The Second Fundamental Theorem of Asset Pricing

This paper presents a resolution of the paradox proposed by the example of an economy with complette markets and a multiplicityof martingale measures constructed by Artzner and Heath (1995). The resolution lies in noting that completeness is with respect to a topology on the space of cash flows and is connected with uniqueness of the price functional in the topological dual space. Uniqueness may be lost outside the dual and this is what occurs in the counterexample of Artzner and Heath.     

电力市场发电侧竞价上网机制有效性分析

研究电力市场中发电侧竞价上网机制有效运行的前提条件,并在该前提条件下,利用NASH均衡理论 和概率论理论分析了发电侧竞价上网机制有效运行的内部机理,从理论上证明了发电侧竞价上网机制是一种 非常有效的制度安排。     

A Discrete Time Equivalent Martingale Measure

An equivalent martingale measure selection strategy for discrete time, continuous state, asset price evolution models is proposed. The minimal martingale law is shown to generally fail to produce a probability law in this context. The proposed strategy, termed the extended Girsanov principle, performs a multiplicative decomposition of asset price movements into a predictable and martingale component with the measure change identifying the discounted asset price process to the martingale component. However, unlike the minimal martingale law, the resulting martingale law of the extended Girsanov principle leads to weak form efficient price processes. It is shown that the proposed measure change is relevant for economies in which investors adopt hedging strategies that minimize the variance of a risk adjusted discounted cost of hedging that uses risk adjusted asset prices in calculating hedging returns. Risk adjusted prices deflate asset prices by the asset's excess return. The explicit form of the change of measure density leads to tractable econometric strategies for testing the validity of the extended Girsanov principle. A number of interesting applications of the extended Girsanov principle are also developed.     

Risk Attitudes Appraisal and Cognitive Coordination in Decentralized Decision Systems

In decentralized decisions systems, coordination and efficiency encounter major difficulties. To solve the problem, it is argued, the analyst needs to raise a cognitive representation question, in particular the question of the criteria according to which the problem at hand is being assessed in view of the whole organization. This, in turn, raises the issue of how these criteria are evaluated by the different individuals. An example based on a subset of the risk management system, namely the maintenance system in nuclear power plants, is used throughout the text. The paper argues that generalizing MAUT to rank dependent risk treatment is of utmost importance in order to deal with such problems. One additional theorem is proved in that perspective and an appropriate software reported upon and illustrated on an example. Beyond the technical problems examined in the paper, the way to use the decision analysis framework is discussed.     

OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY-BASED PRICING

This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the existence of an optimal trading strategy within a class of permissible strategies—those strategies whose wealth process is a super-martingale under all pricing measures with finite relative entropy. We give necessary and sufficient conditions for the absence of utility-based arbitrage, and for the existence of a solution to the primal problem. We consider two utility-based methods which can be used to price contingent claims. Firstly we investigate marginal utility-based price processes (MUBPP's). We show that such processes can be characterized as local martingales under the normalized optimal dual measure for the utility maximizing investor. Finally, we present some new results on utility indifference prices, including continuity properties and volume asymptotics for the case of a general utility function, unbounded endowment and unbounded contingent claims.     

航空客票退票费动态定价方法研究——基于效用均衡理论的阐释

为实现航空公司和旅客期望效用的均衡,需要设计满足双方利益的退票费动态定价模型。本文对旅客和航空公司分别构建期望效用函数,选择二者均衡点求解旅客退票费,并依据航班实际营运情况,提出一种基于退票时刻和实时销售收益的动态退票费定价模型。经过算例分析,当航班处于盈利状态时,旅客退票需要支付的费用明显低于传统收费,甚至可以免除手续费;当航班处于亏损状态时,旅客退票费也不会超过航班的销售成本。可见,该种旅客退票费的收取优于现行退票规定,不仅考虑了退票中的主要因素,还可以在最大程度上满足双方利益。     

部分国外厂商对中国大陆市场“质量歧视”的成因及对策

部分国外厂商对其所产同种产品在大陆市场和欧美市场使用区别性政策,对大陆市场实行“质量歧视”。究其原因,主要包括国内厂商所产替代品不能有效满足消费者需求等。为消除“质量歧视”现象,必须加强企业管理水平和科技创新能力,从根本上提升我国产品的竞争能力,提高政府质量监督管理水平,改善监管制度体系,全面建立和完善社会诚信机制和维权机制。     

LIFTING QUADRATIC TERM STRUCTURE MODELS TO INFINITE DIMENSION

We introduce an infinite dimensional generalization of quadratic term structure models of interest rates, aiming that the lift will give us a deeper understanding of the classical models. We show that it preserves some of the favorable properties of the classical quadratic models.     

基于动态计量经济学模型的城市房价影响因素研究

以西安市商品房价格研究为例,通过建立动态计量经济学模型,分析城市住房价格影响因素,指出住房价格和影响住房供求的变量之间的长期均衡关系;通过分析影响西安住房价格的最主要因素,提出稳定住房价格的具体建议,同时指出住房实际价格偏离均衡价格的变化趋势。     

基于适应性预期的房地产价格驱动因素分析

从需求和供给两个角度出发,通过构建基于适应性预期的供需均衡模型,得出市场均衡时房地产价格决定因素的函数,并以此考察房地产价格波动及其影响因素之间的关系。同时,定性分析货币供应量、原材料价格指数、土地开发面积指数、居民通胀预期指数、人均可支配收入等因素对房地产销售价格的影响机制,通过单位根检验、Granger因果关系检验、VAR模型分析、脉冲响应分析等计量研究方法,对中国房地产价格波动的驱动因素进行实证分析,并针对研究结论提出相应的政策建议。     

Equilibrium Pricing in the Presence of Cumulative Dividends Following a Diffusion

The paper presents some security market pricing results in the setting of a security market equilibrium in continuous time. The theme of the paper is financial valuation theory when the primitive assets pay out real dividends represented by processes of unbounded variation. In continuous time, when the models are also continuous, this is the most general representation of real dividends, and it can be of practical interest to analyze such models.
Taking as the starting point an extension to continuous time of the Lucas consumption-based model, we derive the equilibrium short-term interest rate, present a new derivation of the consumption-based capital asset pricing model, demonstrate how equilibrium forward and futures prices can be derived, including several examples, and finally we derive the equilibrium price of a European call option in a situation where the underlying asset pays dividends according to an Itô process of unbounded variation. In the latter case we demonstrate how this pricing formula simplifies to known results in special cases, among them the famous Black–Scholes formula and the Merton formula for a special dividend rate process.