The mean-variance investment problem in a constrained financial market

This paper extends the mean-variance analysis and the two-fund separation theorem to a market with some constraints, such as, the incompleteness, prohibition of short-selling, and partial information, with stochastic interest rate, and with stochastic volatility for risky assets. By maximizing a quadratic utility of terminal wealth, we show that the efficient frontier for the problem is a straight line in the mean-standard-deviation diagram. The quadratic utility function exhibits mean-variance efficiency. Our results apply to portfolios of claims in a single period, multiperiod, and continuous time.     

On two market equilibrium theorems

Two theorems are presented which have as corollaries known market equilibrium theorems. The first theorem is for correspondences defined on sets which are compact and convex and the second theorem is for correspondences defined on the unit sphere. The proofs of both theorems rely upon one lemma.     

经济适用房市场的问题与解决对策

经济适用房是国家为了解决城市中低收入者住房困难 ,采取减免地租、税收等政策来降低建房成本 ,使中低收入者能够买得起的一种房屋。从 1 998年开始 ,经济适用房在全国范围内出现以来 ,各地的经济适用房市场发展态势良好 ,很多地方都出现了供销两旺的局面。但在经济适用房市场的发展过程中 ,也出现了很多问题 ,本文分析了这些问题并提出了解决措施。     

物流市场诚信问题探讨

从物流市场的角度,分析了其诚信建设中存在的问题及必要性。文中试图用经济学的方法及原理引入物流市场诚信环境建设,以供从业者在物流市场中进行理性的选择。     

Investments and the holdup problem in a matching market

This paper studies the properties of the steady state equilibrium in a bilateral matching market with ex ante investments at the market entry stage. Investment incentives depend on search frictions because both parties in a match are partially locked-in when they bargain over the joint surplus from their sunk investments. The associated holdup problem is more important for the long side of the market. In the extreme case of perfectly substitutable investments only the agents on the short side make investments. When market frictions become negligible, the market equilibrium approaches the Walrasian outcome.     

The market for corporate control in professional football: is there an agency problem?

This paper identifies the nature of agency problems in professional football in the UK. Conflicting elements within director-owners'objective functions combined with highly concentrated ownership rights are sources of agency problems, manifest by the poor financial performance of many clubs. Arguably, a club's supporters influence its output implying that supporters may be considered as an input.
Given this, theory suggests that efficiency may be enhanced if supporters possess more property rights in their respective clubs.     

Labor market institutions and inflation volatility in the euro area

Despite having had the same currency for many years, EMU countries still have quite different inflation dynamics. In this paper we explore one possible reason: country specific labor market institutions, giving rise to different inflation volatilities. When unemployment insurance schemes differ, as they do in EMU, reservation wages react differently in each country to area-wide shocks. This implies that real marginal costs and inflation also react differently. We report evidence for EMU countries supporting the existence of a cross-country link over the cycle between labor market structures on the one side and real wages and inflation on the other. We then build a DSGE model that replicates the data evidence. The inflation volatility differentials produced by asymmetric labor markets generate welfare losses at the currency area level of approximately 0.3% of steady state consumption.     

The airport problem with capacity constraints

The original airport problem is concerned with the cost sharing of an airstrip among airplanes assuming that one airstrip is sufficient to serve all airplanes. In this paper, we generalize the original airport problem by imposing capacity constraints to consider the situation when one airstrip cannot serve all airplanes and investigate how to share the cost among airplanes. We introduce the sequential equal contributions rule for our problem and show that it coincides with the Shapley value of the corresponding airport game when the worth of a coalition is defined to be the minimum cost of serving all members of the coalition. The sequential equal contributions rule requires each airplane to contribute equally to the cost of a given section of any airstrip as long as the length of the section is less than or equal to its desired length even though the airplane cannot use the airstrip. Each airplane’s contribution is the sum of terms, one for each section of the airstrip whose length is less than or equal to its desired length. We also present an axiomatic characterization of the rule by imposing the axioms of efficiency, the equal share lower bound, smaller-cost monotonicity, and population fairness.     

The principal-agent problem with smooth ambiguity

We study a principal-agent model in which the (effort-dependent) realisation of output levels is ambiguous, and the agent is ambiguity averse (while the principal is ambiguity neutral). We show that introducing ambiguity aversion will lower profits if the action that the principal wants to implement is the most ambiguous one, while they may increase otherwise. Regarding the design of the optimal contract, we show that under ambiguity aversion the optimal incentive scheme may not be monotone even if a natural generalization of the monotone likelihood ratio property is satisfied, and illustrate how this fact could affect the design of contracts in an applied economic context. We also find that the individual rationality constraint need not bind in the presence of ambiguity aversion unless preferences satisfy constant absolute ambiguity aversion.     

The housing market

The housing market has gained further momentum with activity accelerating and prices continuing to increase strongly on all measures in Q3. This trend is expected to continue, with the latest survey data from RICS reporting strong growth in new buyer enquiries and – to a lesser extent – in new instructions…     

The housing market

The recovery in the housing market has continued, with house prices picking up on all measures over the past few months. And there are encouraging signs of underlying strength, with the latest survey data from RICS reporting healthy growth in both new buyer enquiries and new instructions…     

浦东新区的极化开发与社会极化

极化开发往往能吸引大量资本、技术、劳动力等生产要素的集聚,从而形成这些生产要素的"辐合流场".但在极化开发背景下,也会产生社会极化现象,造成城市社会贫富阶层收入差异的拉大.作为中国强力开发的浦东新区,不仅出现了人口、人才和资本等生产要素的极化,而且也出现了城市不同阶层贫富收入拉大等社会极化问题.浦东新区社会极化主要是城市功能转变、生产要素集聚和经济全球化影响三个因素造成的.     

The Gates Hillman prediction market

The Gates Hillman prediction market (GHPM) was an internet prediction market designed to predict the opening day of the Gates and Hillman Centers, the new computer science complex at Carnegie Mellon University. Unlike a traditional continuous double auction format, the GHPM was mediated by an automated market maker, a central agent responsible for pricing transactions with traders over the possible opening days. The GHPM’s event partition was, at the time, the largest ever elicited in any prediction market by an order of magnitude, and dealing with the market’s size required new advances, including a novel span-based elicitation interface that simplified interactions with the market maker. We use the large set of identity-linked trades generated by the GHPM to examine issues of trader performance and market microstructure, including how the market both reacted to and anticipated official news releases about the building’s opening day.     

Labour market recruiting with intermediaries

We consider a Rothschild–Stiglitz–Spence labour market model and employ a centralised mechanism to coordinate the efficient matching of workers to firms. This mechanism can be thought of as operated by a recruitment agency, an employment office or head hunter. In a centralised descending-bid, multi-item procurement auction, workers submit wage-bids for each job and are assigned stable jobs as equilibrium outcome. We compare this outcome to independent, sequential hiring by firms and conclude that, in general, a stable assignment can only be implemented if firms coordinate to some extent.      

The market for crash risk

This paper examines the equilibrium when stock market crashes can occur and investors have heterogeneous attitudes towards crash risk. The less crash averse insure the more crash averse through options markets that dynamically complete the economy. The resulting equilibrium is compared with various option pricing anomalies: the tendency of stock index options to overpredict volatility and jump risk, the Jackwerth [Recovering risk aversion from option prices and realized returns. Review of Financial Studies 13, 433–451] implicit pricing kernel puzzle, and the stochastic evolution of option prices. Crash aversion is compatible with some static option pricing puzzles, while heterogeneity partially explains dynamic puzzles. Heterogeneity also magnifies substantially the stock market impact of adverse news about fundamentals.     

The relationship between product market competition and unemployment with profit sharing

We investigate the implications of product market imperfections on negotiated wages and equilibrium unemployment under profit sharing. We show that intensified product market competition reduces equilibrium unemployment in a strictly monotonic way when the trade union's bargaining power exceeds the profit share. If the profit share exceeds the trade union's bargaining power, the effect of product market competition is ambiguous: there is a threshold for the benefit–replacement ratio above (below) which intensified product market competition increases (decreases) equilibrium unemployment. The profit share and the union's bargaining power affect the wage mark-up, and thereby equilibrium unemployment, in different directions.     

两大鞋企联手攻战亚洲市场正待撬开

9月12日,世界鞋业大亨GEOX公司亚洲办事处正式落户上海。 为何把“根据地”千里迢迢从香港转移到上海?GEOX亚洲代表ALDO先生在接受记者采访时表示,把上海作为亚洲营销中心,是因为上海有着独厚的地理优势,在与奥康集团合作的过程中发现要打开亚洲市场的大门,必须先打开中国的大门,而且GEOX还将在中国建立集生产、设计、营销为一体的产业链。如此看来,GEOX不仅仅看好中国天时、地利、人和     

武陵源生态区的建设

如何保护和开发生态旅游资源来发展旅游活动,是关系到一个国家、地区旅游业可持续发展的重要问题。目前,人们已对生态保护的重要性达成共识,但对生态旅游资源的开发和保护还缺乏科学性、统筹性的理性思考。文章通过对武陵源生态旅游资源现状及其存在的问题进行分析,就生态区建设对生态旅游资源的保护进行初步探索。     

摆正房地产业的位置

在全球金融危机背景下,国务院提出以4万亿元的投资规模拉动经济增长,并先后将钢铁和汽车产业等列入重点扶持的十大产业振兴规划.