PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS

We consider a financial market with one bond and one stock. The dynamics of the stock price process allow jumps which occur according to a Markov-modulated Poisson process. We assume that there is an investor who is only able to observe the stock price process and not the driving Markov chain. The investor's aim is to maximize the expected utility of terminal wealth. Using a classical result from filter theory it is possible to reduce this problem with partial observation to one with complete observation. With the help of a generalized Hamilton–Jacobi–Bellman equation where we replace the derivative by Clarke's generalized gradient, we identify an optimal portfolio strategy. Finally, we discuss some special cases of this model and prove several properties of the optimal portfolio strategy. In particular, we derive bounds and discuss the influence of uncertainty on the optimal portfolio strategy.     

中美DSB争端案件考察(2001~2012)

从申诉方、应诉方以及第三方等角度考察中美DSB争端案件,可以发现"美攻中守"的态势。在"规则导向"的WTO争端解决机制内,中国完全可以利用其特点,以更加积极的态度解决中美争端、缓解美国对中国的压力。应诉时注意加强证据的准备工作,执行DSB裁决时从实用角度出发并且构建相应的协调机制,同时也要结合世情和国情重新定位中国国际经济法学。     

国际贸易成本、制度环境与 FDI 区位分布--来自120个城市的经验证据

本文使用世界银行的城市数据定量比较了国际贸易成本与产权保护水平、契约执行效率和政府干预程度等制度环境对FDI区位分布的影响。研究发现,外企高度依赖国际市场,国际贸易成本显著影响了FDI区位分布;融资的便利和母国政府的支持,推行纵向一体化导致其产业链有闭合趋势等因素,使外企对当地制度环境并不敏感。本文分析表明有必要进行全国性运输改革,以提升中西部内陆地区对FDI的吸引力。     

Do free trade agreements actually increase members' international trade?

For over 40 years, the gravity equation has been a workhorse for cross-country empirical analyses of international trade flows and — in particular — the effects of free trade agreements (FTAs) on trade flows. However, the gravity equation is subject to the same econometric critique as earlier cross-industry studies of U.S. tariff and nontariff barriers and U.S. multilateral imports: trade policy is not an exogenous variable. We address econometrically the endogeneity of FTAs. Although instrumental-variable and control-function approaches do not adjust for endogeneity well, a panel approach does. Accounting econometrically for the FTA variable's endogeneity yields striking empirical results: the effect of FTAs on trade flows is quintupled. We find that, on average, an FTA approximately doubles two members' bilateral trade after 10 years.     

Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example

The paper represents a model for financial valuation of a firm which has control of the dividend payment stream and its risk as well as potential profit by choosing different business activities among those available to it. This model extends the classical Miller–Modigliani theory of firm valuation to the situation of controllable business activities in a stochastic environment. We associate the value of the company with the expected present value of the net dividend distributions (under the optimal policy). The example we consider is a large corporation, such as an insurance company, whose liquid assets in the absence of control fluctuate as a Brownian motion with a constant positive drift and a constant diffusion coefficient. We interpret the diffusion coefficient as risk exposure, and drift is understood as potential profit. At each moment of time there is an option to reduce risk exposure while simultaneously reducing the potential profit—for example, by using proportional reinsurance with another carrier for an insurance company. Management of a company controls the dividends paid out to the shareholders, and the objective is to find a policy that maximizes the expected total discounted dividends paid out until the time of bankruptcy. Two cases are considered: one in which the rate of dividend payout is bounded by some positive constant M, and one in which there is no restriction on the rate of dividend payout. We use recently developed techniques of mathematical finance to obtain an easy understandable closed form solution. We show that there are two levels u₀ and u₁ with u₀≤u₁. As a function of currently available reserve, the risk exposure monotonically increases on (0,u₀) from 0 to the maximum possible. When the reserve exceeds u₁ the dividends are paid at the maximal rate in the first case and in the second case every excess above u₁ is distributed as dividend. We also show that for M small enough u₀=u₁ and the optimal risk exposure is always less than the maximal.     

TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS

We consider the linear‐impact case in the continuous‐time market impact model with transient price impact proposed by Gatheral. In this model, the absence of price manipulation in the sense of Huberman and Stanzl can easily be characterized by means of Bochner’s theorem. This allows us to study the problem of minimizing the expected liquidation costs of an asset position under constraints on the trading times. We prove that optimal strategies can be characterized as measure‐valued solutions of a generalized Fredholm integral equation of the first kind and analyze several explicit examples. We also prove theorems on the existence and nonexistence of optimal strategies. We show in particular that optimal strategies always exist and are nonalternating between buy and sell trades when price impact decays as a convex function of time. This is based on and extends a recent result by Alfonsi, Schied, and Slynko on the nonexistence of transaction‐triggered price manipulation. We also prove some qualitative properties of optimal strategies and provide explicit expressions for the optimal strategy in several special cases of interest.     

新亚欧大陆桥对我国沿桥省市贸易影响实证分析

新亚欧大陆桥的开通,为我国沿桥省市带来了极大的发展机遇。经过十多年的发展,沿桥省市的经济无论是从总量还是从结构上都有了巨大的变化。文章通过收集整理沿桥十省市近十多年的贸易数据,利用相关数据处理技术,从沿桥省市经济发展中的内外贸易这一个角度出发,对新亚欧大陆桥开通以来的经济影响力做实证分析,得到大陆桥的贯通对沿桥省市的外贸起到了很大的促进作用,但对内贸影响不是十分明显。     

OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS

We study optimal trade execution strategies in financial markets with discrete order flow. The agent has a finite liquidation horizon and must minimize price impact given a random number of incoming trade counterparties. Assuming that the order flow N is given by a Poisson process, we give a full analysis of the properties and computation of the optimal dynamic execution strategy. Extensions, whereby N is a Markov‐modulated compound Poisson process are also considered. We derive and compare the properties of the various cases and illustrate our results with computational examples.     

Free trade agreement and transport service trade

This study investigates the effects of free trade agreements (FTAs) on trade in transport services using OECD data from 2003 to 2006. Our analysis found that FTAs had a positive overall impact on transport services for multiple countries (i.e., 26 home and 56 partner countries). The resulting positive overall impact assures that, even with the challenges associated with different layers of services and the obstacles formed by generally low trade openness in the sector, the provisions in FTAs (e.g., national treatment and market access for goods and services) promote transport service trades. Our findings suggest that the provisions in FTAs encourage economic agents to increase engagement in transport services because of expanded openness of the physical movement of goods across international borders.     

OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE

In this paper, we investigate the pricing via utility indifference of the right to sell a non‐traded asset. Consider an agent with power utility who owns a single unit of an indivisible, non‐traded asset, and who wishes to choose the optimum time to sell this asset. Suppose that this right to sell forms just part of the wealth of the agent, and that other wealth may be invested in a complete frictionless market. We formulate the problem as a mixed stochastic control/optimal stopping problem, which we then solve. We determine the optimal behavior of the agent, including the optimal criteria for the timing of the sale. It turns out that the optimal strategy is to sell the non‐traded asset the first time that its value exceeds a certain proportion of the agent's trading wealth. Further, it is possible to characterize this proportion as the solution to a transcendental equation.     

中国企业战略执行现状研究

尽管企业的战略执行在国内外已受到越来越多的关注，但相关研究的匮乏使得实务界和学术界对战略执行的认识和理解尚不系统和深入，难以为中国企业有效地执行战略提供指导和借鉴。本文通过问卷调查的方式总结了中国企业战略执行的现状，促进企业管理人员对战略执行过程的理解和控制，为战略执行领域相关研究的开展奠定良好的基础。