Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case1

We use a martingale approach to study optimal intertemporal consumption and portfolio policies in a general discrete-time, discrete-state-space securities market with dynamically incomplete markets and short-sale constraints. We characterize the set of feasible consumption bundles as the budget-feasible set defined by constraints formed using the extreme points of the closure of the set of Arrow-Debreu state prices consistent with no arbitrage, and then establish a relationship between the original problem and a dual minimization problem.     

我国农村居民收入与消费关系的协整分析

根据1978年～2011年的时间序列数据,运用协整理论和误差修正模型实证分析了我国农村居民人均收入与消费支出之间的关系。结果表明,二者之间存在协整关系,消费对收入的长期弹性系数为0.9599,短期弹性系数是0.8396,因而农村居民收入对消费影响显著,必须建立增加农村居民收入的长效机制。     

OPTIMAL PORTFOLIO, CONSUMPTION-LEISURE AND RETIREMENT CHOICE PROBLEM WITH CES UTILITY

We study optimal portfolio, consumption-leisure and retirement choice of an infinitely lived economic agent whose instantaneous preference is characterized by a constant elasticity of substitution (CES) function of consumption and leisure. We integrate in one model the optimal consumption-leisure-work choice, the optimal portfolio selection, and the optimal stopping problem in which the agent chooses her retirement time. The economic agent derives utility from both consumption and leisure, and is able to adjust her supply of labor flexibly above a certain minimum work-hour, and also has a retirement option. We solve the problem analytically by considering a variational inequality arising from the dual functions of the optimal stopping problem. The optimal retirement time is characterized as the first time when her wealth exceeds a certain critical level. We provide the critical wealth level for retirement and characterize the optimal consumption-leisure and portfolio policies before and after retirement in closed forms. We also derive properties of the optimal policies. In particular, we show that consumption in general jumps around retirement.     

Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation

The mean‐variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean‐variance formulation in multiperiod portfolio selection. Specifically, analytical optimal portfolio policy and analytical expression of the mean‐variance efficient frontier are derived in this paper for the multiperiod mean‐variance formulation. An efficient algorithm is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and the variance of the terminal wealth.     

农村居民收入及其分配差距对消费需求影响的实证分析

农村消费对我国经济增长起着举足轻重的作用。通过实证分析,我国农民的收入与消费水平呈正相关关系,收入是影响农民消费最直接、最具决定性的因素。目前我国城市化水平低下、农村剩余劳动力转移困难、农村中非农产业发展迟缓及收入分配差距加大等原因,对农民收入及消费水平的提高产生了较大负面影响,已成为我国农村消费市场一直启而不动的根本原因     

A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements

This paper examines optimal consumption and investment choices and the cost of hedging contingent claims in the presence of margin requirements or, more generally, of nonlinear wealth dynamics and constraints on the portfolio policies. Existence of optimal policies is established using martingale and duality techniques under general assumptions on the securities' price process and the investor's preferences. As an illustration, explicit solutions are provided for an agent with ‘logarithmic’ utility. A PDE characterization of the cost of hedging a nonnegative path‐independent European contingent claim is also provided.     

老年人生活收入与消费需求的变动分析

1997年至今的这段过渡期内 ,老年人生活收入的增加是否促使其消费需求结构出现由低层次向高层次的转变 ?对老年人消费需求结构的变动分析结果表明 ,收入增加并没有促使老年人的消费需求结构出现由低向高的改变     

收入不确定性对城乡居民消费支出影响的比较研究——基于中国省级面板数据的分析

基于2000—2009年的面板数据,在测度中国城乡居民收入不确定性的基础上,比较研究了城乡居民不同类别收入的不确定性对居民分类消费支出的影响,结果表明:各省城乡居民各类收入均出现了不确定性;不同省份城乡居民各类收入的不确定性有所差异,各省内部城乡居民收入的不确定性也不相同;从全国的视角看,各类收入的不确定性对总体消费造成了结构性影响,农村居民收入的不确定性大于城镇居民收入的不确定性。     

国际贸易、技术变动对我国工业部门劳动收入份额的影响

文章较为系统地分析了国际贸易、技术进步等因素对中国工业部门劳动收入份额的影响。研究显示在1999～2009年期间,我国工业部门的劳动收入份额总体上呈现出缓慢下降的趋势,工业部门劳动收入份额变动主要是行业内部劳动力再配置的结果;利用中国工业部门21个细分行业的面板数据,通过系统广义矩方法对国际贸易、技术变革对行业劳动收入份额的影响进行计量分析表明,国际贸易具有较为显著的提高我国工业部门行业劳动份额的效应,而技术进步则存在显著降低工业行业劳动份额的效应,这与我国工业部门在研究期内的技术进步具有劳动节约型特征有关。     

对外贸易与劳动收入占比:基于省际工业面板数据的研究

考虑到进口贸易与出口贸易在影响机制上的差异性,本文重点探讨对外贸易开放程度增加在我国工业劳动收入占比下降中所起的作用并区分进口贸易和出口贸易的影响。在控制了劳动收入占比与贸易的联立关系之后,本文发现进口贸易的作用显著为负,出口贸易则表现出弱负向作用。此外,资本增强型技术进步也是我国工业部门劳动要素分配地位弱化的重要原因。     

我国农村劳动力转移模式调整:成因和涵义

改革开放以来,我国农村劳动力持续向非农产业转移,转移方式包括就地转移和异地转移。分析了我国农村劳动力两种转移模式的互动特征、内外制约因素及其社会经济效应。两种转移模式呈明显的轮替关系,转移模式失衡和被动调整是改革开放后一阶段收入分配效应降低的重要原因。     

资产组合风险度量与选择之文献述评

根据资产组合理论的本质,理解和掌握资产组合理论具有重要的意义。本文主要从风险度量方法比较、现实金融资产收益的实际分布与相关性、以及金融资产收益的动态变化特征等角度,对资产组合风险度量与选择的相关文献进行回顾与评述。     

中国城乡居民收入对旅游消费的影响

基于计量经济学方法,本文从城乡居民收入与旅游消费数据稳定性与因果关系、城乡居民收入与旅游花费水平回归分析等方面,分析了中国城乡居民收入对旅游消费的影响。研究结果表明:收入水平与旅游边际消费倾向对城乡居民旅游花费影响差异明显,提升城镇居民旅游边际消费倾向与农村居民纯收入水平,是提升我国城乡居民旅游总花费的关键;城乡居民旅游消费对收入过度敏感性均过低,应采取有效措施降低城乡居民在食品、住房、医疗、教育等方面的消费支出,改善城乡居民旅游消费对收入的过度敏感性,促进旅游消费水平提升;城乡居民收入结构对城乡居民旅游花费影响具有较大差异,在城乡居民收入翻番背景下,城乡居民、尤其是农村居民旅游消费水平将得到大幅度提升,并将在国民经济增长中发挥重要作用。     

收入分配对不发达地区农户消费需求影响的实证分析

基于陕西省1990-2003数据实证研究表明,在不发达地区尤其是西部地区农村,农村收入差距与农户总消费是显著负相关的,收入差距扩大将降低总消费水平。在不损害农村经济效率的前提下,要缩小收入分配差距,增加农村低收入阶层收入,扩大中等收入阶层,改进和完善农村基础设施,改善农民生存环境,增加面向不发达地区农村的教育投入。     

财税政策、城乡收入差距与中国居民消费的非线性效应研究

为了验证财税政策对居民消费存在的非线性效应, 文章系统考察了因城乡收入差距的第三方外部因素存在差异时, 财税政策对居民消费影响效应的变化情况. 面板门槛计量模型研究发现, 以城乡收入差距门槛值作为外生变量构建的分段函数中, 税收负担和财政支出规模促进居民消费的城乡收入差距绝对数最优区间分别为4015元-7016元和7912元-10323元; 税制结构和财政支出结构促进的城乡收入差距相对数最优区间分别为0.126-0.171和0.127-0.172. 因此, 应当辩证看待政府财税政策对居民消费的影响作用, 促进我国居民消费的关键点在于财税政策的合理制定与实施.     

Dynamic Optimization of Long-Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility

We study the optimal investment policy for an investor who has available one bank account and n risky assets modeled by log-normal diffusions. The objective is to maximize the long-run average growth of wealth for a logarithmic utility function in the presence of proportional transaction costs. This problem is formulated as an ergodic singular stochastic control problem and interpreted as the limit of a discounted control problem for vanishing discount factor. The variational inequalities for the discounted control problem and the limiting ergodic problem are established in the viscosity sense. The ergodic variational inequality is solved by using a numerical algorithm based on policy iterations and multigrid methods. A numerical example is displayed for two risky assets.     

A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome

This paper considers a portfolio problem with control on downside losses. Incorporating the worst-case portfolio outcome in the objective function, the optimal policy is equivalent to the hedging portfolio of a European option on a dynamic mutual fund that can be replicated by market primary assets. Applying the Black-Scholes formula, a closed-form solution is obtained when the utility function is HARA and asset prices follow a multivariate geometric Brownian motion. The analysis provides a useful method of converting an investment problem to an option pricing model.     

资本回报率、人力资本投资与收入不平等——基于Galor-Zeira模型的扩展

资本回报率下降对人力资本投资、收入不平等程度有较大影响。本文将可变资本回报率加入Galor-Zeira模型,理论推导发现:收入不平等陷阱并非不可逾越的障碍。当技能劳动力工资高于受教育固定成本时,随着资本回报率下降,接受教育的遗赠临界水平将降低,更多家庭将发现投资人力资本是有利的,稳态的技能劳动力比例将提高。在当前资本回报率下降的大背景下,提高技能劳动力工资、降低受教育成本、对教育贷款实施财政减免优惠、为农村中等教育支出减负和提升农村教育质量、倡导节俭和重视遗赠的文化氛围在长期都有助于提高技能劳动力比重以及缓和收入不平等。     

Firm Growth and Liquidity Constraints: A Dynamic Analysis

Using a large unbalanced panel data set of Portuguese manufacturing firms surviving over the period from 1990 to 2001, the purpose of this paper is to examine whether liquidity constraints faced by business firms affect firm growth. We use a GMM-system to estimate a dynamic panel data model of firm growth that incorporates cash flow as a measure of liquidity constraints and persistence of growth. The model is estimated for all size classes, including micro firms. Our findings reveal that smaller and younger firms have higher growth-cash flow sensitivities than larger and more mature firms. This is consistent with the suggestion that financial constraints on firm growth may be relatively more severe for small and young firms. Nevertheless, the same finding can be interpreted in a different way if we consider the more recent literature which interpret the higher investment/cash flow sensitivity of younger and smaller firm in absence of financial market imperfection as the outcome of these firms reaction to the fact that realisation of their cash flows reveals them the direction to go in presence of uncertainty of their growth prospect. Besides, firms that were small and young at the beginning of the sample period exhibited more persistent growth than those that were large and old. Finally, these results have significant policy implications.      

The Labor Market and Long-term Health Care: A Perspective on Nursing Aides

The aging of the baby boom generation underlies anticipated rapid growth in jobs for nurses and support personnel for longer-term care. Research on help-wanted advertising shows strong recruiting activity for nurses. However, for nursing aides and related positions, there is substantially less intensity, although there are regional differences. This overall finding conflicts with demand-based expectations and may imply a market that will not adequately fulfill projected needs.JEL Classification J240, I120