基于后悔规避的供应链回购契约协调

由于市场的不确定性，致使零售商的营销状况存在一定风险，从而会导致零售商出现后悔情绪并对其决策产生影响。为此，研究了在市场需求不确定情况下由一个理性供应商和一个后悔规避零售商组成的二级供应链的回购契约协调问题，并通过算例进一步分析了后悔规避程度对零售商最优订货量和供应链最优回购价格的影响。结果表明，即使考虑了零售商的后悔情绪，只要参数取值恰当，基于后悔规避的回购契约也能够实现二者间的协调。后悔系数对零售商最优订货量和供应链最优回购价格的影响依赖于零售商对缺货后悔和剩余后悔的偏好程度。     

谱风险预算投资组合保险模型研究

文章基于谱风险测度的风险预算和资产价格运动的双指数跳跃扩散过程,建立谱风险预算投资组合保险模型。案例模拟结果表明该模型能有效规避下方风险,并随着投资者风险厌恶程度的增加,投资组合的绩效下降;对于具有一般风险厌恶的投资者,该模型绩效与CPPI、OBPI策略的绩效接近,当投资者的风险厌恶程度较低时,其绩效优于CPPI、OBPI策略。     

考虑风险规避的闭环供应链对突发事件的协调

以一个制造商、一个分销商、一个零售商构成的三级闭环供应链为研究对象,在考虑零售商风险规避和随机需求的基础上,首先研究了正常环境下为实现三级闭环供应链的协调该如何设计收益共享、成本分摊契约：然后,针对突发事件造成市场需求、生产成本、再制造成本同时扰动时原契约协调作用失效的情况,研究如何对原契约进行改进以使三级闭环供应链依然协调。研究结果表明,运用收益共享、成本分摊契约协调供应链时,零售商损失规避程度的增加会导致制造商采取增加零售商留存收益份额或分销商采取降低批发价的方法来激励零售商多订货,正常环境下三级闭环供应链的协调可通过运用基准契约来实现,突发事件环境下三级闭环供应链的协调可通过运用改进契约来实现。     

中国零售商之间的自有品牌投资选择博弈模型研究——零售商之间的非对称双头垄断期权博弈模型

文章通过构建一个零售商投资时机选择的非对称双头垄断期权博弈模型，来研究零售商经营自有品牌的介入时机问题，以及两个有竞争关系的零售商谁会选择、或者率先选择发展自有品牌的问题。     

中国国企股票期权激励政策浅析

针对我国首次对海外上市国企管理层的股票期权激励办法,研究表明该政策值得商榷:一是实行股票期权激励的理论基础--授予看涨期权能降低CEO的风险厌恶度――可能是错误的;二是中国现实存在股权的派发和有效监管等重大问题尚待解决。     

两个零售商之间具有产品替代性的订货模型

以最大期望利润为目标，讨论了随机需求环境下，两个零售商出售可以互相替代的同质产品的博弈模型。通过计算得到了两个零售商的最优订购量，并研究了替代系数对最优订购量的影响。然后，将本模型与报童模型进行比较，证明采用替代策略可以同时提高两个零售商期望利润。     

艺术品假拍的声誉模型分析

本文构建了一个艺术品持有人、拍卖行及投资者合谋假拍的三方博弈模型,引入了声誉对于艺术品持有人及拍卖行的影响。研究发现:存在最优落锤价格,并且拍卖行假拍的最优价格差距所带来的边际收益与其付出的边际声誉成本之间满足一个固定比例才能实现期望效用最大化;价格差距给拍卖行所带来的期望收益与声誉成本呈同向变动关系;决定拍卖行是否参加合谋的关键因素包括两个方面:一是拍卖行获得工资所带来的效用,二是拍卖行委托投资者合谋所支付的收入比例。     

考虑消费者行为的易逝品动态定价研究

在消费者有限理性行为上考虑其策略型和短视型的不同特征，在非理性行为上考虑支付意愿、风险偏好及参考价格三个衡量维度，综合构建消费者效用函数，研究了在消费者行为异质作用下，易逝品零售商的动态定价，并运模拟算例对上述研究进行了演算。研究表明：消费者风险偏好程度较高时，零售商收益会随着策略消费者比例和消费者估值折扣系数的增大而减小，风险偏好较低时可缓解或消除策略消费者的不利影响；零售商的最优定价策略为降价策略；第二阶段消费者产品获得率会对零售商收益产生影响。     

对冲基金：华尔街的世纪狂赌

对冲基金：英文名称为Hedge Fund，意为“风险对冲过的基金”，对冲基金诞生于上世纪50年代初的美国，它利用期货、期权等金融衍生产品以及对相关联的不同股票进行实买空卖、风险对冲的操作技巧，以规避和化解证券投资风险。经过几十年的演变，对冲基金己成为一种新的投资摸式：即基于最新的投资理论和极其复杂的金融市场操作技巧，充分利用各种金融衍生产品的杠杆效用．承担高风险，追求高收益的投资方式。     

基于实物期权理论的城市钢铁企业投资决策研究

针对城市钢铁企业“搬不搬,何时搬”的问题,基于实物期权理论,考虑产品、原材料、燃料动力价格的不确定性,建立投资评价模型。应用最小二乘蒙特卡洛模拟求解,得到项目投资价值、盈利概率和投资时机。通过灵敏性分析,探讨产品、主要原材料价格变化对三个指标的影响。研究表明：项目有投资价值,立即投资,风险过高;产品价格漂移参数增加会显著提高投资价值,降低风险,推迟投资。     

消费者公平关切下制造商主导的供应链最优决策研究

究消费者不仅在意产品的功能,还在意交易中的公平性,因此研究了消费者公平关切对制造商和零售商定价决策问题。对零售商与消费者具有公平关切与制造商与消费者具有公平关切两种情况下的制造商主导的Stakelberg模型进行研究分析,并得出两种情况下制造商的最优批发价格、最优质量以及零售商最优零售价。研究发现:适中的消费者公平关切能够一定程度上缓解供应链竞争。制造商与零售商都不应过度关注自身公平关切,否则会损害另一方利益,从而不利于供应链的稳定发展。     

碳交易背景下考虑公平关切的双渠道闭环供应链定价决策

考虑到碳交易政策和公平偏好会影响双渠道闭环供应链定价决策，分别构建碳交易背景下公平中性、零售商公平关切信息对称与不对称时双渠道闭环供应链进行最优决策的Stackelberg动态博弈模型。通过求解各个均衡解，研究各个均衡解与制造商和零售商公平关切的关系。通过数值算例分析，着重考虑零售商公平关切信息对称与不对称时制造商和零售商公平关切对双闭环供应链最优定价决策的影响，并进行对比分析。研究结果表明：无论零售商公平关切信息对称还是不对称，新产品的销售价格与制造商和零售商公平关切都成正比，再制品的销售价格不受公平关切的影响；新产品的市场需求与制造商和零售商公平关切都成反比，再制品的市场需求与制造商和零售商的公平关切都成正比；公平关切会降低企业利润，公平关切信息不对称会加剧这一现象。     

北京市西瓜销售市场和典型零售商调查研究

从北京市西瓜价格走势、销售产地、品种等情况对北京市西瓜销售情况进行分析,并以北京市各区的西瓜批发零售点作为销售环节的调研对象,对零售商抽样调研进行成本效益分析。结果显示,从销售量上,农贸市场＞超市＞便利店,而在销售价格上,超市＞农贸市场＞便利店,三种零售商的利润率在10%～12%之间。最后提出对零售商进行基础建设升级改造、采用差异化战略和加大促销力度等方面的建议。     

Pricing contingent convertibles with idiosyncratic risk

We consider capital structure including equity, straight bonds (SBs), and contingent convertibles (CoCos) for nonfinancial firms. We price equity and CoCos by a utility-based method. We show that benefits from issuing CoCos increase dramatically with idiosyncratic risk and risk aversion. The firm value is concave in CoCos' conversion ratio and the optimal conversion ratio increases with risk aversion and idiosyncratic risk. If risk aversion is sufficiently high, shareholders' risk-shifting incentives disappear, and the firm issues less CoCos and equity and more SBs as idiosyncratic risk rises. The higher the idiosyncratic risk or risk aversion, the higher the leverage.     

Income Uncertainty and Optimal Redistribution

Implications of income uncertainty for socially efficient redistribution are examined. Counter-intuitively, a policymaker may respond optimally to a negative utility shock in the economy by redistributing income away from those who suffered the shock. In particular, it may be welfare enhancing to redistribute income away from risk-averse taxpayers who suffer an increase in the variance of their earnings. The direction of redistribution following an increase in uncertainty depends on the degree to which absolute risk aversion declines with consumption. A condition is provided for when an efficient policy redistributes away from those facing the greatest uncertainty.     

Is Life Annuity an Effective Tool for Managing Longevity Risk in Korea?*

We examine optimal life annuity planning for Korean pre‐retirees with a focus on the optimal timing of annuitization. The objective is to maximize the expected total utility from consumption during the retirement period. Benchmark cases with various values for net wealth, proportion of net wealth that is annuitized at the time of retirement and level of risk aversion are applied. We confirm that life annuity is an effective tool for managing longevity risk in Korea and it is important to select the timing of annuitization carefully to maximize the expected total utility and to avoid unnecessary financial ruin during retirement. In addition, we find that the optimal annuity strategy is more beneficial for those with lower levels of wealth than others.     

竞争环境中考虑租客违约退租情况的长租公寓动态定价策略研究

针对租赁市场中长租公寓定价困难以及违约现象时有发生的情况,建立竞争环境下考虑租客违约情况长租公寓的定价与押金退还策略模型。首先建立长租公寓的房屋租赁模型和租客的违约退租模型。其次分析各个价格敏感因子与最优租金价格和违约退租时押金退还金额之间的关系,基于此制定租金价格和违约退租时押金退还金额的最优组合。最后,通过算例分析,验证最优价格组合的合理性,为长租公寓在日后的出租以及租客违约退租过程中提供价格决策依据。     

政府补贴下考虑零售商竞争的供应链决策研究

为研究政府补贴制造商生产成本下零售商竞争对供应链决策的影响,考虑政府补贴率和零售商竞争强度两个因素,建立3种供应链决策模型,分析政府补贴系数和零售商竞争强度对供应链决策的影响。结果表明,零售商竞争会使零售价格提高,而不影响制造商的批发价,竞争越激烈,供应链各成员的定价和利润越低。在3种供应链决策模型下,竞争强度和政府补贴对制造商利润的影响程度最高。     

Can Employee Stock Options Contribute to Less Risk-Taking?

The executive compensation literature presumes that shareholders offer risk-averse managers stock options to entice them to take on more risk, resulting in riskier investment decisions and thus a greater return on investment. However, recent empirical work challenges this assumption, and theoretical research even argues that high levels of option-based compensation for generally under-diversified managers may actually lead to greater risk aversion. We evaluate the incentive structure of employee stock options by examining the level of R&D investment and the return on that investment conditional on the portfolio “vega,” which captures the sensitivity of option value to stock price volatility. Our results suggest that both investment in R&D and the return on R&D, as measured by future earnings and patent awards, varies concavely with vega. That is, low to moderate levels of vega correspond to increasing investment in and returns on R&D, consistent with vega inducing more profitable investments, but marginal returns decline as vega increases. Collectively, these results, bolstered by several supplemental analyses, suggest that this surprising relation between vega and risky investment is driven by greater risk aversion at higher levels of vega. Overall, our results imply that employee stock options may not always align the incentives of managers and shareholders.     

Energy price shocks,monetary policy and China's economic fluctuations

This paper develops a New Keynesian dynamic stochastic general equilibrium model with energy factors to study various channels through which China's economic fluctuations are linked to energy price shocks and to search for the optimal monetary policy to cope with energy price shocks. We conclude that there are channels through which changes in energy prices will have the following cause–effect relationships. First, a rise in energy price as a negative technology shock will raise the costs of providing capital services per unit of capital, thereby reducing output. Second, a rising energy price distorts the intertemporal choices of households and firms, creating downward pressure on the expected future return on capital. Third, an energy price shock places upward pressure on the marginal costs associated with an increase in inflation. Numerical simulation results show that a positive energy price shock has a positive effect on energy technology improvements. In addition, the effects of energy price shocks can be mitigated by nominal rigidities, and interest rate rules will determine the magnitude of those effects. Using the efficient frontier method, we also show that optimal monetary policy in China should help control energy price volatility.