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.     

农村劳动力质量对规模农户生产效率影响研究

随着我国工业化与城镇化加速推进,农村领域大量劳动力以不同速度流向了非农产业,农村劳动力要素禀赋质量发生了巨大变化,农村劳动力要素禀赋质量的异质性对规模农户粮食生产效率的提高产生了深刻的影响。文章基于460户调查数据,运用Q型聚类方法将劳动力质量类型分为男性经验丰富型、女性经验丰富型、男性经验欠缺型、女性经验欠缺型四种类型,并利用随机前沿生产函数模型,计量检验了不同劳动力质量类型、劳动态度及劳动力市场发育等变量对家庭生产效率的影响。研究结果表明:男性经验丰富型与女性经验丰富型对家庭经济增长效率提升产生了显著的正效应,效应值分别为0.290、0.170,而男性经验欠缺型与女性经验欠缺型对生产效率提升产生了明显的负向影响,效应值分别为-0.110、-0.153,劳动态度、劳动力市场发育变量与家庭生产效率提升呈现了较强正、负相关性,效应值分别为0.590、-6.738。     

CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS

Most of the existing pricing models of variance derivative products assume continuous sampling of the realized variance processes, though actual contractual specifications compute the realized variance based on sampling at discrete times. We present a general analytic approach for pricing discretely sampled generalized variance swaps under the stochastic volatility models with simultaneous jumps in the asset price and variance processes. The resulting pricing formula of the gamma swap is in closed form while those of the corridor variance swaps and conditional variance swaps take the form of one‐dimensional Fourier integrals. We also verify through analytic calculations the convergence of the asymptotic limit of the pricing formulas of the discretely sampled generalized variance swaps under vanishing sampling interval to the analytic pricing formulas of the continuously sampled counterparts. The proposed methodology can be applied to any affine model and other higher moments swaps as well. We examine the exposure to convexity (volatility of variance) and skew (correlation between the equity returns and variance process) of these discretely sampled generalized variance swaps. We explore the impact on the fair strike prices of these exotic variance swaps with respect to different sets of parameter values, like varying sampling frequencies, jump intensity, and width of the monitoring corridor.     

Momentum in the Chinese Stock Market: Evidence from Stochastic Oscillator Indicators

ABSTRACT

We explore whether investors earn profits through the use of stochastic oscillator indicators (SOI) for trading stocks. The results reveal that investors might use momentum strategies when trading constituent stocks of SSE 50 as the overbought trading signals emitted by SOI. We infer that the results might be caused by herding behaviors of Chinese investors since overoptimistic moods are likely to exist as evidenced by the 80 percent trading volume traded by individual investors in the Chinese stock market.     

Which Net Capital Flows Matter?

This article classifies extreme net capital flow episodes into four types and analyzes the macroeconomic impacts of each type. First, we find that all types of episodes increased drastically in the 2000s relative to previous years. Second, we conclude that liability-flow-driven episodes have more significant macroeconomic impacts than do asset-flow-driven episodes. Third, we show that only drastic positive net capital flows that were driven by liability flows were associated with a higher probability of banking crises in the 2000s. The results suggest that the detailed classification of extreme net capital flows provides insight into these movements’ macroeconomic impacts and policy implementations.     

PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION

This paper studies the price‐setting problem of market makers under risk neutrality and perfect competition in continuous time. The classic approach of Glosten–Milgrom is followed. Bid and ask prices are defined as conditional expectations of a true value of the asset given the market makers' partial information that includes the customers' trading decisions. The true value is modeled as a Markov process that can be observed by the customers with some noise at Poisson times. A mathematically rigorous analysis of the price‐setting problem is carried out, solving a filtering problem with endogenous filtration that depends on the bid and ask price processes quoted by the market maker. The existence and uniqueness of the bid and ask price processes is shown under some conditions.     

Does international capital flow lead to a housing boom? A time-varying evidence from China

This paper examines the causal relationship between the housing prices (HP) and the international capital flows (ICF) in China. With structural changes existing, we find that long-run relationship using full-sample data is unstable, suggesting that traditional Granger causality test is not reliable. However, we further find an unstable short-run relationship between ICF and HP when assessing the stability of the parameters and there are bidirectional causal relationships between ICF and HP for several sub-periods. Additionally, our findings indicate both positive and negative bidirectional causal relations between the series. Based on the arbitrage of ICF, the results suggest that the rise of Chinese HP is the underlying force for the inflows of international capital. Meanwhile, a surge in capital inflows may be accompanied by a rise in the price of housing. This confirms the theoretical analysis that there is an interconnected transmission mechanism between the ICF and the HP, which is diverse and depends both on the flow of ICF and on other factors.     

虚拟集群式旅游供应链模型构建研究

文章基于旅游供应链理论研究动态与现代信息技术发展态势,提出以信息拉动式为特征的在线旅游供应链(e-tourism supply chain)的理念。从集群式供应链视角,分析了虚拟集群式旅游供应链建立的动因,构建了虚拟集群式旅游供应链理论模型。文章通过创新旅游供应链研究视角,借鉴产业集群与供应链管理耦合研究理论,试图在赛博空间(Cyberspace)里,构建起虚拟集群式旅游供应链的理论框架,可分成4个部分:(1)旅游者信息链,是围绕着每个旅游者需求信息的一条"信息拉动式供应链",在此基础上形成旅游企业旅游服务大规模定制链;(2)旅游服务定制链,旅游企业在以"旅游者"为中心的信息链上提供即时响应、即时采购、即时生产、即时销售的敏捷制造服务,同业性旅游企业合作服务于旅游者;(3)信息共享平台,包括旅游者需求汇集、统计、分流平台,旅游企业沟通平台和旅游评价平台;(4)专业化辅助企业,具有弹性专精的优势,缓解大规模标准通用化服务提供和市场的定制化随机要求(stochastic demand)之间的矛盾,满足了旅游者对定制化旅游服务需求。     

Sustainable hub location under mixed uncertainty

This paper addresses a novel sustainable hub location problem (SHLP) in which two new environmental-based cost functions accounting for air and noise pollution of vehicles are incorporated. To cope with uncertain data incorporated in the model, a mixed possibilistic–stochastic programming approach is proposed to construct the crisp counterpart. A simulated annealing (SA) and an imperialist competitive algorithm (ICA) with a new solution representation are developed to solve real-sized instances whose performances are compared with a proposed lower bound. Finally, some computational experiments are provided to demonstrate the effectiveness of the proposed model and solution approaches.     

Short-time at-the-money skew and rough fractional volatility

The Black–Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time to maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power law. The volatility process of the model is driven by a fractional Brownian motion with Hurst parameter less than half. The fractional Brownian motion is correlated with a Brownian motion which drives the asset price process. We derive an asymptotic expansion of the implied volatility as the time to maturity tends to zero. For this purpose, we introduce a new approach to validate such an expansion, which enables us to treat more general models than in the literature. The local-stochastic volatility model is treated as well under an essentially minimal regularity condition in order to show such a standard model cannot be dynamically consistent to the power law.