Pareto-undominated and socially-maximal equilibria in non-atomic games

This paper makes the observation that a finite Bayesian game with diffused and disparate private information can be conceived of as a large game with a non-atomic continuum of players. By using this observation as its methodological point of departure, it shows that (i) a Bayes–Nash equilibrium (BNE) exists in a finite Bayesian game with private information if and only if a Nash equilibrium exists in the induced large game, and (ii) both Pareto-undominated and socially-maximal BNE exist in finite Bayesian games with private information. In particular, it shows these results to be a direct consequence of results for a version of a large game re-modeled for situations where different players may have different action sets.     

Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting

We study Arrow–Debreu equilibria for a one‐period‐two‐date pure exchange economy with rank‐dependent utility agents having heterogeneous probability weighting and outcome utility functions. In particular, we allow the economy to have a mix of expected utility agents and rank‐dependent utility ones, with nonconvex probability weighting functions. The standard approach for convex economy equilibria fails due to the incompatibility with second‐order stochastic dominance. The representative agent approach devised in Xia and Zhou (2016) does not work either due to the heterogeneity of the weighting functions. We overcome these difficulties by considering the comonotone allocations, on which the rank‐dependent utilities become concave. Accordingly, we introduce the notion of comonotone Pareto optima, and derive their characterizing conditions. With the aid of the auxiliary problem of price equilibria with transfers, we provide a sufficient condition in terms of the model primitives under which an Arrow–Debreu equilibrium exists, along with the explicit expression of the state‐price density in equilibrium. This new, general sufficient condition distinguishes the paper from previous related studies with homogeneous and/or convex probability weightings.     

Optimal insurance under rank‐dependent utility and incentive compatibility

Bernard, He, Yan, and Zhou (Mathematical Finance, 25(1), 154–186) studied an optimal insurance design problem where an individual's preference is of the rank‐dependent utility (RDU) type, and show that in general an optimal contract covers both large and small losses. However, their results suffer from the unrealistic assumption that the random loss has no atom, as well as a problem of moral hazard that provides incentives for the insured to falsely report the actual loss. This paper addresses these setbacks by removing the nonatomic assumption, and by exogenously imposing the “incentive compatibility” constraint that both indemnity function and insured's retention function are increasing with respect to the loss. We characterize the optimal solutions via calculus of variations, and then apply the result to obtain explicitly expressed contracts for problems with Yaari's dual criterion and general RDU. Finally, we use numerical examples to compare the results between ours and Bernard et al.     

An Empirical Investigation of the Effects of Rounding on the SPF Probabilities of Decline and Output Growth Histograms

I consider the possibility that respondents to the Survey of Professional Forecasters round their probability forecasts of the event that real output will decline in the future, as well as their reported output growth probability distributions. I make various plausible assumptions about respondents’ rounding practices, and show how these impinge upon the apparent mismatch between probability forecasts of a decline in output and the probabilities of this event implied by the annual output growth histograms. I find that rounding accounts for about a quarter of the inconsistent pairs of forecasts.     

基于风险中性路径概率的三叉树期权定价模型

树方法是给经典期权进行定价的非常实用的数值方法,目前最流行的是二叉树模型。三叉树定价模型作为二叉树的一个扩展,其同样是在风险中性概率的基础上给经典期权进行定价,并且可以通过MATLAB实现。相比于二叉树而言,三叉树模型的定价结果具有更好的收敛性。除此之外,用三叉树模型对影响期权价格的一些因素进行敏感性分析,可以验证该模型的合理性。     

Optimal constrained investment in the Cramer-Lundberg model

We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk-free asset and in a risky asset, governed by the Black-Scholes equation. There is a constraint that the insurance company can only invest in the risky asset at a limited leveraging level; more precisely, when purchasing, the ratio of the investment amount in the risky asset to the surplus level is no more than a; and when short-selling, the proportion of the proceeds from the short-selling to the surplus level is no more than b. The objective is to find an optimal investment policy that minimizes the probability of ruin. The minimal ruin probability as a function of the initial surplus is characterized by a classical solution to the corresponding Hamilton-Jacobi-Bellman (HJB) equation. We study the optimal control policy and its properties. The interrelation between the parameters of the model plays a crucial role in the qualitative behavior of the optimal policy. For example, for some ratios between a and b, quite unusual and at first ostensibly counterintuitive policies may appear, like short-selling a stock with a higher rate of return to earn lower interest, or borrowing at a higher rate to invest in a stock with lower rate of return. This is in sharp contrast with the unrestricted case, first studied in Hipp and Plum, or with the case of no short-selling and no borrowing studied in Azcue and Muler.     

基于相关与偏相关分析的城市居民休闲度假市场开发研究——以南京为例

我国旅游业正向休闲度假型转变。运用相关分析与偏相关分析方法,以南京为例探析城市居民休闲度假旅游需求。研究发现偏爱休闲度假的居民由于地位与收入的不同在旅游资源喜好、旅游活动偏好、购买行为、信息来源渠道、出游方式等方面与一般居民有着明显差异。因此,休闲旅游目标市场的定位应在高学历、中高收入阶层,旅游资源的开发应优先考虑湖泊水滨、森林山地,产品开发应注意项目与资源的耦合且促销渠道应以网络为主,兼顾传统媒介。     

我国货币政策通过国际贸易传递的实证分析

本文利用相关分析、Granger因果关系分析和自回归分布滞后模型 ,对中国货币政策通过国际贸易传递的途径进行了实证分析 ,结论表明 ,我国货币政策无法通过汇率途径传递到国际贸易上 ,通过信贷传递到国际贸易上是扭曲的途径 ,货币政策能够通过物价途径对净出口有正面影响。     

U.S. and Latin American stock market linkages

This paper examines to what extent the Latin American equity markets of Argentina, Brazil, Chile and Mexico have become more integrated with the US equity market. We empirically measure integration by finding the dynamic conditional correlation (DCC) between each market and that in the U.S. using a DCC multivariate GARCH model. We then track how these correlations evolve over time using a smooth transition model which not only shows when greater integration first occurred but also how long it took these correlations to transition to their new levels. Our sample period stretches from December 30th, 1988 to March 26th, 2004. Results show an increase in the degree of co-movement between these countries’ equity returns and those in the U.S. although the magnitude and speed of these increases greatly varies across these four countries.     

Default and Recovery Risk Dependencies in a Simple Credit Risk Model

This paper provides evidence for the relationship between credit quality, recovery rate, and correlation. The paper finds that rating grade, rating shift, and macroeconomic factors provide a highly significant explanation for default risk and recovery risk of US bond issues. The empirical data suggest that default and recovery processes are highly correlated. Therefore, a joint approach is required for estimating time‐varying default probabilities and recovery rates that are conditional on default. This paper develops and applies such a model.