UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS

In this paper we investigate growth optimal investment in two-asset discrete-time markets with proportional transaction costs and no distributional assumptions on the market return sequences. We construct a policy with growth rate at least as large as any interval policy. Since interval policies are ε-optimal for independent and identically distributed (i.i.d.) markets ( Iyengar 2002 ), it follows that our policy when employed in an i.i.d. market is able to "learn" the optimal interval policy and achieve growth optimality; in other words, it is a universal growth optimal policy for i.i.d. markets.     

A UNIVERSAL OPTIMAL CONSUMPTION RATE FOR AN INSIDER

We consider a cash flow   X ^{( c )} ( t )  modeled by the stochastic equation where B (·) and     are a Brownian motion and a Poissonian random measure, respectively, and   c ( t ) ≥ 0  is the consumption/dividend rate. No assumptions are made on adaptedness of the coefficients  μ, σ, θ  , and c , and the (possibly anticipating) integrals are interpreted in the forward integral sense. We solve the problem to find the consumption rate c (·), which maximizes the expected discounted utility given by Here  δ( t ) ≥ 0  is a given measurable stochastic process representing a discounting exponent and τ is a random time with values in (0, ∞), representing a terminal/default time, while  γ≥ 0  is a known constant.     

证券市场交易机制的国际发展趋势研究

证券市场的两种主要交易机制是竞价方式和做市商制度.文章在综合分析国际上有代表性的相关研究文献后,发现在交易机制与股票买卖价差的关系方面,采用竞价方式的股票其买卖价差较小,采用做市商机制的股票其买卖价差较大;在股票交易成本方面,采用竞价交易机制的股票交易成本较低,而做市商机制的股票交易成本较高.从国际上证券交易机制的发展趋势看,以一种方式为主,多种方式为辅的"混合交易"机制是最有优势的机制,是证券交易机制的未来发展模式.     

基于交易费用视角的中国体制转型绩效研究

交易费用的变动可作为衡量中国体制转型绩效的一个重要尺度。通过借鉴已有研究成果,构建MIMIC模型,测算中国自改革开放以来交易部门的交易费用和非市场交易费用及其变动趋势。结果显示,改革开放以来,中国的交易服务水平并未显著提高,且非市场交易费用居高不下。应将推动服务业发展作为产业结构优化升级的战略重点,加快建立法治政府和服务型政府,积极推进"十二五"期间的经济转型升级。     

A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT

We integrate two approaches to portfolio management problems: that of Morton and Pliska (1995) for a portfolio with risky and riskless assets under transaction costs, and that of Cadenillas and Pliska (1999) for a portfolio with a risky asset under taxes and transaction costs. In particular, we show that the two surprising results of the latter paper, results shown for a taxable market consisting of only a single security, extend to a financial market with one risky asset and one bond: it can be optimal to realize not only losses but also gains, and sometimes the investor prefers a positive tax rate.     

RISK-AVERSION BEHAVIOR IN CONSUMPTION/INVESTMENT PROBLEMS1

In this paper, we study the risk-aversion behavior of an agent in the dynamic framework of consumption/investment decision making that allows the possibility of bankruptcy. Agent's consumption utility is assumed to be represented by a strictly increasing, strictly concave, continuously differentiable function in the general case and by a HARA-type function in the special case treated in the paper. Coefficients of absolute and relative risk aversion are defined to be the well-known curvature measures associated with the derived utility of wealth obtained as the value function of the agent's optimization problem. Through an analysis of these coefficients, we show how the change in agent's risk aversion as his wealth changes depends on his consumption utility and the other problem parameters, including the payment at bankruptcy. Moreover, in the HARA case, we can conclude that the agent's relative risk aversion is nondecreasing with wealth, while his absolute risk aversion is decreasing with wealth only if he is sufficiently wealthy. At lower wealth levels, however, the agent's absolute risk aversion may increase with wealth in some cases.     

从相对交易成本视角分析战略联盟

科斯强调节约交易成本是企业形成的一个重要因素,但忽略了组织能力也是制度选择中的重要变量,笔者在此基础上,将组织能力和节约交易成本相结合,从相对交易成本的变化尝试解释战略联盟。     

Leland's Approach to Option Pricing: The Evolution of a Discontinuity

A claim of Leland (1985) states that in the presence of transaction costs a call option on a stock S , described by geometric Brownian motion, can be perfectly hedged using Black–Scholes delta hedging with a modified volatility. Recently Kabanov and Safarian (1997) disproved this claim, giving an explicit (up to an integral) expression of the limiting hedging error, which appears to be strictly negative and depends on the path of the stock price only via the stock price at expiry S _T . We prove in this paper that the limiting hedging error, considered as a function of S _T , exhibits a removable discontinuity at the exercise price. Furthermore, we provide a quantitative result describing the evolution of the discontinuity: Hedging errors, plotted over the price at expiry, show a peak near the exercise price. We determine the rate at which that peak becomes narrower (producing the discontinuity in the limit) as the lengths of the revision intervals shrink.     

关于风险投资内在机理的经济学分析

从经济学的角度对风险投资进行了内部和外部两个方面的具体分析。根据交易成本理论和信息不对称理论分析了风险投资的特点 ,揭示了风险投资迅速发展的内在机理 ;依据科斯定理和“囚徒困境”模型 ,阐明了政府积极参与的必要性     

Optimal Investment and Consumption With Two Bonds and Transaction Costs1

An agent can invest in a high-yield bond and a low-yield bond, holding either long or short positions in either asset. Any movement of money between these two assets incurs a transaction cost proportional to the size of the transaction. the low-yield bond is liquid in the sense that wealth invested in this bond can be consumed directly without a transaction cost; wealth invested in the high-yield bond can be consumed only by first moving it into the low-yield bond. the problem of optimal consumption and investment on an infinite planning horizon is solved for a class of utility functions larger than the class of power functions.     

OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY‐BASED CONTROL FRAMEWORK

We introduce a new stochastic control framework where in addition to controlling the local coefficients of a jump‐diffusion process, it is also possible to control the intensity of switching from one state of the environment to the other. Building upon this framework, we develop a large investor model for optimal consumption and investment that generalizes the regime‐switching approach of Bäuerle and Rieder (2004) .     

DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS

In the style of Rogers (2001) , we give a unified method for finding the dual problem in a given model by stating the problem as an unconstrained Lagrangian problem. In a theoretical part we prove our main theorem, Theorem 3.1, which shows that under a number of conditions the value of the dual and primal problems is equal. The theoretical setting is sufficiently general to be applied to a large number of examples including models with transaction costs, such as Cvitanic and Karatzas (1996) (which could not be covered by the setting in Rogers [2001] ). To apply the general result one has to verify the assumptions of Theorem 3.1 for each concrete example. We show how the method applies for two examples, first Cuoco and Liu (1992) and second Cvitanic and Karatzas (1996) .     

基于交易费用理论的大部制改革分析

政府组织成员的遂利本性决定了政府交易行为的存在,政府部门交易的实质是同类公共事务管理权和管理责任的跨部门转移。现行大部制改革尽管降低了部门交易的协调、信息和控制成本,但同时也引起了部门内部管理成本的上涨,当大部门的规模扩张至边际交易费用与边际管理成本相等时,静态均衡就实现了。简单的部门合并并非是治愈政府运转失调、效率低下的良方,只有明确交易主体的职责权限、减少交易频率和交易的不确定性,才能从根本上降低政府交易费用,建立有效的政治市场。     

论供应链成本控制

供应链成本控制对象主要是交易成本和作业成本,在网络信息技术的环境下,降低交易成本应采用ERP等系统,以此加强信息的交互或共享,从而达到降低交易成本的目的。对于各链节成员企业的作业成本的控制,应引入作业管理的思想,在各节点企业构建作业中心,以作业中心作为成本控制的责任中心,分别采取作业消除、作业改善和作业再造等方法和手段,从而达到降低整个供应链作业成本、提高供应链效率的目的。     

Information Asymmetry and the Franchise Decision

Abstract

A key explanation for the existence of franchising as a marketing channel has its underpinnings in the information asymmetry between the firm and individual outlets. Franchising is the preferred option for outlets where information asymmetry leads to prohibitive monitoring costs within a vertically integrated system. While modern information technology has the potential to reduce monitoring costs at geographically isolated locations, several factors are likely to limit its effectiveness. Thus, the incentive to franchise these outlets should continue to exist. The paper also discusses the possible implications of the increased use of information technology in the franchised channel.