UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME

We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value function is finite.     

A NONLINEAR MODEL OF THE BUSINESS CYCLE WITH MONEY AND FINANCE (*)

In this paper we analyze the working of a capitalist system with sophisticated financial institutions, where the Modigliani-Miller theorem does not apply, so that the financial part of the economy affects the working of the real side. This model, in which the real and the financial sectors are connected throught a simple portfolio approach, and where the ratio between cash flow and debt commitment affects the pace of investment, explains the emergence of instability and, more generally, the cyclical behavior of the economy as an internally generated phenomenon of a capitalist system. As far as the dynamic behavior of the model is concerned, we can envisage the following process: when investment activity is low, the system evolves toward a stationary state; as soon as the accumulation rate starts growing, the model shows the existence of limited cycles and, when the elasticity of investment to internal finance increases further, a chaotic dynamic appears. Finally, we expect a situation of financial crisis to emerge when the elasticity of investment to internal financing constraint goes beyond a certain level, i.e. when the realized flow of profits is not sufficiently high to validate the debt commitments. The working of the model is referred to an economics with no technical change, while its dynamic properties will be investigated by the use of numerical simulation.     

THE OPTIMAL LIFETIME OF ASSETS UNDER UNCERTAINTY IN THE RATE OF EMBODIED TECHNICAL CHANGE

I investigate the effects of uncertainty regarding the rate of embodied technical change on the lifetime of assets using a model where: (1) technical change increases continuously the productivity of producers’ durables, (2) potential competition induces firms to pass all benefits from productivity improvements to consumers, and (3) the mean and the variance are considered sufficient statistics to describe the probability distribution of technological change. I find that in general this type of uncertainty shortens the optimal lifetime of assets. However, the robustness of the results under alternative specifications of the probability distribution of technological change remains an open question.     

ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS

We consider the fundamental theorem of asset pricing (FTAP) and the hedging prices of options under nondominated model uncertainty and portfolio constraints in discrete time. We first show that no arbitrage holds if and only if there exists some family of probability measures such that any admissible portfolio value process is a local super‐martingale under these measures. We also get the nondominated optional decomposition with constraints. From this decomposition, we obtain the duality of the super‐hedging prices of European options, as well as the sub‐ and super‐hedging prices of American options. Finally, we get the FTAP and the duality of super‐hedging prices in a market where stocks are traded dynamically and options are traded statically.     

PATTERNS OF TECHNOLOGICAL LEADERSHIP A SIMPLE MODEL WITH UNCERTAINTY

This paper aims at combining dynamics and uncertainty in a simple model designed to investigate the relationship between market structure and innovation. We consider the case of two firms competing in a sequence of cost-reducing technological races under uncertainty on the rival's R & D effort. Within an asymmetric duopoly it is shown under which conditions the expected evolution of technological leadership follows a pattern of Probabilistic Action-Reaction or Probabilistic Increasing Dominance.     

MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS

Uncertainty on the choice of an option pricing model can lead to "model risk" in the valuation of portfolios of options. After discussing some properties which a quantitative measure of model uncertainty should verify in order to be useful and relevant in the context of risk management of derivative instruments, we introduce a quantitative framework for measuring model uncertainty in the context of derivative pricing. Two methods are proposed: the first method is based on a coherent risk measure compatible with market prices of derivatives, while the second method is based on a convex risk measure. Our measures of model risk lead to a premium for model uncertainty which is comparable to other risk measures and compatible with observations of market prices of a set of benchmark derivatives. Finally, we discuss some implications for the management of "model risk."     

DEMAND THRESHOLD,ZERO EXPENDITURE AND HIERARCHICAL MODEL OF CONSUMER DEMAND

Consumer expenditure surveys often show households reporting zero consumption of some commodities. Three reasons for this are recognized in the literature: (i) infrequency of purchase, (ii) a strong brand preference for differentiated products and (iii) misreporting. However, sometimes the number of households reporting zero consumption is seen to decline with income. To capture this phenomenon, which does not fall into any of the categories mentioned above, we propose a hierarchical preference structure and identify a class of recursive utility functions representing this structure. An empirical illustration based on Indian consumer expenditure data is provided.     

ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY

In this paper, we study the aggregate risk of inhomogeneous risks with dependence uncertainty, evaluated by a generic risk measure. We say that a pair of risk measures is asymptotically equivalent if the ratio of the worst‐case values of the two risk measures is almost one for the sum of a large number of risks with unknown dependence structure. The study of asymptotic equivalence is particularly important for a pair of a noncoherent risk measure and a coherent risk measure, as the worst‐case value of a noncoherent risk measure under dependence uncertainty is typically difficult to obtain. The main contribution of this paper is to establish general asymptotic equivalence results for the classes of distortion risk measures and convex risk measures under different mild conditions. The results implicitly suggest that it is only reasonable to implement a coherent risk measure for the aggregation of a large number of risks with uncertainty in the dependence structure, a relevant situation for risk management practice.     

THE IMPACT OF DEMAND UNCERTAINTY AND CONFIGURATION CAPACITY ON CUSTOMER SERVICE PERFORMANCE IN A CONFIGURE‐TO‐ORDER ENVIRONMENT

This paper examines the simultaneous impact of demand variability, demand skew, and configuration capacity on customer service in a configure‐to‐order environment. Simulation is done in ARENA and data are analyzed using ANOVA and MANOVA. The findings indicate that the factors studied have differential impact on performance both individually and interactively.     

RE‐EXAMINING THE IMPLICATIONS OF THE NEW CONSENSUS: ENDOGENOUS MONEY AND TAYLOR RULES IN A SIMPLE NEOCLASSICAL MACRO MODEL

This paper re‐examines the impact of endogenous money in a neoclassical model with interest‐sensitive expenditures. It first outlines a benchmark model with exogenous money and the usual full employment and money growth‐determined inflation results. It then replaces exogenous money with endogenous money, which is shown to generate model indeterminacy. Two methods of resolving this indeterminacy are then explored: money illusion and a Taylor rule for monetary policy, a key feature of new consensus models. The paper concludes that endogenous money has negative implications for the behaviour and interpretation of neoclassical and new consensus models.     

THE DEMAND FOR A RISKY ASSET: SIGNING,JOINTLY AND SEPARATELY,THE EFFECTS OF THREE DISTRIBUTIONAL SHIFTS

We show that, if an individual's utility function exhibits a degree of relative temperance smaller than one, the individual will react, in a plausible way, to each of three common shifts in the stochastic distribution of his wealth, namely to FSD shifts, mean‐preserving spreads and increases in downside risk. First, we derive, in a unified setting, necessary and sufficient conditions for signing the comparative‐static effects of each of these shifts separately, and, second, we invoke implications of the property of mixed risk aversion to merge these separate conditions into a single sufficient condition for jointly signing all comparative‐static effects.     

我国消费需求变动趋势分析与政策建议

文章在总结改革开放以来我国消费需求变动特点的基础上,从收入变动、收入差距、制度改革、产品供给结构、消费环境等方面分析了我国消费需求下降的原因,最后从改进国民收入初次分配和再分配、调整供给结构以及优化消费环境等方面提出了相应的政策建议。