重构企业R＆D项目战略投资决策方法体系

传统的投资决策方法是一种建立在广泛应用的以货币的时间价值为基础的投资决策方法,它已越来越不能适应当今充满不确定性和竞争性的市场需要.实物期权方法比传统的折现现金流法（DCF）更适合来分析不确定条件下的投资决策问题,但仅凭实物期权方法还不能对不完全竞争环境下的企业R＆D项目战略投资问题进行准确分析和估价,而引入期权博弈理论恰好能克服这些缺陷.文章从理论上阐述了重构企业R＆D项目投资决策方法体系的可能性和必要性,并由此提出了研究的基本框架.     

On the Role of Weight Restrictions in Data Envelopment Analysis

This paper examines the role that weight restrictions play in Data Envelopment Analysis (DEA). It is argued that the decision to include a factor (input or output) in a DEA model represents an implicit judgement that the factor has a non-trivial weight. It therefore seems perverse to allow DEA to assign a trivial weight to that factor in assessing the efficiency of a unit. There is therefore a strong case for imposing restrictions on factor weights. However, many existing methods of weight restriction are in practice unwieldy. This paper proposes an alternative approach we term contingent weight restriction which is both practical and intellectually consistent with the DEA philosophy. The paper explores the implications of alternative methods of weight restriction using simulated data from a well known production process.     

The Performance of Actively Managed International Mutual Funds

International mutual funds allow individual investors to diversify abroad at a reasonable cost. This paper tests whether international funds that actively engage in country and security selection outperform passive global benchmarks. We apply a mean-variance efficiency test that incorporates the practical prohibition against short sales of open-end mutual funds. Our tests reject the efficiency of the world equity market portfolio over the sample period, and our funds as a group outperform the inefficient world index. However, we find no evidence of security selectivity ability using a 12-country benchmark. We do find that active international funds provide global diversification benefits. Tests using the Positive Period Weight (PPW) measure of Grinblatt and Titman (1989), which is robust to nonlinearity in fund and benchmark returns, yield similar results.     

实物期权在房地产投资估价中的应用

与传统的投资决策方法相比,实物期权方法不仅考虑到房地产投资的不确定性带来的风险,还体现了其柔性管理和战略投资的价值。介绍了实物期权理论的概念与分类,将实物期权理论引入房地产投资估价中,并通过等待期权实例分析说明了其在实际中的应用。     

R&D项目投资评估的实物期权方法初探

本文分析了传统的NPV法在R&D项目投资评估中的缺陷,指出R&D项目投资本质上所具有的期权特性。在此基础上引入了实物期权方法,包括Black-Scholes期权定价方法和Geske期权定价模型。     

On efficiency of the ratio estimator

Summary The exact mean square error for the ratio estimator of a finite population total based on simple random sampling without replacement is shown to have an expected value less than that of the variance of the ratio estimator based on Midzuno’s scheme, under a usual super-population model.     

Finding Closest Targets in Non-Oriented DEA Models: The Case of Convex and Non-Convex Technologies

This paper draws attention for the fact that traditional Data Envelopment Analysis (DEA) models do not provide the closest possible targets (or peers) to inefficient units, and presents a procedure to obtain such targets.It focuses on non-oriented efficiency measures (which assume that production units are able to control, and thus change, inputs and outputs simultaneously) both measured in relation to a Free Disposal Hull (FDH) technology and in relation to a convex technology. The approaches developed for finding close targets are applied to a sample of Portuguese bank branches.     

长沙市地下管线测量数字化的更新、软件升级及应用

地下管线的主要特点是隐蔽性,地下分布纵横交错,年代已久的原有手工数据几乎无参考价值且存档不便、使用复杂、工作量大。使用自主开发升级后的计算机程序软件,不仅可以大大提高地下管线测量数据的更新、规划设计及施工的效率,而且可以通过CAD图形分析对特殊地段重要管线是否保留利用作出决定。     

Productive Efficiency of the Swine Industry in Hawaii: Stochastic Frontier vs. Data Envelopment Analysis

Improving productive efficiency is an increasingly important determinant of the future of the swine industry in Hawaii. This paper examines the productive efficiency of a sample of swine producers in Hawaii by estimating a stochastic frontier production function and the constant returns to scale (CRS) and variable returns to scale (VRS) output-oriented DEA models. The technical efficiency estimates obtained from the two frontier techniques are compared. The scale properties are also examined under the two approaches. The industry's potential for increasing production through improved efficiency is also discussed.     

An Average Derivative Estimation of Stochastic Frontiers

This paper utilizes the average derivative estimation of Stoker (1986) and the pesudo-likelihood estimation of Fan, Li, and Weersink (1996) to estimate a semiparametric stochastic frontier regression, y = g(x) + , where the function g(.)is unknown and is a composite error in a standard setting. The proposed semiparametric method of estimation is applied to data on farmers' credit unions in Taiwan. Empirical results show that the banking services of the farmers' credit unions is subject to economies of scale, but high degree of cost inefficiency in operation.