Optimal investment decisions when time-horizon is uncertain

Many investors do not know with certainty when their portfolio will be liquidated. Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable extension of the familiar optimal investment problem of Merton [Merton, R.C., 1971. Optimal consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3, 373–413], where we allow the conditional distribution function of an agent’s time-horizon to be stochastic and correlated to returns on risky securities. In contrast to existing literature, which has focused on an independent time-horizon, we show that the portfolio decision is affected.     

An optimal inventory model where resupply is possible but uncertain

A model is formulated for computing the optimal stock quantity of an item when resupply is possible but uncertain. The distinguishing feature of the model is that the optimal stock quantity calculation takes into account the cost of resupply and the probability of stock arriving by a specified mode of transport in time for issue to customers. The model is then applied to the problem of determining a preferred mode of transport for an assumed set of parameters.     

Merchants of doubt: Corporate political action when NGO credibility is uncertain

The literature on special interest groups emphasizes two main influence channels: campaign contributions and informational lobbying. We introduce a third channel: providing information about the credibility of political rivals. In particular, nongovernmental organizations (NGOs) often aim to communicate scientific knowledge to policymakers, but industry‐backed groups often attempt to undermine their credibility. We extend a standard signaling model of interest‐group lobbying to include fixed costs of policymaker action and show that these costs make possible two mechanisms for creating doubt about the value of policy action. The first uses Bayesian persuasion to suggest the NGO may be a noncredible radical. The second involves creating an opposition think tank (TT) that acts as a possible radical, not a credible moderate. We show that the TT cannot always implement the Bayesian persuasion benchmark, and we characterize how optimal TT design varies with exogenous parameters.     

On the behavior of commodity prices when speculative storage is bounded

This paper investigates the implications of bounded speculative storage, storage bounded from below at zero and above at a capacity, on commodity prices. Binding capacity mirrors the non-negativity constraint on storage and leads to negative price spiking and higher volatility when the market is in deep contango, i.e. low current prices at high stock levels. With bounded storage there is no need to restrict storage to be costly to ensure a rational expectations equilibrium. This allows the model to cover a wide range of storage technologies, including free and productive storage. We also provide an alternative expression for speculative prices that highlights the key role of the storage boundaries. The competitive equilibrium price is the sum of discounted future probability weighted boundary prices. The boundary prices can be viewed as dividends on commodities in storage reflecting the realization of economic profits from storage.     

Existence of a competitive equilibrium when all goods are indivisible

This paper investigates an economy where all consumption goods are indivisible at the individual level, but perfectly divisible at the overall level of the economy. In order to facilitate trading of goods, we introduce a perfectly divisible parameter that does not enter into consumer preferences — fiat money. When consumption goods are indivisible, a Walras equilibrium does not necessarily exist. We introduce the rationing equilibrium concept and prove its existence. Unlike the standard Arrow–Debreu model, fiat money can always have a strictly positive price at the rationing equilibrium. In our set up, if the initial endowment of fiat money is dispersed, then a rationing equilibrium is a Walras equilibrium. This result implies the existence of a dividend equilibrium or a Walras equilibrium with slack.     

On durable goods monopolies and the Coase-Conjecture

Consider the durable goods monopoly game with uniformly distributed consumers' valuations. To establish the Coase-Conjecture in this context takes an infinite time horizon and a negligible delay between market rounds. An infinite time horizon or patience of market participants alone are not sufficient for the Coase-Conjecture, nor is an arbitrarily small delay between price offers within a finite time horizon. Received: 20 March 1996 / Accepted: 15 December 1997     

提升效率是库存优化的终极目标——访江苏六维物流设备实业有限公司董事长徐正林

江苏六维物流设备实业有限公司成立于1997年,是国内著名的货架供应商及物流系统集成商之一.六维公司全面致力于中国物流自动化设备的硬件系统、软件系统的研发工作,并采取与国际知名公司进行技术转让、联合开发、联合生产的方式,已生产出高精度的堆垛机及旋转平台、高速提升机、穿梭车等技术领先的物流设备.     

On the speed and boundaries of structural adjustment when fiscal policy is tight

Governments of transition economies are subject to fiscal constraints (e.g. credit constraints). However, exaggerated fiscal discipline might feed into the structural adjustment process. The government designs and times the privatisation programme, yet may find itself in a fiscal squeeze because restructuring moves costs from firms to the public budget. This paper models this problem in a simple dynamic set-up. Several distinct reform strategies, which differ in the speed and level of structural adjustment, are identified. Tight fiscal discipline in early stages of transition may delay or halt privatisation. A different sequencing of policy or different taxation, benefits, and privatisation sales rules, can rectify this problem.     

快速消费品营销特点比较分析

快速消费品面临的竞争压力,一个品牌要持久,实际是以不断推陈出新为特点的,这要是在营销竞争中保持竞争优势的重点,文章通过对快速消费品与耐用消费品的比较,对快速消费品的营销特点作了分析和探讨。     

On the strategic use of risk and undesirable goods in multidimensional screening

A monopolist sells goods possibly with a characteristic consumers dislike (for instance, he sells random goods to risk averse agents), which does not affect the production costs. We investigate the question whether using undesirable goods is profitable to the seller. We prove that in general this may be the case, depending somehow on the correlation between agent types and aversion. This is due to screening effects that outperform this aversion. We analyze, in a continuous framework, several multidimensional cases.     

Perfect Bayesian implementation when the planner is a player

The paper contributes to the perfect Bayesian implementation problem when the planner selects an outcome after agents send a signal profile. In our problem, the planner always selects the outcomes that maximize her expected utility, given her posterior belief about the state. The paper explicitly models the problem and shows a full characterization of SCF set that can be perfect Bayesian implemented in FGP equilibrium.     

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Past forecast errors are employed frequently in the estimation of the unconditional forecast uncertainty, and several institutions have increased their forecast horizons in recent times. This work addresses the question of how forecast-error-based estimation can be performed if there are very few errors available for the new forecast horizons. It extends the results of Knüppel (2014) in order to relax the condition on the data structure that is required for the SUR estimator to be independent of unknown quantities. It turns out that the SUR estimator of the forecast uncertainty, which estimates the forecast uncertainty for all horizons jointly, tends to deliver large efficiency gains relative to the OLS estimator (i.e., the sample mean of the squared forecast errors for each individual horizon) in the case of increased forecast horizons. The SUR estimator is applied to the forecast errors of the Bank of England, the US Survey of Professional Forecasters, and the FOMC.     

Testing joint hypotheses when one of the alternatives is one-sided

We propose a class of statistics where the direction of one of the alternatives is incorporated. It is obtained by modifying a class of multivariate tests with elliptical confidence regions, not necessarily arising from normal-based distribution theory. The resulting statistics are easy to compute, they do not require the re-estimation of models subject to one-sided inequality restrictions, and their distributions do not require bounds-based inference. We derive explicit distribution and power functions, using them to prove some desirable properties of our class of modified tests. We then illustrate the relevance of the method by applying it to devising an improved test of random walks in autoregressive models with deterministic components. In this example, the usual alternative to a unit root is one-sided in the direction of stable roots, while deterministic components are allowed to go either way, and we show that it is beneficial to take the partially one-sided nature of the alternative into account.     

Grants structure when the type of public project is endogenous

This paper gives an insight into changes in intergovernmental grants structure, focusing on the type of public project. Presenting a simple model which incorporates the endogenous determination of project type and grants structure, the results show that as the relative cost encountered by central government in collecting public funds increases, the central government tends to choose types of projects which local governments prefer and adopt block grant systems. The resulting equilibrium is compared with an optimal solution based on an utilitarian welfare function. Received: December 22, 2000 / Accepted: September 20, 2001     

The first-order approach when the cost of effort is money

We provide sufficient conditions for the first-order approach in the principal-agent problem when the agent’s utility has the nonseparable form u(y−c(a))$u(y-c\left(a\right))$ where y$y$ is the contractual payoff and c(a)$c\left(a\right)$ is the money cost of effort. We first consider a decision-maker facing prospects which cost c(a)$c\left(a\right)$ and with distributions of returns y$y$ that depend on a$a$. The decision problem is shown to be concave if the primitive of the cdf of returns is jointly convex in a$a$ and y$y$, a condition we call Concavity of the Cumulative Quantile (CCQ) and which is satisfied by many common distributions. Next we apply CCQ to the distribution of outcomes (or their likelihood-ratio transforms) in the principal-agent problem and derive restrictions on the utility function that validate the first-order approach. We also discuss another condition, log-convexity of the distribution, and show that it allows binding limited liability constraints, which CCQ does not.     

重力式自动系统在成品仓库的运用

当企业产能达到一定程度．原来的成品仓库及其运作方式成为发展瓶颈时．企业的管理者必须对现有成品仓库进行突破性改造。     

On the interpretation of cointegration in the linear–quadratic inventory model

The traditional formulation of the linear–quadratic inventory model with unit roots predicts cointegration between inventories and sales. That formulation implies that marginal production costs and the marginal benefits of inventories are both tending to ∞, and the cointegrating coefficient reflects the optimal trade-off between these competing factors. This paper suggests a reformulation of the problem in which marginal production costs and marginal inventory benefits are both stationary and in which the cointegrating coefficient is the same as the value that characterizes the target inventory level in the cost function.