非关税措施量化公式评价

与直接可以用税率高低来度量其保护程度的关税不一样,非关税措施是一种隐蔽的难以直接度量其保护作用的贸易保护主义手段。本文评价了近年来国外普遍采用的非关税措施保护作用的量化方法,包括频度——类型测算法、价格对比测算法、支持率测算法的设计思路和运用状况,以便为不时发生的贸易争端和贸易谈判提供可以用来判断进口国非关税措施保护程度的分析工具。     

Estimating a continuous time portfolio selection model: An application with UK data

An empirical assessment of a continuous time portfolio selection model is studied for the UK economy between 1970 and 1996. The estimates obtained from this study are both statistically significant and consistent with the model's predictions. The estimate of risk aversion parameter refers to low risk aversion which is consistent with the optimal risky asset holding parameter. Furthermore, the estimated parameters of the asset pricing relationship are also found to be consistent with the historical values of the stock prices. First version received: February 1998/final version received: March 1999     

对上海市住房市场的实证非均衡分析

文章首先通过理论分析表明,住房市场是一个非均衡的市场。随后把上海短期住房市场分为增量房和存量房两个市场,运用非均衡市场的供需函数模型对其进行了定量实证分析。结果表明住房市场的非均衡程度很高,因为上海住房市场中需求缺乏价格弹性,而对未来房价的预期使得投资需求的     

农业服务业与农业生产区域专业化的协同效应研究

[目的]探索农业服务业和农业生产区域专业化之间的相互关系,从而为农业服务业持续发展和农业生产区域专业化水平提升寻找可能路径。[方法]文章运用2003—2015年全国28个省的面板数据建立联立方程组模型检验农业服务业和农业生产区域专业化之间的协同效应。[结果](1)从全国层面来看,农业服务业产值增加1%使得农业生产的区域集中度指数提高0. 08%,结果在1%的水平上显著;前一期农业生产区域集中度指数提高1%使得当期农业服务业产值提高5. 348%,结果在5%的水平上显著;(2)西部地区农业服务业产值增加1%使得农业生产的区域集中度指数提高0. 342%,前一期农业生产区域集中度指数提高1%使得当期农业服务业产值提高7. 474%,结果分别在10%和5%的水平上显著;(3)东部地区农业服务业产值增加1%使得农业生产的区域集中度指数提高0. 099%,前一期农业生产区域集中度指数提高1%使得当期农业服务业产值提高5. 874%,结果均在5%的水平上显著;(4)中部地区农业服务业产值增加没有显著影响农业生产区域集中度指数,前一期农业生产区域集中度指数对当期农业服务业产值有5%水平上显著正向的影响,影响弹性为4. 531。[结论](1)农业服务业和农业生产区域专业化在全国层面表现出互相促进的协同效应,但是,该协同效应在东部、中部和西部地区表现出明显的差异;(2)西部地区农业服务业和生产区域专业化的协同效应最强烈;(3)东部地区农业服务业和生产区域专业化表现出协同效应,但不及西部强烈;(4)中部地区农业服务业和生产区域专业化没有表现出明显的协同效应。据此该文认为进一步优化农业产业布局应当重视农业服务业和区域生产专业化的协同效应及其地区差异。     

Optimal investment and reinsurance policies for an insurer with ambiguity aversion

In this paper, we study the optimal investment and reinsurance problem for an insurer based on the variance premium principle, in which three cases are considered. First, we assume that the financial market does not exist. The insurer only holds an insurance business, and the optimal reinsurance problem is studied. Subsequently, we assume that there exists a financial market with an accurately modeled risky asset. The optimal investment and reinsurance problem is investigated under these conditions. Finally, we consider the general case in which the insurer is concerned about the model ambiguity of both the insurance market and the financial market. In all three cases, the value function is set to maximize the expected utility of terminal wealth. By employing the dynamic programming principle, we derive the Hamilton–Jacobi–Bellman (HJB) equations, which are satisfied by the value functions and obtain closed-form solutions for optimal reinsurance and investment policies and the value functions in all three cases. Most interestingly, we elucidate how investment improves the insurer’s utility and find that the existence of ambiguity can significantly affect the optimal policies and value functions. We also compare the ambiguities in the two markets and find that ambiguity in the insurance market has much more significant impact on the value function than the ambiguity in the financial market. It implies that it is more valuable for insurer to precisely evaluate the insurance risk. We also provide some numerical examples and economic explanations to illustrate our results.     

DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING

We consider a portfolio optimization problem in a defaultable market with finitely‐many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market coefficients are assumed to depend on the market regime in place, which is modeled by a finite state continuous time Markov process. By separating the utility maximization problem into a predefault and postdefault component, we deduce two coupled Hamilton–Jacobi–Bellman equations for the post‐ and predefault optimal value functions, and show a novel verification theorem for their solutions. We obtain explicit constructions of value functions and investment strategies for investors with logarithmic and Constant Relative Risk Aversion utilities, and provide a precise characterization of the directionality of the bond investment strategies in terms of corporate returns, forward rates, and expected recovery at default. We illustrate the dependence of the optimal strategies on time, losses given default, and risk aversion level of the investor through a detailed economic and numerical analysis.     

Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market

We study the numerical solutions for an integro-differential parabolic problem modeling a process with jumps and stochastic volatility in financial mathematics. We present two general algorithms to calculate numerical solutions. The algorithms are implemented in PDE2D, a general-purpose, partial differential equation solver.     

Organizational antecedents and competitive consequences of environmental proactivity in the hotel industry

This research simultaneously examines the influence of organizational design variables (specialization, decentralization, formalization, link mechanisms, and informal social relations) on environmental proactivity, and the impact of this environmental proactivity on the competitiveness of hotels. The joint analysis of causes and consequences of environmental proactivity, and the relationship between organizational design and environmental management are topics that have rarely been explored in the literature. Using structural equation modeling methodology, a model is empirically tested using a survey instrument that was distributed to hotels in Spain. The findings indicate that specialization, formalization, link mechanisms, and informal social relations are effective coordination mechanisms to foster environmental proactivity. Moreover, the most effective way of encouraging the implementation of environmental practices is formalization. The findings also show that environmental proactivity contributes to improving competitive advantage in terms of both cost and differentiation.     

FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

The left tail of the implied volatility skew, coming from quotes on out‐of‐the‐money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex monetary measures of risk. In particular, we make use of indifference pricing by dynamic convex risk measures, which are given as solutions of backward stochastic differential equations, to establish a link between these two approaches to risk measurement. We derive a characterization of the implied volatility in terms of the solution of a nonlinear partial differential equation and provide a small time‐to‐maturity expansion and numerical solutions. This procedure allows to choose convex risk measures in a conveniently parameterized class, distorted entropic dynamic risk measures, which we introduce here, such that the asymptotic volatility skew under indifference pricing can be matched with the market skew. We demonstrate this in a calibration exercise to market implied volatility data.     

Herding,trend chasing and market volatility

We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return and the level of the significant autocorrelations (ACs) of the absolute and squared returns increase with the intensities of herding and trend chasing based on long time horizon. However an increase in switching intensity reduces the return volatility and in particular a low switching intensity reduces the price volatility and increases the level of the significant ACs, but the effect becomes opposite when the switching intensity is high. We also show that market noise plays a more important role than fundamental noise on the power-law behavior of returns.