排序方式: 共有20条查询结果,搜索用时 78 毫秒
11.
Stochastic dominance (SD) is a very useful tool in various areas of economics and finance. the purpose of this paper is to provide the results of SD relations developed in other areas such as applied probability which, we believe, are useful for many portfolio selection problems. In particular, the bivariate characterization of SD relations given by Shanthikumar and Yao (1991) is a powerful tool for the demand and the shift effect problems in optimal portfolios. the method enables one to extend many results that hold for the case where the underlying lying assets are statistically independent to the dependent case directly. 相似文献
12.
This paper examines the behavior of a labor-managed income-per-member-maximizing firm and a profit-maximizing firm in a quantity-setting model with a strategic commitment. First, each firm independently decides whether or not to make a commitment to capacity. This capacity may subsequently be increased, but cannot be decreased. Hence, each firm’s investment choice changes its capital cost from a variable one into a fixed one. Second, each firm independently chooses its actual output. The paper examines the equilibrium of the quantity-setting mixed model and shows whether or not capacity investment is effective for the labor-managed firm and the profit-maximizing firm. 相似文献
13.
Masamitsu Ohnishi 《Quantitative Finance》2020,20(10):1625-1644
This paper examines the execution problems of large traders with a generalized price impact. Constructing two related models in a discrete-time setting, we solve these problems by applying the backward induction method of dynamic programming. In the first problem, we formulate the expected utility maximization problem of a single large trader as a Markov decision process and derive an optimal execution strategy. Then, in the second model, we formulate the expected utility maximization problem of two large traders as a Markov game and derive an equilibrium execution strategy at a Markov perfect equilibrium. Both of these two models enable us to investigate how the execution strategies and trade performances of a large trader are affected by the existence of other traders. Moreover, we find that these optimal and equilibrium execution strategies become deterministic when the total execution volumes of non-large traders are deterministic. We also show, by some numerical examples, the comparative statics results with respect to several problem parameters. 相似文献
14.
The Nord Pool is often cited as a standard and successful electric power exchange. It was first created in Norway and developed
into the power change system covering the Nordic countries. The Nord Pool provides a physical market where electricity producers
and consumers/distributors meet by submitting bids for sale and purchase for 24 h time segment. If there does not exist a
restraint of transmission capacity across the member countries, a single price—system price—is calculated by the intersection
of the demand and supply curves, whereas if there exists congestion of transmission lines, area price instead of system price
emerges. We are interested in analyzing how often and how far the two prices diverge and the probability distribution of the
price ratio between system and area price. We found that the price ratio does not follow the normal distribution but the distribution
is fat-tailed. 相似文献
15.
Kazuhiro Ohnishi 《Research in Economics》2010,64(2):121-127
This paper examines an endogenous-timing mixed model, where a public firm competes against a foreign private firm. Each firm first chooses the timing for adopting a wage-rise contract as a strategic instrument. The following situation is considered. In the first stage, each firm simultaneously and independently chooses the stage in which it adopts a wage-rise contract, namely either stage 2 or stage 3. In the second stage, the firm choosing stage 2 can adopt the wage-rise contract in this stage. In the third stage, the firm choosing stage 3 can adopt the wage-rise contract in this stage. At the end of the game, each firm simultaneously and independently chooses its output. The paper discusses the equilibrium of the endogenous-timing mixed model. 相似文献
16.
Kazuhiro Ohnishi 《Bulletin of economic research》2003,55(4):407-413
This paper extends the retroactive most-favoured-customer pricing policy examined by Cooper (1986). He showed that the policy enabled both firms in a duopoly to offer higher prices and to enjoy higher profits. This paper introduces a variable into the most-favoured-customer pricing policy. Then, it shows that there is an equilibrium in which the duopolists can further increase their profits. 相似文献
17.
A Model of a Price-setting Duopoly with a Wage-rise Contract 总被引:1,自引:0,他引:1
Kazuhiro Ohnishi 《Australian economic papers》2003,42(2):149-157
This paper considers a wage-rise contract between a firm and its employees as the firm's strategy, and suggests a wage-rise-contract policy. The policy is a promise by the firm that it will announce a certain output level and a wage premium rate, and if it actually produces more than the announced output level, then it will pay each employee a wage premium uniformly. First, this paper examines the case in which one of two firms unilaterally offers the wage-rise-contract policy by using a two-stage price-setting duopoly model. It is then shown that there exists an equilibrium which coincides with the Stackelberg solution where the firm adopting the policy is the leader. Next, this paper examines the case in which both firms can offer the wage-rise-contract policy in the model. It is then shown that there exists an equilibrium which is more profitable for both firms than in the unilateral case. 相似文献
18.
19.
Kazuhiro Ohnishi 《Australian economic papers》2001,40(1):30-43
This paper is based on a two-stage model of an incumbent firm and a potential entrant, and studies both quantity-setting competition and price-setting competition. We consider a lifetime-employment-contract policy as a strategic commitment that generates kinks in the reaction curve. Furthermore, demand functions are classified into two cases in terms of the strategic relevance between both firms. Therefore, we examine the following four cases: 'quantity-setting competition with strategic substitutes', 'quantity-setting competition with strategic complements', 'price-setting competition with strategic substitutes' and 'price-setting competition with strategic complements'. The purpose of this paper is to analyse entry deterrence in the four cases and to show the effectiveness of the lifetime-employment-contract policy as a result of its analyses. 相似文献
20.
Asia-Pacific Financial Markets - We examine a discrete–time optimal pair–trade execution problem with generalized cross–impact. This research is an extension of Fukasawa... 相似文献