Optimal investment and consumption under a continuous-time cointegration model with exponential utility

In this paper, we study the effects of cointegration on optimal investment and consumption strategies for an investor with exponential utility. A Hamilton-Jacobi-Bellman (HJB) equation is derived first and then solved analytically. Both the optimal investment and consumption strategies are expressed in closed form. A verification theorem is also established to demonstrate that the solution of the HJB equation is indeed the solution of the original optimization problem under an integrability condition. In addition, a simple and sufficient condition is proposed to ensure that the integrability condition is satisfied. Financially, the optimal investment and consumption strategies are decomposed into two parts: the myopic part and the hedging demand caused by cointegration. Discussions on the hedging demand are carried out first, based on analytical formulae. Then numerical results show that ignoring the information about cointegration results in a utility loss.     

"跳单问题"的研究范式与理论成果

以最高人民法院公布的首批首个指导性案例——“跳单案”为典型的跳单问题在各行各业广泛存在，其中蕴含丰富的经济学和法学内涵，更是产业组织理论和法律经济学的重要研究方向，可谓新发现的“学术金矿”。本文是相关研究成果的一个综述，主要包括：跳单问题的提出，分析框架——B T C范式，基本理论——跳单二重性理论、跳单与反跳单互克理论、跳单定理与定律以及基于跳单的租金结构新论，构成一个比较完整的理论分析体系。     

Estimation of spot volatility with superposed noisy data

By using high frequency financial data, we nonparametrically estimate the spot volatility at any given time point, while the simultaneous presence of multiple transactions and market microstructure noise in the observation procedure are considered. Our estimator is based on the summation of the locally ranged increments, while kernel smoothing give us spot volatility. Besides, the microstructure noise can be estimated and removed, if it is modeled as bid-ask spread, which is a frequently used assumption. The consistency and asymptotic normality of the estimator are established. We do some simulation studies to assess the finite sample performance of our estimator. The estimator is also applied to some real data sets, further, the relationship between multiple records and spot volatility is also explored.     

Islamic economics and a third fundamental theorem of welfare economics

The discipline of economics started as a moral science but became detached from moral concerns over time to emulate natural science and to adopt positivism. Consequently, mainstream economics assumes people to be sordidly selfish. The teachings of Islam, however, promote social preferences where individuals should be other‐regarding and have preferences over social outcomes. This paper replaces the selfish agent with a social agent and presents the results in a theorem referred to as the third fundamental theorem of welfare economics (TFTWE). The TFTWE states that “when the selfish agents are replaced with the social agents, market outcomes are Pareto optimal, equitable, and unique”. This is an important result which has widespread implications. We show that the TFTWE holds under conditions where the first two fundamental theorems of welfare economics fail and that a Walrasian equilibrium is more likely to exist when selfish preferences are non‐convex. Unlike the popular convention, there is no equity‐efficiency trade‐off. In fact we point to the possibility of reversal in equity‐efficiency trade‐off.     

A theory of classification and evolution of technologies within a Generalised Darwinism

This paper here proposes a theory of classification and evolution of technology based on taxonomic characteristic of interaction between technologies that is an under-studied field of research in economics of technical change and management of technology. The proposed classification of technologies, in a broad analogy with evolutionary ecology of parasites, within a theoretical framework of Generalised Darwinism, is: (1) parasitic technologies, (2) commensal technologies, (3) mutualistic technologies, (4) symbiotic technologies. This theory here suggests the property of mutual benefaction from interaction between different technologies and the theorem of not independence of any technology to explain and predict characteristics and evolutionary pathways of technologies over time. Overall, then, this study may be useful for bringing a new perspective in economics of innovation to categorise and analyse the interaction between technologies that can be a ground work for development of more sophisticated concepts to explain and predict the evolution of technology and generalise aspects of technological change in human society.     

Faustmann vs. real options theory – An experimental investigation of foresters’ harvesting decisions

Among the most complex decisions in forestry is the decision of when to harvest a stand. Many investment theories have been established and adjusted to maximize profit, yet limited knowledge is available regarding the predictive power of theories. Understanding foresters’ harvesting behavior, however, is important for forest management and policy support. Thus, the question arises as to what extent risky harvesting decisions comply with economic theories. Therefore, we conduct an incentive-based economic experiment with 107 forestry decision makers in order to analyze this research question. This approach is well-established in the field of behavioral economics since it has the advantage of analyzing certain economic parameters isolated from further aspects of the decision situation. We use the Faustmann–Pressler–Ohlin theorem and a real options approach as normative benchmarks. The present study provides evidence that none of the examined theories fully comply with the observed behavior. However, the harvesting behavior coincides significantly more with the real options theory than with the Faustmann–Pressler–Ohlin theorem. It can thus be stated that a higher degree of education leads to decisions that are more in accordance with the real options theory.     

交易成本理论与土地登记制度的经济分析

法律经济分析是以经济学的理论和方法研究法律制度问题,其核心思想是效率。从法律经济分析的基本理论与方法出发,在交易成本理论和科斯定理的基础上,分析涉及土地登记制度的交易成本的各个方面,据此提出基于“降低交易成本、保障安全与效率”的我国土地登记制度建设的原则和思路。     

Tercentenary of Ars Conjectandi (1713): Jacob Bernoulli and the Founding of Mathematical Probability

The Tercentenary of the publication of Jacob Bernoulli's Ars Conjectandi (The Art of Conjecturing) provides an opportunity to look at the origins of mathematical probability from Jacob Bernoulli's point of view. Bernoulli gave a mathematically rigorous proof of what has come to be called the weak law of large numbers, relevant to discovering ratios of unknown factors through sampling. The Art of Conjecturing was a bridge between the mathematics of expectation in games of chance as found in Huygens's On Reckoning in Games of Chance and mathematical probability as found in Abraham De Moivre's The Doctrine of Chances. This paper looks at the conceptual context as well as the mathematics of Bernoulli's book.     

Harsanyi’s theorem without the sure-thing principle: On the consistent aggregation of Monotonic Bernoullian and Archimedean preferences

This paper studies the extension of Harsanyi’s theorem (Harsanyi, 1955) in a framework involving uncertainty. It seeks to extend the aggregation result to a wide class of Monotonic Bernoullian and Archimedean preferences (Cerreia-Vioglio et al., 2011) that subsumes many models of choice under uncertainty proposed in the literature. An impossibility result is obtained, unless we are in the specific framework where all individuals and the social observer are subjective expected utility maximizers sharing the same beliefs. This implies that non-expected utility preferences cannot be aggregated consistently.     

Optimal private good allocation: The case for a balanced budget

In an independent private value auction environment, we are interested in strategy-proof mechanisms that maximize the agents' residual surplus, that is, the utility derived from the physical allocation minus transfers accruing to an external entity. We find that, under the assumption of an increasing hazard rate of type distributions, an optimal deterministic mechanism never extracts any net payments from the agents, that is, it will be budget-balanced. Specifically, optimal mechanisms have a simple “posted price” or “option” form. In the bilateral trade environment, we obtain optimality of posted price mechanisms without any assumption on type distributions.