COMMENT ON "THE IRREDUCIBLE ROLE OF DERIVED MARGINAL UTILITY IN DYNAMIC STOCHASTIC PROGRAMMING"

This comment shows why the Lagrange method can be simpler than dynamic programming in solving dynamic optimization problems.     

A generalized endogenous grid method for non-smooth and non-concave problems

This paper extends Carroll's (2006) endogenous grid method and its combination with value function iteration by Barillas and Fernández-Villaverde (2007) to a class of dynamic programming problems, such as problems with both discrete and continuous choices, in which the value function is non-smooth and non-concave.The method is illustrated using a consumer problem in which the consumer chooses both durable and non-durable consumption subject to a borrowing constraint. The durable choice is discrete and subject to non-convex adjustment costs.The algorithm yields substantial gains in accuracy and computational time relative to value function iteration, the standard solution choice for problems in which the value function is non-smooth or non-concave.     

电网投资决策定量分析技术与模型——基于动态规划方法的实证预测

首先介绍了1999—2007年我国电力行业投资的发展趋势,继而分析了动态规划方法的基本原理,构建了基于动态规划方法的电网投资决策分析技术与模型;最后以某电网企业为例,说明了该方法的应用策略并检验了应用效果,通过实证模拟研究给出了该电网企业的最佳投资组合策略、投资规模和投资时机。     

Non-convexities from probing in adaptive control problems

Computer codes for solving adaptive control problems frequently contain gradient methods. However, due to the presence of non-convexities in the cost function these codes may frequently obtain local rather than global optimum. This note uses the decomposition of the dynamic programming cost-to-go into deterministic, cautionary, and probing terms to show the source of the non-convexity in an example problem and to conjecture that such non-convexities may stem from fundamental properties of the probing term.     

FORECASTING AND POLICY EVALUATION IN ECONOMIES WITH RATIONAL EXPECTATIONS: THE DISCRETE TIME CASE*

Several techniques for solving dynamic rational expectations models have been proposed. This paper puts forward an alternative method for discrete time models, which is significantly simpler to use in practice. That solution is used to derive and compute optimal policy selections (incorporating ‘noncausal’ effects) which, by exploiting the discrete time framework, are also time consistent when sequentially reoptimized. Those decisions are shown to contain an optimal open loop component plus an innovations dependent correction mechanism. A numerical example is used to verify these properties, and to demonstrate the superiority of this policy selection technique over recursive methods (e.g. dynamic programming).     

OPTIMAL INVESTMENT MODELS WITH MINIMUM CONSUMPTION CRITERIA

This paper considers a max-min formulation of multistage optimal investment and consumption problems, with uncertainties in the form of variable productivities of capital and interest rates. The criterion of control performance is minimum consumption over time, weighted by a coefficient which indicates the likelihood of possible disturbance sequences. A dynamic programming method is used. Explicit results for a max-min formulation of the Merton portfolio optimisation problem are obtained. A production-consumption-debt model arising in international finance is also considered.     

Efficient allocations with moral hazard and hidden borrowing and lending: A recursive formulation

We propose a tractable recursive framework to study the optimal allocation of consumption and effort in a dynamic setting with moral hazard where agents have secret access to the credit market or to storage. The recursive structure is based on a generalized first-order approach, whose validity must be verified ex post. Thanks to the recursive formulation of the optimal contract, the verification procedure turns out to be numerically parsimonious as it can be performed using standard dynamic programming techniques with only one endogenous state variable: The agent's level of assets. We study the performance of our ex post verification test in practice by solving numerically three representative infinite horizon examples.     

Block recursive equilibria for stochastic models of search on the job

We develop a general stochastic model of directed search on the job. Directed search allows us to focus on a Block Recursive Equilibrium (BRE) where agents' value functions, policy functions and market tightness do not depend on the distribution of workers over wages and unemployment. We formally prove existence of a BRE under various specifications of workers' preferences and contractual environments, including dynamic contracts and fixed-wage contracts. Solving a BRE is as easy as solving a representative agent model, in contrast to the analytical and computational difficulties in models of random search on the job.     

Safe Minimum Standards in Dynamic Resource Problems: Conditions for Living on the Edge of Risk

Safe Minimum Standards (SMSs) has been advocated as a policy rule for certain environmental problems where uncertainty about risks and consequences are thought to be profound. This paper explores the rationale for such a policy within both static and dynamic frameworks and derives conditions for when SMS can be summarily dismissed as a policy choice and for when SMS can be defended as an optimal policy based on standard economic criteria. It turns out that these conditions can be checked with quite limited information about damages and risks. In order to analyze the SMSs in a dynamic setting, we develop a method for solving optimal control problems when state space is divided into risky and non-risky sub-sets.      

LATE CAREER JOB LOSS AND THE DECISION TO RETIRE

This article provides an empirical analysis of the effect of involuntary job loss on the lifetime income and labor supply of older workers. I develop and estimate a dynamic programming model of retirement with savings, costly job search, and exogenous layoffs. The average cost of job loss is equivalent to one year of predisplacement earnings, 70% due to the wage reduction and 30% to the search frictions. Displaced workers on average retire 14 months earlier. Workers who approached retirement during the Great Recession will work approximately five months longer in response to the contemporaneous financial and labor market shocks.     

江苏省城镇间可达性及其格局演变研究

可达性评价一般包括网络分析和栅格分析.借助AmGIS的空间分析功能,采用栅格分析方法,以江苏省65个县(市)行政中心(城镇)为研究节点,利用1990、1996、2002和2008年的交通路网数据,对江苏省4个研究年度城镇间两两可达性进行了分析,探讨了其格局演变特征.结果表明:江苏省城镇间可达性改善明显;城镇间可达性结构由"纺缍型"向"倒金定塔型"转变;城镇间可达性总体差距在不断缩小,城镇间联系更加紧密;城镇间可达性改善并不均衡;交通建设的不均衡发展,导致城镇可达性和区位优势的改变.     

The Optimizing Method of Equipment Renewal Opportunity Based on Dynamic Sunk Cost

This article brings forward a new conception of dynamic sunk cost, and then constructs a systematic model that could be used in analyzing equipment renewal opportunity. This model will do much help in solving problems refer to optimizing equipment renewal opportunity in right way.     

Multi-objective hedging model with the third central moment and the capital budget

The third central moment and the capital budget are two important factors in designing the optimal hedge strategy. This paper investigates the problem of futures hedging under the third central moment and the capital budget. Based on the multi-objective programming, a multi-objective hedging model with two important factors is proposed to manage this problem. Using the method of weighted sums, the multi-objective hedging model can be equivalently transformed into an ordinary single-objective programming. By solving the single-objective programming, we derive the optimal hedge ratio under the third central moment and the capital budget. Finally, an empirical example of hedging copper is given to illustrate the application of the proposed model. The results also show clearly the influence of the third central moment and the capital budget in the hedging decision.     

电网企业投资绩效评价研究

梳理了企业绩效评价的基础理论,分析了电网企业投资绩效后评估应注意的问题。在此基础上,结合电网企业投资的特点,构建了电网企业投资绩效评价指标体系。将层次分析与模糊综合评价相结合,建立了电网企业投资综合绩效评价模型,并以某电网企业为例,运用建立的模型对其投资绩效进行评价,证实了该评价模型方法的可行性。所构建的电网企业投资绩效评价模型,不仅适用于有投资自主权的基层电网企业绩效自评,也适用于上级电网企业对下属企业进行投资绩效考评或同业对标。     

On methods of optimal portfolio construction

The transition from a centrally planned economy to a market economy in Poland has caused dynamic changes in the number and structure of potential investors of the stock exchange market. This phenomenon, unknown in the past, needs a new approach to statistical methods of stock market analysis. The paper presents two methods of optimal portfolio construction. The first one leads to the square programming problem. Applying the Lagrange multipliers, we obtain a system of algebraic equations which can be solved by the special algorithm proposed in the paper. The second method reduces the mentioned above square program to the linear programming problem which can be solved using the simplex method.     

Fixed-term employment contracts in an equilibrium search model

We develop a theoretical model of firm dynamics and unemployment and characterize equilibria with tenure dependent separation taxes. The model is a version of the Lucas and Prescott island model with undirected search. Two equivalent decentralizations are considered: one with spot labor markets and one with long-term employment relations. We model “temporary contracts” as the special case of a separation tax that only applies to workers with tenure higher than J. While in principle these contracts require a J-dimensional state space, equilibrium allocations solve a simple dynamic programming problem characterized by two-dimensional inaction set(s).     

有效会计监管的均衡模型

会计欺诈已经成为世界范围内的重大问题 ,它给世界经济带来了重大的负面影响。本文通过建立两阶段动态博弈模型并对其求解发现 ,会计规则执行者的违规程度与惩罚力度、执行者的贴现因子以及政府的监管概率成反比 ;而政府的会计监管力度与惩罚力度、执行者贴现因子的平方以及政府的监管成本成反比。政府的最优事后会计监管的合适目标并不是要杜绝会计规则执行者的会计欺诈行为 ,而是将部分会计规则执行者的会计欺诈行为控制在一定的范围之内 ;最优的会计监管对于控制很看中当期收益的会计规则执行者的会计欺诈行为来说无能为力 ,控制这类会计欺诈行为的唯一措施在于提高会计监管的时效性 ;有效会计监管需要额外成本 ;并且有效会计监管实施的基本条件存在优先次序 :首先区分不同类型的会计规则执行者 ,其次区分会计规则执行者所承担的他们真正能够感知的违规处罚 ,然后才是选择最优的监管力度。     

跨界搜寻的创新驱动力：一个有调节的中介模型

以来自4个省份的357家企业为研究对象，以动态能力理论为基础，探讨跨界搜寻对技术创新的影响，以及动态能力和技术动荡在其中的中介与调节作用。结果发现：跨界搜寻的两种类型搜寻（技术知识和市场知识）对组织技术创新具有显著正向影响。同时，动态能力中介两类跨界搜寻和技术创新之间的正向关系，在技术知识跨界搜寻与技术创新之间发挥完全中介作用，在市场知识跨界搜寻与技术创新之间发挥部分中介作用。此外，组织外部较高的技术动荡水平不仅会加强动态能力对技术创新的正向影响，还会强化动态能力在两种类型搜寻与技术创新之间的中介效应。     

跨界搜寻的创新驱动力：一个有调节的中介模型

以来自4个省份的357家企业为研究对象，以动态能力理论为基础，探讨跨界搜寻对技术创新的影响，以及动态能力和技术动荡在其中的中介与调节作用。结果发现：跨界搜寻的两种类型搜寻（技术知识和市场知识）对组织技术创新具有显著正向影响。同时，动态能力中介两类跨界搜寻和技术创新之间的正向关系，在技术知识跨界搜寻与技术创新之间发挥完全中介作用，在市场知识跨界搜寻与技术创新之间发挥部分中介作用。此外，组织外部较高的技术动荡水平不仅会加强动态能力对技术创新的正向影响，还会强化动态能力在两种类型搜寻与技术创新之间的中介效应。     

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National Engineering Research Center for Intelligent Electrical Vehicle Power System, College of Mechanical and Electrical Engineering, Institute of Mechanics for Multifunctional Materials and Structures, Qingdao University, Qingdao, China