Relative risk aversion, relative prudence and comparative statics under uncertainty: The case of (μ, σ)‐preferences

From the expected‐utility approach, relative risk aversion being smaller than one and relative prudence being smaller than two emerge as preference restrictions that fully determine the optimal responses of decisions under uncertainty to certain shifts in probability distributions. We characterize the magnitudes of relative risk aversion and relative prudence in terms of the two‐parameter, mean‐standard deviation approach. We demonstrate that this characterization is instrumental in obtaining comparative static results in the two‐parameter setting. We further relate our findings to the results in the expected‐utility framework.     

Preserving preference rankings under background risk

For any random vector of wealth payoffs , let the random variable be mutually independent of and with . The basic question we address in this paper is the following: When can we say that is preferred by an expected-utility maximizer to whenever is preferred to ? In other words, when can we guarantee that the addition of an arbitrary independent background noise will not affect the preference ranking between other risks?     

Individual preferences and the effect of uncertainty on irreversible investment

This paper considers a relationship between investment behavior and an agent’s preferences in a stochastic one-sector growth model with irreversible investment. Further, it explores the effect of uncertainty in investment policies by using a non-expected utility function. Since uncertainty has an impact on investment policies not only through an option value but also through a risk-adjusted time preference rate in a general equilibrium framework, it is significant to distinguish the two preference parameters of the agent. While the previous partial equilibrium models with irreversible investment have exhibited a negative relationship between the desired capital stock and uncertainty, this paper implies that it is possible to generate a positive relationship for the appropriate parameters. This shows that the results of Hartman and Abel have been robust even in a general equilibrium model.     

Optimal hedge ratio under a subjective re-weighting of the original measure

In this article we study a risk-minimizing hedge ratio with futures contracts, where the risk of the hedged portfolio is measured through a spectral risk measure (SRM), thus incorporating the degree of agent’s risk aversion. We empirically estimate the optimal hedge ratio (OHR) using a long time series of UK and US equity indices, the EURUSD and EURGBP exchange rates and four liquid commodities (Brent crude oil, corn, gold and copper), to represent different asset classes. Comparing the results with common OHRs (such as the minimum variance and the minimum expected shortfall), we find that the agent’s risk aversion has a material impact, and should not be ignored in risk management.     

Optimal climate change mitigation under long-term growth uncertainty: Stochastic integrated assessment and analytic findings

Economic growth over the coming centuries is one of the major determinants of today׳s optimal greenhouse gas mitigation policy. At the same time, long-run economic growth is highly uncertain. This paper is the first to evaluate optimal mitigation policy under long-term growth uncertainty in a stochastic integrated assessment model of climate change. The sign and magnitude of the impact depend on preference characteristics and on how damages scale with production. We explain the different mechanisms driving optimal mitigation under certain growth, under uncertain technological progress in the discounted expected utility model, and under uncertain technological progress in a more comprehensive asset pricing model based on Epstein–Zin–Weil preferences. In the latter framework, the dominating uncertainty impact has the opposite sign of a deterministic growth impact; the sign switch results from an endogenous pessimism weighting. All of our numeric scenarios use a DICE based assessment model and find a higher optimal carbon tax than the deterministic DICE base case calibration.     

风险导向审计的产生及其运用

2006年2月15日，财政部在北京举行新闻发布会，宣布新的注册会计师审计准则体系自2007年1月1日起在境内所有会计师事务所执行。作为本次发布的新的审计准则体系基础的风险导向审计方法，目前被国际上很多国家接受和使用。本文分析了风险导向审计产生的原因及审计风险模型的重大实质性变化，同时指出我国实施风险导向审计存在的问题及解决对策。     

基于GARCH模型的证券投资基金VaR计算与实证研究

基于统计技术的度量金融市场风险值(Value at Risk,VaR)已成为测量市场风险的新标准和新方法。鉴此,如何高效、准确地进行VaR的计算将是问题所在。基于GARCH模型,讨论了对数收益率时间序列在正态、学生t和广义误差(GED)三种不同分布下的VaR计算方法,对样本基金的市场风险进行估计,并通过返回检验来检验模型的准确性。研究结果表明,基于GED分布的GARCH模型计算的VaR值最能真实地反映基金风险。     

A note on free entry under uncertainty: The role of asymmetric information

In a model of competing managerial firms I show that the equilibrium number of firms decreases with uncertainty if entry is relatively more costly than monitoring. The result adds to the earlier contributions and is consistent with the available evidence.     

J.A. Schumpeter and T.B. Veblen on economic evolution: the dichotomy between statics and dynamics

At present, the discussion on the dichotomy between statics and dynamics is resolved by concentrating on its mathematical meaning. Yet, a simple formalisation masks the underlying methodological discussion. Overcoming this limitation, the paper discusses Schumpeter's and Veblen's viewpoint on dynamic economic systems as systems generating change from within. It contributes to an understanding on their ideas of how economics could become an evolutionary science and on their contributions to elaborate an evolutionary economics. It confronts Schumpeter's with Veblen's perspective on evolutionary economics and provides insight into their evolutionary economic theorising by discussing their ideas on the evolution of capitalism.     

A note on the statistical verification of Marx: comment on Cockshott and Cottrell

This Note questions the statistical validity of the analysesof the relationship between the rate of profit and the organiccomposition across industries.     

再议基于利益冲突下审计独立性

独立性对于审计尤其是注册会计师审计而言是其核心基础。注册会计师的审计业务作为一种经营行为,难免要受到利益指针的指引,而其工作的立足点即是超然的不受影响的第三方独立。在经营利益和品质独立的博弈中,在所有的审计人一步步前行、发展的同时仍然面临独立性的挑战。进入本世纪后,财务造假案频发,且人们发现在企业经营失败的后面总伴随着审计失败,究其本质原因依然是注册会计师在审计各方的利益冲突中迷失了自我,丧失了基本的独立性。文章就注册会计师如何在利益冲突中保持独立性等相关问题进行一些必要的探讨。     

Carbon and energy prices under uncertainty: A theoretical analysis of fuel switching with heterogenous power plants

European power producers have a major influence on the EU ETS, given that both their CO₂ emissions and their EUA (European Union Allowance) allocations account for more than half of the total volumes of the scheme. Fuel switching is often considered as the main short-term abatement measure under the EU ETS. It consists in substituting combined cycle gas turbines (CCGTs) for hard-coal plants in power generation. Thereby coal plants run for shorter periods, and CO₂ emissions are reduced. This paper provides the first theoretical analysis of fuel switching, in a context where power plants involved are not equally efficient. We begin with a preliminary work using illustrative examples and sensitivity analyses, which enables us to observe how differences in the efficiency of power plants impact the cost of fuel switching, and how this is related to the level of switching effort. Based on this, we build a theoretical model taking into account the effect of differences in the efficiency of power plants involved in fuel switching. We also investigate the effect of the timing of fuel switching abatements, within the temporally defined environment of our dynamic model. Results demonstrate that the gas price and uncontrolled CO₂ emissions act together on the carbon price. We show that the influence of the gas price on the carbon price depends on the level of uncontrolled CO₂ emissions, due to heterogeneity of power plants that are used in the fuel switching process. Furthermore, we show that the time of occurrence of uncontrolled emissions matters so that shocks have a stronger impact when they occur in a period that is closed to the end of the phase.     

基于公司治理视角的商业银行内部审计研究

独立、有效的内部审计是商业银行完善风险管理,强化内部控制,改进治理程序的重要监控、保证机制。我国商业银行内部审计在实际运行中存在一些缺陷和不足,影响了内部审计应有功能的发挥。针对目前我国商业银行内部审计状况,应从公司治理视角采取综合改进措施,确保商业银行内部审计功能的实现。     

供应链管理下物流外包风险研究

结合了现代企业理论中的交易费用理论、委托代理理论和供应链管理理论,对物流外包风险进行了深入的剖析,提出了供应链环境下物流外包风险分析的四阶段模型,同时提出了相应的风险规避策略。     

金融危机中的中国外贸高风险行业研究

我国对外贸易风险主要集中在燃料矿产品行业、化工行业、机械运输设备行业、办公通讯电子行业、纺织服装行业.在这五个外贸高风险的行业中,纺织服装行业的外贸风险主要存在于出口贸易;燃料矿产品行业和化工行业的外贸风险主要存在于进口贸易;机械运输设备行业和办公通讯电子行业的外贸风险不仅存在于出口贸易,还存在于进口贸易.2003至2007年这五个行业的国际竞争力最高的是纺织服装行业,最低的是燃料矿产品行业.当前,我们要积极扩大内需,缓解外向型经济带来的风险压力.     

A new class of measures of the standard of living based on functionings

Human development is about expanding the choices human beings have to lead lives that they value and is captured by its capability sets which consist of various functioning vectors. The standard of living is then reflected in capability sets. This paper proposes some particular ways of measuring the standard of living available either to an individual or a whole country, when the direction of the development of society represented by a reference functioning vector or a reference cone is uncertain. We provide axiomatic characterizations of the various measures proposed.     

三种国债拍卖方式的拍卖收入比较研究

国债拍卖主要有美国式拍卖、荷兰式拍卖与混合式拍卖三种,但究竟哪一种拍卖方式的拍卖收入最大?学术界迄今尚无定论。文章对W-Z模型进行扩展,并在此基础上通过结合不同市场利率环境下投标者的不同风险偏好进行比较研究。结果表明:(1)当市场利率趋升时,若非竞争性投标量较大,则混合式拍卖收入最大;若非竞争性投标量较小,但竞争性投标者较少,且市场利率上升趋势极强,则同样是混合式拍卖收入最大,反之则荷兰式拍卖收入最大。(2)当市场利率趋降时,美国式拍卖收入最大。(3)当市场利率平稳时,何种拍卖方式收入最大无法确定。     

A comment on “Economy-wide estimates of the implications of climate change: Human health”

In a recent article in this journal, Francesco Bosello, Roberto Roson, and Richard Tol make the remarkable prediction that one degree of global warming will, on balance, save more than 800,000 lives annually by 2050. They introduce enormous, controversial monetary valuations of mortality and morbidity, varying with income; they then focus primarily on modeling the much smaller, indirect economic effects of the changes in health outcomes. Their calculations, large and small, are driven by the huge projected reduction in mortality — an estimate that Bosello et al. fail to substantiate. They rely on research that identifies a simple empirical relationship between temperature and mortality, but ignores the countervailing effect of human adaptation to gradual changes in average temperature. While focusing on small changes in average temperatures, they ignore the important health impacts of extreme weather events. They extrapolate the effects of small changes in average temperature far beyond the level that is apparently supported by their principal sources, and introduce arbitrary assumptions that may bias the result toward finding net health benefits from warming.     

农民工社保难的原因分析与对策思考

越来越多的农民工已成为城市建设和发展的生力军。在社保覆盖面不断扩大的今天,让农民工参加社会保险,与城镇人员一样享有社会保障就成为一个新课题。由于多方面的原因,农民工社保依然困难重重。解决农民工社保难问题,必须从体制、制度等多方面着手解决,尽快建立起与经济发展水平相适应的社会保障体系