共查询到20条相似文献,搜索用时 31 毫秒
1.
While investors’ responses to price changes and their price forecast have been identified as one of the major factors contributing to large price fluctuations in financial markets, our study shows that investors’ heterogeneous and dynamic risk aversion (DRA) preferences may play a more critical role in understanding the dynamics of asset price fluctuations. We allow an agent specific and time-dependent risk aversion index in a popular power utility function with constant relative risk aversion to construct our DRA model in which we made two key contributions. We developed an approximated closed-form price setting equation, providing a necessary framework for exploring the impact of various agents’ behaviors on the price dynamics. The dynamics of each agent’s risk aversion index is modeled by a bounded random walk with a constant variance, and such dynamics is incorporated in the price formula to form our DRA model. We show numerically that our model reproduces most of the “stylized” facts observed in the real data, suggesting that dynamic risk aversion is an important mechanism for understanding the dynamics of the financial market and the resultant financial time series. 相似文献
2.
Within the standard Keynesian multiplier framework, extended by a micro-model of interactive formation of individual consumption
propensities, we demonstrate that socioeconomic interactions can lead to cyclical fluctuations in aggregate economic activity.
The underlying micro-model of direct interactions is a version of Alan Kirman’s generic opinion formation model, with an additional
feedback effect from macroscopic variables on the transition probabilities. Our model engenders cyclical fluctuations of economic
variables, despite the fact that neither the Keynesian multiplier model nor Kirman’s model does so on its own. 相似文献
3.
This study models location choices for foreign direct investments in new hospitals in China as an multi-criteria decision-making
(MCDM) problem and designs develops a multidirectional relationship decision model combines the techniques of analytic network
process (ANP) and technique for order performance based on similarity to the ideal solution (TOPSIS). This study discusses
applying ANP to the relative weighting of multiple assessment criteria. The TOPSIS approach is employed to rank 15 counties
without the Zhoushan of China’s Yangtze River Delta (YRD) region in terms of their overall performance under the decision
model. To illustrate how the proposed approach is applied to the problem of selecting locations for new hospitals in China
an empirical study of a real case is performed. This study demonstrates the effectiveness and feasibility of the proposed
assessment procedure. 相似文献
4.
Applying fuzzy quality function deployment (QFD) to identify solutions of service delivery system for port of Kaohsiung 总被引:1,自引:0,他引:1
The main purpose of this paper is to apply fuzzy quality function deployment (QFD) model to identify solutions of service
delivery system (SDS) for port of Kaohsiung from the viewpoints of customers. At first, to facilitate the main issue of the
QFD problem, however, the ‘what’ question of customer needs and ‘how’ problem of the services have to be made, which are two
major components and be emphasized on the house of quality (HOQ) matrices. In conjunction with fuzzy sets theory, hence, the
systematic procedures using fuzzy QFD were proposed in this paper. Subsequently, a case study for port of Kaohsiung demonstrated
the systematic appraisal process for identifying solutions of SDS. The results of empirical study show that (1) 10 key factors
are deemed as to have priority to improve the quality of SDS for Kaohsiung port; and (2) eight feasible solutions for improving
service quality performance are identified. Moreover, it is suggested that port Authority of Kaohsiung should listen attentively
the voice of customers and emphasize on exploiting these customer requirements effectively. And then develop the ‘how’ issues
of profiles of solutions, which should continuously strengthen the perspectives of customer, internal business process, and
learning and growth, respectively. 相似文献
5.
Alireza Faraz R. Baradaran Kazemzadeh M. Bameni Moghadam Aliasghar Bazdar 《Quality and Quantity》2010,44(5):905-914
In this paper we introduce a fuzzy chart for variables which is used in situations when uncertainty and randomness are combined.
It is showed that the Shewhart chart’s control limits must be adjusted in these situations. However, this chart is based on
a fuzzy acceptance region and this method arises when a decision should be made by referring to the grade of a sample statistic
belonging to the fuzzy acceptance region. 相似文献
6.
A decision model for selection using analytic hierarchy process (AHP), however, they did not consider interdependence property
but consider independence property among alternatives or criteria. It could become inadequate in measurement of actual performance
of the decision process. In order to reduce the decision gap, this paper considers when independence among different elements
of a system assumption is violated and takes into account the degree of the interdependence among them. The fuzzy analytic
network process (FANP) approach with agile theory is developed to apply in analyzing the new service development in the wholesale
center. The FANP could not only offer a hierarchy framework more efficiency and accuracy but also improve human judgment on
the importance of requirements involving imprecise and vague. The technique has proved useful for comparing the importance
among the determinants of agile for new service development in decision maker’s mind, including agile cost, time, robustness
and scope. The empirical result points out that “Diverse designs” of new service development is the best choice for the wholesale
center, following as “Service extended” and “Technological core”. 相似文献
7.
Erdal Atukeren 《Quality and Quantity》2008,42(6):835-844
This paper takes a closer look at the conceptual grounds of the notion of causality in Granger’s sense. We start with the
often jokingly made remark that ‘Christmas card sales Granger-cause Christmas’. Then, we extend the example to the more challenging
case of chocolate Easter bunny sales and Easter. We show that any references to Granger-causality in these cases are due to
the misinterpretation of the concept. Moving further on methodological grounds, we argue that the concept of Granger-causality
calls for a multivariate framework of analysis. This is because taking all available relevant information into account is
indeed required in Granger’s definition of causality. This is also in line with rational behaviour and learning under imperfect
and incomplete information. The implications of employing a multivariate framework of analysis is discussed in terms of the
additional insights it brings; namely, direct, indirect, and spurious cases of Granger-causality. Finally, we examine the
semantics of the definition of causality in Granger’s sense.
相似文献
8.
Global supplier selection is a multi-goal multi-criteria problem which needs to consider both qualitative and quantitative
factors. Which suppliers are the best and how much should be purchased from the selected suppliers is an important purchasing
issue for manufacturers. Traditionally, decision makers can determine the best supplier from evaluating few suppliers with
qualitative supplier selection criteria by using fuzzy analytic hierarchy process (FAHP), but evaluate dozens of global suppliers
simultaneously or determine the order quantity from them will be complex and difficult. Meanwhile, decision makers can determine
the order quantity form the suitable suppliers by using fuzzy goal programming (FGP); however, it is not easy to decide weights
for each goal of global supplier selection with different supply chain strategies. This study integrated the FAHP and FGP
(FAHP-FGP) method to be a new approach for global supplier selection in considering the manufacturer’s supply chain strategies.
With FAHP-FGP method, the manufacturer can consistently integrate multi-manager’ opinions in determining weights of each goal
and obtain the order quantities for suitable suppliers based on manufacturer’s strategies. To demonstrate the usefulness of
the proposed method, a real-world case of a digital consumer products manufacturer is presented. 相似文献
9.
We discuss and develop an imbalance-crisis turning point model to forecast the likelihood of a financial crisis based on an Analytic Network Process framework. The Analytic Network Process (ANP) is a general theory of relative measurement used to derive composite-priority-ratio scales from individual-ratio scales that represent relative influence of factors that interact with respect to control criteria. Through its supermatrix, which is composed of matrices of column priorities, the ANP framework captures the outcome of dependence and feedback within and between clusters of explanatory factors. We argue that our framework is more flexible and is more comprehensive than traditional methods and previous models. We illustrate how the ANP model would be implemented for forecasting the probability of crises. 相似文献
10.
Anthony J. Onwuegbuzie R. Burke Johnson Kathleen M. T. Collins 《Quality and Quantity》2011,45(6):1253-1271
In this article, we have merged or intersected two typologies: Greene’s (Res Sch 13(1):93–98, 2006) four-domain typology for
developing a methodological or research paradigm in the social and behavioral sciences and Onwuegbuzie and Johnson’s (Res
Sch 13(1):48–63, 2006) nine-component typology for assessing mixed research legitimation. We argue that merging or interconnecting
these typologies present a framework for assessing legitimation in mixed research. Specifically, we demonstrate how the nine
types of legitimation map onto Greene’s (Res Sch 13(1):93–98, 2006) four methodological domains and illustrate how legitimation
in mixed research, rather than being viewed as a procedure that occurs at a specific step of the mixed research process, is
better conceptualized as a continuous iterative, interactive, and dynamic process. Additionally, in presenting this framework,
we hope to reduce misperceptions that some researchers have voiced about mixed research. 相似文献
11.
In this article, we study the situation, where the opportunity is given to invest into a government-owned business by partial
privatization to a private company. After payment of an initial installment cost, the private company’s investments are flexible
within a range [0, k] until the business is completed. We model the problem in a real option framework, using geometric mean reversion to describe
the dynamics of the business. We determine the optimal time for the private company to enter and pay the initial installment
cost as well as the optimal dynamic investment strategy that it follows afterward. For the latter, analytic solution cannot
be obtained. We use quadratic splines in order to solve the corresponding dynamic programming problem. Finally, we determine
the optimal degree of privatization in our model from the government’s perspective. 相似文献
12.
This study proposes a novel approach that integrates the qualitative approach, the quantitative approach, and fuzzy set theory
for developing a framework of critical managerial competences of electronic commerce (EC) professional managers. The approach
combines a focus group, a fuzzy Delphi method and the Fuzzy Analytic Hierarchy Process (Fuzzy AHP) for identifying competences
via experts’ opinions and questionnaires for developing the framework of managerial EC professional managers. Comparing the
competences of traditional managers and EC managers reveals main differences in the emphasis on EC manager professional skills.
Furthermore, competency weights for EC managers lie particularly in domain knowledge and information management skills. Research
results reveal that our proposed EC competence framework not only help firms in selecting/hiring high quality EC professional
managers more objectively, but also in evaluating the performance of EC managers. 相似文献
13.
This study is based on the SERVQUAL model and the Plan-Do-Check-Action (P-D-C-A) cycle of TQM to establish a higher education
quality management system. In this system, it includes ‘Plan’ and ‘Do’ dimensions to execute ten factors, each dimension complements
with each other. The ‘Check’ dimension has four factors and the ‘Action’ dimension has three factors. Each execution factors
of the quality management system could reduce the occurrence of five gaps in the SERVQUAL model and facilitate education providers
to provide a better service quality. Education providers strengthen an education system by carefully planning and implementation
of quality auditing and continuous improvement. The desired result of this study is to possess a more explicit framework for
high education industry and provide a proper service for students. 相似文献
14.
This article builds a new structural default model under the assumption that a firm’s assets return follows a dynamics displaying
jumps of both signs. In essence, we expand the work of Hilberink and Rogers (itself an extension of the Leland and Toft framework),
which deals only with negative jumps. In contrast, we make use of stable Lévy processes, and we compute the values of the
firm, debt and equity under this assumption. Theoretical credit spreads can also be obtained in our framework. They prove
to be consistent with the empirical credit spreads observed in financial markets.
相似文献
15.
We analyse the state of the art in the field of life cycle portfolio choice, a recent strand of the literature on intertemporal
portfolio selection. Life cycle models are designed to identify optimal savings and portfolio policies over the lifetime of
investors. They can help to improve pension schemes by showing how these could be specifically tailored to the individual
employee’s circumstances to overcome the ‘one-size-fits-all’ philosophy still prevailing in parts of the mandatory retirement
savings system. To facilitate comparison, we first describe set-up, solution method and characteristic results for a basic
model and then derive a general framework to classify existing contributions. We highlight the models’ strengths and weaknesses
and assess their ability to resolve existing portfolio puzzles. Lessons from the literature are summarized and promising areas
for further research identified.
JEL classifications G11, D14, D91, H55 相似文献
16.
Johan N. M. Lagerlöf 《Economics of Governance》2007,8(3):197-218
I develop a model of rent seeking with informational foundations and an arbitrary number of rent seekers, and I compare the
results with Tullock’s (1980) classic model where the influence activities are “black-boxed.” Given the microfoundations,
the welfare consequences of rent seeking can be studied. In particular, I show that competition among rent seekers can be
socially beneficial, since the additional information that the decision maker gets access to makes the increase in rent-seeking
expenditures worthwhile. However, the analysis also highlights a logic that, under natural parameter assumptions, makes the
rent seekers spend more resources on rent seeking than is in society’s interest, which is consistent with the spirit of the
rent-seeking literature.
相似文献
17.
A stochastic frontier model with correction for sample selection 总被引:3,自引:2,他引:1
William Greene 《Journal of Productivity Analysis》2010,34(1):15-24
Heckman’s (Ann Econ Soc Meas 4(5), 475–492, 1976; Econometrica 47, 153–161, 1979) sample selection model has been employed in three decades of applications of linear regression studies. This paper builds
on this framework to obtain a sample selection correction for the stochastic frontier model. We first show a surprisingly
simple way to estimate the familiar normal-half normal stochastic frontier model using maximum simulated likelihood. We then
extend the technique to a stochastic frontier model with sample selection. In an application that seems superficially obvious,
the method is used to revisit the World Health Organization data (WHO in The World Health Report, WHO, Geneva 2000; Tandon et al. in Measuring the overall health system performance for 191 countries, World Health Organization, 2000) where the sample partitioning is based on OECD membership. The original study pooled all 191 countries. The OECD members
appear to be discretely different from the rest of the sample. We examine the difference in a sample selection framework. 相似文献
18.
Kimiko Terai 《Economics of Governance》2009,10(1):43-64
We present an election model employing candidates with policy preferences, and show how re-election pressure induces candidates
to keep their campaign promises in finitely repeated competitions. The game consists of two periods, each of which comprises
an election followed by the winner’s policy implementation. Following the first election, the incumbent may signal his dishonesty
by implementing a policy different from his campaign promise. If the citizens care about political honesty, this choice reduces
the incumbent’s probability of re-election. An equilibrium is derived which demonstrates that even with term limits, an elected
candidate’s deviation from his campaign promise is controlled by the citizens’ monitoring of his performance. Strong public
response to the dishonesty of politicians thus serves as a commitment device.
The author is grateful to anonymous referees and to the editor of the journal for many valuable comments and suggestions.
The author also thanks Masaki Aoyagi, Motonari Kurasawa, Yukihiro Nishimura, Shigehiro Serizawa, Takashi Ui, and participants
in the seminars held by the Institute of Statistical Research, Meikai University, Osaka University, University of California,
Irvine, and Yokohama National University for their insightful comments. 相似文献
19.
Constitutions as self-enforcing redistributive schemes 总被引:1,自引:1,他引:0
We present a model of a fiscal constitution (i.e., a transfer scheme between income classes) that is self-enforcing against
a background in which predatory activities (‘revolutions’) are feasible. In this environment, a constitution self-enforces
by structuring society’s interests in such a way that non- compliance necessarily results in a revolution which society would
rather avoid.
相似文献
20.
Ángel Hernando-Veciana 《Review of Economic Design》2006,10(1):53-61
We study a variation of Myerson’s (1981) model in which we allow for uncertainty about the number of bidders. In our set-up, an appropriate reserve price in a standard auction maximizes the auctioneer’s expected revenue. However, entry fees can be optimal only under some special conditions. Basically, there must be some homogeneity in bidders’ beliefs about the number of bidders and the auctioneer must know, to some extent, these beliefs. 相似文献