HOPE,FEAR, AND ASPIRATIONS

We propose a rank‐dependent portfolio choice model in continuous time that captures the role in decision making of three emotions: hope, fear, and aspirations. Hope and fear are modeled through an inverse‐S shaped probability weighting function and aspirations through a probabilistic constraint. By employing the recently developed approach of quantile formulation, we solve the portfolio choice problem both thoroughly and analytically. These solutions motivate us to introduce a fear index, a hope index, and a lottery‐likeness index to quantify the impacts of three emotions, respectively, on investment behavior. We find that a sufficiently high level of fear endogenously necessitates portfolio insurance. On the other hand, hope is reflected in the agent's perspective on good states of the world: a higher level of hope causes the agent to include more scenarios under the notion of good states and leads to greater payoffs in sufficiently good states. Finally, an exceedingly high level of aspirations results in the construction of a lottery‐type payoff, indicating that the agent needs to enter into a pure gamble in order to achieve his goal. We also conduct numerical experiments to demonstrate our findings.     

SUPPLY CHAIN MANAGEMENT AND ITS RELATIONSHIP TO LOGISTICS,MARKETING, PRODUCTION,AND OPERATIONS MANAGEMENT

The renaming of the Council of Logistics Management (CLM) to the Council of Supply Chain Management Professionals (CSCMP) ushered in some interesting definitional dialogue and debate within the practitioner and academic communities. Inherent in emerging definitions is the notion that SCM encompasses activities traditionally considered aspects of production, logistics, marketing, and operations management. Defining SCM in such a broad scope (i.e., a “within” and “across” functions perspective), while considered by many scholars as the true representation of the essence of SCM, creates confusion regarding the appropriate organizational level within a business that is best suited for managerial decision making regarding the phenomenon. This paper contributes to the emerging SCM dialogue by highlighting the functional spaces (the “within” function perspective), relationships, and conceptual overlaps (the “across” functions perspective) between marketing, logistics, production, operations, and supply chain management. By comparing and contrasting the literature‐based conceptual boundaries of each discipline, a framework is proposed that more clearly captures the essence of the SCM decision making sphere. Managerial insights and future research implications are presented.     

蒂芙尼,地位与财富的象征

那是一种很特殊的蓝,温柔地透着幸福的光彩,打开盒子上面的白色缎带,眼睛中的光芒映射出钻石的华彩。“嫁给我吧”,这是最悦耳的话语,一种爱的承诺被牢牢地攥在手中。最近,身边经常传来结婚的喜讯,让人也被一种满满的幸福所包围,不由想起了蒂芙尼（Tiffany）,想起了它经典的订婚钻戒。虽然没有卡地亚的豪华,但是蒂芙尼有着美国式的简洁、明朗,每件作品带着美国人与生俱来的直率、乐观和乍现的机智。     

电感耦合等离子体原子发射光谱法测定塑料及其制品中铅、汞、铬、镉、钡、砷

建立了一种对各种塑料及其制品中铅、汞、铬、镉、钡和砷有害元素总量的快速检测方法.样品采用微波消解进行消化,消解后的溶液用电感耦合等离子体原子发射光谱仪(ICP-AES)进行元素检测.方法的检出限为:铅5.5mg/kg、汞3.0mg/kg、铬3.4mg/kg、镉0.5mg/kg、钡3.2mg/kg、砷7.9mg/kg.各种有代表性塑料样品的元素回收率在86.5%～113.6%之间.根据8个实验室3次平行测定数据计算本方法在相应浓度水平的精密度数据Sr、SR、r、R均满足痕量分析要求.此方法可避免塑料的不完全消解及汞、砷等元素的损失,又能快速定量测定样品中的有害元素,快速有效,易于推广.     

DISUTILITY, OPTIMAL RETIREMENT, AND PORTFOLIO SELECTION

We study the optimal retirement and consumption/investment choice of an infinitely-lived economic agent with a time-separable von Neumann–Morgenstern utility. A particular aspect of our problem is that the agent has a retirement option. Before retirement the agent receives labor income but suffers a utility loss from labor. By retiring, he avoids the utility loss but gives up labor income. We show that the agent retires optimally if his wealth exceeds a certain critical level. We also show that the agent consumes less and invests more in risky assets when he has an option to retire than he would in the absence of such an option.
An explicit solution can be provided by solving a free boundary value problem. In particular, the critical wealth level and the optimal consumption and portfolio policy are provided in explicit forms.     

BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

Using Bessel processes, one can solve several open problems involving the integral of an exponential of Brownian motion. This point will be illustrated with three examples. The first one is a formula for the Laplace transform of an Asian option which is "out of the money." The second example concerns volatility misspecification in portfolio insurance strategies, when the stochastic volatility is represented by the Hull and White model. The third one is the valuation of perpetuities or annuities under stochastic interest rates within the Cox-Ingersoll-Ross framework. Moreover, without using time changes or Bessel processes, but only simple probabilistic methods, we obtain further results about Asian options: the computation of the moments of all orders of an arithmetic average of geometric Brownian motion; the property that, in contrast with most of what has been written so far, the Asian option may be more expensive than the standard option (e.g., options on currencies or oil spreads); and a simple, closed-form expression of the Asian option price when the option is "in the money," thereby illuminating the impact on the Asian option price of the revealed underlying asset price as time goes by. This formula has an interesting resemblance with the Black-Scholes formula, even though the comparison cannot be carried too far.     

CONSUMER PROTECTION,CONSUMERS AND BUSINESS

This paper is based on a speech given to an OYEZ-IBC Conference in London on 10 November 1979. It argues that U.K. consumers and business generally have benefited from recent changes in the law. The ‘backlash’ against consumer protection legislation by some elements in business is wholly misguided.     

GROWTH,STAGNATION AND STATUS PREFERENCE

We show that an economy grows or stagnates depending on which of three objects people most esteem as tokens of status. If the main object of status preference is consumption, then a steady state with full employment is reached. If it is physical capital (which is a producible asset), then permanent growth with full employment occurs. However, if it is money (which is not a producible asset), stagnation with persistent unemployment arises.     

CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK

We propose a two-sided jump model for credit risk by extending the Leland–Toft endogenous default model based on the geometric Brownian motion. The model shows that jump risk and endogenous default can have significant impacts on credit spreads, optimal capital structure, and implied volatility of equity options: (1) Jumps and endogenous default can produce a variety of non-zero credit spreads, including upward, humped, and downward shapes; interesting enough, the model can even produce, consistent with empirical findings, upward credit spreads for speculative grade bonds. (2) The jump risk leads to much lower optimal debt/equity ratio; in fact, with jump risk, highly risky firms tend to have very little debt. (3) The two-sided jumps lead to a variety of shapes for the implied volatility of equity options, even for long maturity options; although in general credit spreads and implied volatility tend to move in the same direction under exogenous default models, this may not be true in presence of endogenous default and jumps. Pricing formulae of credit default swaps and equity default swaps are also given. In terms of mathematical contribution, we give a proof of a version of the "smooth fitting" principle under the jump model, justifying a conjecture first suggested by Leland and Toft under the Brownian model.     

CAPITALISTS,WORKERS AND SOCIAL SECURITY

This paper elaborates an exogenous growth model that nests overlapping generations of workers who save for life cycle reasons with dynastic agents who save for bequest reasons (‘capitalists’). The model overcomes Marglin's objection that the overlapping generations framework requires special assumptions about technology, and it also provides a natural environment to revisit Samuelson's analysis of lump‐sum transfers between generations. The ability of a benevolent planner to improve workers' welfare is severely restricted by the control capitalists exercise over the accumulation process. Prefunding social security assumes renewed significance because it overcomes this restriction.     

LOGISTICS PERFORMANCE: EFFICIENCY,EFFECTIVENESS, AND DIFFERENTIATION

This research examines the nature of logistics performance and the contribution of logistics to the firm by empirically investigating the impact of logistics performance on organizational performance. Logistics performance is tested as a second‐order formative construct comprised of three dimensions: logistics efficiency; logistics effectiveness; and logistics differentiation. Results indicate that logistics performance positively impacts organizational performance. Theoretical and empirical support is also provided for measuring logistics performance as a second‐order formative construct, indicating that efficiency, effectiveness, and differentiation are not necessarily trade‐offs, but rather are complementary. Importantly, perceptual measures for organizational performance collected from managerial respondents were strongly correlated with secondary financial data for participating organizations obtained from Compustat, lending empirical credence to the logistics performance–organizational performance relationship.     

POSITIVE ALPHAS,ABNORMAL PERFORMANCE,AND ILLUSORY ARBITRAGE

Jensen’s alpha is well known to be a measure of abnormal performance in the evaluation of securities and portfolios where abnormal performance is defined to be an expected return that exceeds the equilibrium risk adjusted rate. It is also well known that in estimating Jensen’s alpha, a nonzero value can be obtained by using incorrect factors or not employing time varying betas. This paper makes two additional contributions to the performance evaluation literature. First, we show that a stronger statement is true regarding the meaning of a nonzero Jensen’s alpha. In fact, a nonzero Jensen’s alpha represents an arbitrage opportunity. Second, we show that even if the correct factors and time varying betas are used, a nonzero Jensen’s alpha can result if the estimate is conditioned on the wrong information set in the presence of an asset price bubble. We call this illusory arbitrage. Both facts are relevant to interpreting the existing empirical literature evaluating the performance of mutual and hedge funds.     

DISTRIBUTION-INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

In the first part of the paper, we characterize distribution-invariant risk measures with convex acceptance and rejection sets on the level of distributions. It is shown that these risk measures are closely related to utility-based shortfall risk.
In the second part of the paper, we provide an axiomatic characterization for distribution-invariant dynamic risk measures of terminal payments. We prove a representation theorem and investigate the relation to static risk measures. A key insight of the paper is that dynamic consistency and the notion of "measure convex sets of probability measures" are intimately related. This result implies that under weak conditions dynamically consistent dynamic risk measures can be represented by static utility-based shortfall risk.     

BESSEL PROCESSES,STOCHASTIC VOLATILITY,AND TIMER OPTIONS

Motivated by analytical valuation of timer options (an important innovation in realized variance‐based derivatives), we explore their novel mathematical connection with stochastic volatility and Bessel processes (with constant drift). Under the Heston (1993) stochastic volatility model, we formulate the problem through a first‐passage time problem on realized variance, and generalize the standard risk‐neutral valuation theory for fixed maturity options to a case involving random maturity. By time change and the general theory of Markov diffusions, we characterize the joint distribution of the first‐passage time of the realized variance and the corresponding variance using Bessel processes with drift. Thus, explicit formulas for a useful joint density related to Bessel processes are derived via Laplace transform inversion. Based on these theoretical findings, we obtain a Black–Scholes–Merton‐type formula for pricing timer options, and thus extend the analytical tractability of the Heston model. Several issues regarding the numerical implementation are briefly discussed.     

MARKET STRUCTURE,CAPITAL INFLOWS,AND HOME WELFARE

The welfare implications of foreign capital inflows in an economy with an imperfectly competitive product market and a capital-intensive import-competing sector are analyzed. If the market structure is exogenous with a fixed number of firms, then a capital inflow improves welfare of the host country. However, if the market structure is endogenous, then a capital inflow tends to be immiserizing because it increases entry and reduces per firm output, thus driving firms up their average cost schedule. In addition, the welfare implications of capital inflows in the presence of trade restrictions are also studied, generating some new insights.     

试论价格与价值、供求的关系

价格与价值、供求之间的关系是价值理论争论的焦点。我们认为价值是价格的内在决定因素，供求价格的外在影响因素，在实践中我们既是坚持马克思的劳动价值论，又要吸收均衡价格论的合理因素，建立适应社会主义市场经济的科学价值论。     

WEB‐BASED AND MAIL SURVEYS: A COMPARISON OF RESPONSE,DATA, AND COST

The mail survey is the most common data collection technique used by logistics researchers today. Many researchers have noted that response rates to mail surveys have been declining. The Internet offers logistics researchers several potential advantages over traditional mail surveys. This research compares these two methods across response rates, speed of response, consistency of results, and cost. The research also provides unique insight regarding the ability of electronic methods to gain interest and subsequent participation among potential respondents thereby helping in theory testing.     

LINKING STRATEGY,STRUCTURE, PROCESS,AND PERFORMANCE IN INTEGRATED LOGISTICS

The current research was undertaken to present and test a framework of supply chain logistics integration that synthesizes current logistics thought with an established theory of organizational design. The framework portrays performance as an outcome of appropriate alignment between strategy, structure, and processes. The results support the contention that a firm that pursues a relational strategy, develops information and measurement structures to support relational processes, and then uses these tools to implement and execute integrated operations will experience high levels of logistical performance. In addition, the results indicate that superior logistics performance is related to simultaneous integration of internal and external operational processes.