Revisiting the risk/return relations in the Asian Pacific markets: New evidence from alternative models

This paper examines the risk/return relations in eleven Asian Pacific stock markets and explores if the 1997 Asian financial crisis significantly influenced market behavior in the region. We use a plain vanilla time-series regression approach as well as various GARCH models. Although results significantly vary across model specifications, the overall evidence from GARCH models supports a significantly positive risk/return relation in several markets but only prior to the Asian financial crisis. These results accord with Glosten et al. (1993) and Harvey (2001) and suggest that the relative risk aversion is sensitive to both model specifications and structural breaks.     

跨企业知识共享博弈分析

在阐述跨企业知识共享对于企业重要性的基础上,运用博弈分析方法,分析企业与企业之间知识共享过程,求得子博弈精炼纳什均衡解,从而得到促使企业间进行知识共享的条件,并分析知识共享收益、成本及企业学习能力对知识共享条件的影响,实现知识共享各方利益的最大化。     

创新企业剩余收益分配的博弈分析

使用博弈论的理论和方法 ,分析了创新企业中创新者与非创新者的剩余效益分配的方式与两者努力程度的关系 ,给出了完全信息情况下静态的Nash均衡解和动态的子博弈精炼Nash均衡解。并从企业收益的角度 ,证明了动态情况下的企业收益大于静态时的收益 ;并给出了在满足一定条件下 ,创新者先行动会使企业收益优于非创新者先行动时企业的收益     

基于博弈理论的供应链企业间信用风险分析

供应链企业间存在着信用风险问题,上下游企业供应商和销售商之间在赊销方面进行着相互的利益博弈。由于信息的不完全性,这种博弈是一种不完全信息博弈。通过对此博弈的分析可以深层次把握影响供应链信用风险的各种成因,降低不诚信销售商通过违约所带来的收益、提高供应商调查的概率和调查成功的概率,降低检查成本、加强供应链企业诚信教育等是治理供应链信用风险的有效措施。     

ON AGENT’S AGREEMENT AND PARTIAL‐EQUILIBRIUM PRICING IN INCOMPLETE MARKETS

We consider two risk‐averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers with nontraded random endowments, we provide necessary and sufficient conditions for negotiation to be successful, i.e., for the trade to occur. We also study the asymptotic case where the size of the claim is small compared to the random endowments and we give a full characterization in this case. Finally, we study a partial‐equilibrium problem for a bundle of divisible claims and establish existence and uniqueness. A number of technical results on conditional indifference prices is provided.     

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。     

经济活动中关于寻租问题的博弈模型

“腐败”现象在经济活动中是经常出现的 ,一些学者也称之为“寻租” ,这种行为显然会对经济活动构成极大的危害。要想分析它必须使用博弈论的理论和方法建立起数学模型 ,对这种现象进行定量分析 ,并在完全信息和不完全信息两种情况下 ,分别给出了纳什均衡和贝叶斯纳什均衡。这样 ,才能根据模型的结论 ,采取相关的对策。     

论电子商务市场中的欺诈行为

在互联网经济迅速发展的今天，网络交易中的欺诈事件时有发生，这些问题的存在制约着网络交易和电子商务的发展。本文认为，从根本上讲，网络欺诈行为的出现是由于网络市场中买卖双方信息的不对称性，这种不对称性不同于传统市场。本文对网络欺诈现象产生的原因进行了讨论，并通过一个产品质量博弈模型，分析了管理网络欺诈的内在机理，力图为减少和消除网络欺诈提供一个策略思路。     

Market Efficiency and Price Discovery in Cocoa Markets

ABSTRACT

This paper tests the efficiency and price discovery mechanism in the cocoa cash and futures markets over the period March 1981–August 2009. The results indicate that the price discovery is done in the cash market and spreads to the futures markets and that the futures price can be seen as an unbiased predictor of future cash prices. There is no sign of a risk premium in the futures price. Since the cash behaves like a random walk we cannot reject market efficiency.     

企业技术标准之争的博弈分析

面对技术标准给我国出口企业带来的冲击，企业的技术标准问题越来越受到理论界的关注。采用博弈论的方法对企业标准之争进行分析，并给我国企业参与国际标准竞争提供策略及建议。     

关于流通渠道中生产商与零售商关系的博弈分析

本文以流通渠道中的生产商和零售商为研究对象,基于完美信息的连续策略博弈,建立了双方的纳什均衡模型。研究结果表明,直接渠道对于生产商最为有利,其次为生产商主导的混合渠道、零售商主导的混合渠道和间接渠道;而对于零售商恰好相反。文章最后对研究结论进行了验证,并对中国流通业的发展现状进行了反思。     

CLOSED-FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS

We examine the portfolio choice problem of an investor with constant relative risk aversion in a financial market with partially hedgeable interest rate risk. The individual shadow price of the portfolio constraint is characterized as the solution of a new backward equation involving Malliavin derivatives. A generalization of this equation is studied and solved in explicit form. This result, applied to our financial model, yields closed-form solutions for the shadow price and the optimal portfolio. The effects of parameters such as risk aversion, interest rate volatility, investment horizon, and tightness of the constraint are examined. Applications of our method to a monetary economy with inflation risk and to an international setting with currency risk are also provided.     

美国大豆期货市场与现货市场价格传导关系研究

对美国大豆期货市场与现货市场价格传导关系的实证分析表明,美国大豆期货市场与现货市场相关性较强,期货市场与现货市场之间存在显著的长期均衡关系;期货市场和现货市场存在误差校正机制,当偏离两者的长期均衡关系时,重新回到原有均衡关系的调整速度较快;期货市场与现货市场相互引导,但现货市场的引导作用大于期货市场.文章提出,发现价格和套期保值是期货市场最基本的功能,这些功能的发挥与现货市场的发展密切相关.期货市场的产生与发展并不是对现货市场的替代,而且在完善的市场体系中,现货市场对期货市场具有较强的引导作用,现货市场发展的程度是影响期货市场功能发挥程度的关键因素.不断改善现货市场环境,加强现货市场建设,是促进期货市场快速发展的现实选择.