A new computational tool for analysing dynamic hedging under transaction costs

This paper highlights a framework for analysing dynamic hedging strategies under transaction costs. First, self-financing portfolio dynamics under transaction costs are modelled as being portfolio affine. An algorithm for computing the moments of the hedging error on a lattice under portfolio affine dynamics is then presented. In a number of circumstances, this provides an efficient approach to analysing the performance of hedging strategies under transaction costs through moments. As an example, this approach is applied to the hedging of a European call option with a Black–Scholes delta hedge and Leland's adjustment for transaction costs. Results are presented that demonstrate the range of analysis possible within the presented framework.     

R&D investment of start-up firms: does founders’ human capital matter?

This article examines whether founders’ human capital affects not only actual investment but also required investment in research and development (R&D), using the original data of Japanese start-up firms. The estimation results indicate that higher levels of founders’ human capital, especially their education levels, increase both actual and required investment in R&D and thus do not necessarily contribute to reducing the funding gap for R&D.     

Non-self-averaging of a two-person game with only positive spillover: a new formulation of Avatamsaka’s dilemma

In this game [Aruka in Avatamsaka game structure and experiment on the web. In: Aruka Y (ed) Evolutionary controversies in economics. Springer, Tokyo, pp 115–132, 2001], selfishness may not be determined even if an agent selfishly adopts the strategy of defection. Individual selfishness can only be realized if the other agent cooperates, therefore gain from defection can never be assured by defection alone. The sanction by defection as a reaction of the rival agent cannot necessarily reduce the selfishness of the rival. In this game, explicit direct reciprocity cannot be guaranteed. Now we introduce different spillovers or payoff matrices, so that each agent may then be faced with a different payoff matrix. A ball in the urn is interpreted as the number of cooperators, and the urn as a payoff matrix. We apply Ewens’ sampling formula to our urn process in this game theoretic environment. In this case, there is a similar result as in the classic case, because there is “self-averaging” for the variances of the number who cooperate. Applying Pitman’s sampling formula to the urn process, the invariance of the random partition vectors under the properties of exchangeability and size-biased permutation does not hold in general. Pitman’s sampling formula depends on the two-parameter Poisson–Dirichlet distribution whose special case is just Ewens’ formula. In the Ewens setting, only one probability α of a new entry matters. On the other hand, there is an additional probability θ of an unknown entry, as will be argued in the Pitman formula. More concretely, we will investigate the effects of different payoff sizes from playing a series of different games for newly emerging agents. As Aoki and Yoshikawa (Non-self-averaging in macroeconomic models: a criticism of modern micro-founded macroeconomics, Economics Discussion Papers 2007-49. . November 26, 2007) and Aoki (J Econ Interact Coord 3:1–3, 2008) dealt with a product innovation and a process innovation, they criticized Lucas’ representative method and the idea that players face micro shocks drawn from the same unchanged probability distribution. In the light of Aoki and Yoshikawa (Non-self-averaging in macroeconomic models: a criticism of modern micro-founded macroeconomics, Economics Discussion Papers 2007-49. . November 26, 2007), we show the same argument in our Avatamsaka game with different payoffs. In this setting, innovations occurring in urns may be regarded as increases of the number of cooperators in urns whose payoffs are different.     

黑龙江省农民合作组织存在的问题与发展对策

发展农民合作组织,可以提高农民的组织化程度,解决家庭分散经营的弊端,促进农业增效、农民增收,推动农村经济发展。黑龙江省农民合作组织发展中存在着农民认识不足,合作组织规模小、运做不规范等问题。应加强农民合作组织自身建设,加大政府扶持力度,加强资金支持、重视人才培养等,促进农民合作组织健康发展。     

基于GPS数据与空间统计的城市森林公园 景观偏好研究

城市森林公园拥有良好的自然资源,能承载各种游 憩活动,为市民带来多种益处。以上海共青森林公园与炮台湾 森林公园为例,利用GPS设备每隔10s采集一次游客的地理坐 标位置,并应用栅格密度、标准差椭圆与热点识别3种空间统 计方法分析相关空间位置点,识别受游客喜爱的游憩场地与景 观空间类型。结果表明：游客在2个森林公园中的分布并不均 匀,共青森林公园西部与炮台湾森林公园南部吸引了大量游 客;最吸引游客停留的区域包括儿童游乐设施区、广场、大草 坪、烧烤区和滨江区域。最后,根据分析结果,对森林公园的 规划设计与管理提出了相应建议。     

中国新疆与哈萨克斯坦农产品贸易现状及潜力评价基于贸易引力模型的实证研究

目的 文章利用2004—2017年乌鲁木齐海关数据,研究中国新疆与哈萨克斯坦农产品贸易的现状、互补性及影响因素,挖掘中国新疆与哈萨克斯坦农产品贸易潜力,为进一步拓展双方农产品贸易提出建议。方法 采用产业内贸易指数和引力模型进行实证分析。结果 中国新疆与哈萨克斯坦农产品贸易规模总体处于增长态势,但贸易联系紧密度不高;中国新疆以出口水果、蔬菜等劳动密集型农产品为主,哈萨克斯坦主要出口畜产品、棉麻丝等资源密集型农产品;农产品贸易整体属于产业内贸易,在九大类细分农产品领域存在各自竞争优势,双方贸易需求基本没有重叠,互补性较强;双方经济总量、人口规模、农产品贸易联系紧密程度、空间距离等是影响农产品双边贸易的重要因素。结论 中国新疆与哈萨克斯坦农产品贸易潜力总体呈现增长趋势,尤其在“一带一路”倡议提出后,双方贸易潜力提升幅度明显。     

彭柯的新写意花鸟画

1954年生于重庆，自幼随父（石岩）习画。1988年考入中央美术学院和北京煤碳管理干部学院合办的国画研究班。受教于郭怡、白雪石、姚有多等先生。[编者按]     

日本征地补偿制度及其启示

土地征收在我国引发了一系列的纠纷,其中一个重要原因是我国土地征收补偿制度的不完善。借鉴国外先进经验不失为完善我国征地补偿制度的一个途径,在这方面,日本的征地补偿制度为我国提供了启示。