yuan, a year-on-year increase of 35.12%, and a net profit of 142 million yuan, up 168.91% year-on-year [6] Business Development - The demand for long-chain dicarboxylic acids is recovering, with new product capacity for sebacic acid driving significant growth in production and sales [6] - The establishment of a joint venture with Ningde Times focuses on the development and production of bio-based composite materials, marking a substantial step in the commercialization of these materials [7] Market Outlook - The company is positioned to benefit from structural advantages in synthetic biology technology, with a strong market share in bio-based long-chain dicarboxylic acids [8] - The global implementation of the EU carbon border tax (CBAM) in 2026 is expected to enhance the competitive edge of the company's bio-based materials in export-oriented industries [9] Investment Recommendations - The forecast for net profit attributable to shareholders for 2024-2026 is 473 million, 655 million, and 857 million yuan, respectively, with corresponding growth rates of 29.1%, 38.4%, and 30.8% [10]

Investment Rating - Investment Rating: Buy (Maintain) [2] Core Views - The company is expected to achieve significant revenue growth in 2024, with projected revenue of 2.956 billion yuan, a year-on-year increase of 39.84%, and a net profit of 487 million yuan, up 32.80% year-on-year [6] - The collaboration with Ningde Times marks a key milestone in commercializing bio-based polyamide materials, enhancing market penetration in the new energy sector [7] - The long-term growth path is clear, supported by technological advantages and policy incentives, particularly in the context of carbon neutrality goals [8] Summary by Sections Financial Performance - In 2024, the company anticipates a total revenue of 2.956 billion yuan and a net profit of 487 million yuan, with a basic earnings per share of 0.84 yuan [5][6] - The fourth quarter of 2024 is projected to generate revenue of 741 million yuan, a year-on-year increase of 35.12%, and a net profit of 142 million yuan, up 168.91% year-on-year [6] Business Development - The demand for long-chain dicarboxylic acids is recovering, and the new product, dodecanedioic acid, is expected to drive significant growth in production and sales [6] - The establishment of a joint venture with Ningde Times focuses on the development and production of bio-based composite materials, marking a significant step in the commercialization of these materials [7] Market Outlook - The company is positioned to benefit from the increasing penetration of new energy vehicles and the growing demand for bio-based materials in various sectors [8] - The global implementation of carbon tariffs and the inclusion of bio-based polyamide in strategic material lists in China are expected to enhance the company's competitive advantage [9]