Multiperiod hedging in the presence of stochastic volatility

In this paper, we characterize the multiperiod minimum-risk hedge strategy within the stochastic volatility (SV) framework and compare it to other hedge strategies on the basis of hedging performance. Using crude oil markets as an example, we demonstrate that the SV model is appropriate in depicting price behaviour. However, ex ante and ex post comparisons indicate that the SV strategy is inferior to conventional hedging strategies. There is also evidence that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) strategy may be better than the SV strategy, at least in terms of variance reduction.     

Probabilistic Bounds on the Virtual Multipliers in Data Envelopment Analysis: Polyhedral Cone Constraints

The paper is concerned with the incorporation of polyhedral cone constraints on the virtual multipliers in DEA. The incorporation of probabilistic bounds on the virtual multipliers based upon a stochastic benchmark vector is demonstrated. The suggested approach involves a stochastic (chance constrained) programming model with multipliers constrained to the cone spanned by confidence intervals for the components of the stochastic benchmark vector at varying probability levels. Consider a polyhedral assurance region based upon bounded pairwise ratios between multipliers. It is shown that in general it is never possible to identify a center-vector defined as a vector in the interior of the cone with identical angles to all extreme rays spanning the cone. Smooth cones are suggested if an asymmetric variation in the set of feasible relative prices is to be avoided.     

On predictive distributions of public net liabilities

The analysis of the sustainability of public sector finances requires an accounting of all future revenues and all future spending that we would expect, under current tax laws and current entitlements. The classical calculation does not acknowledge the inherent uncertainty of the future economic and demographic developments, so the results can be misleading. Our aim is to produce a more robust summary of the sustainability of the public sector than the one currently available. By taking a forecasting point of view, our formulation takes into account the uncertainty of future productivity, stock and bond markets, and demography. Methodological complications that arise in the stochastic setting are discussed. Estimates of the relative roles of economics and demographics in the uncertainty of public net liabilities are presented.     

A baseline model of industry evolution

The paper analyses some general dynamic properties of industries characterized by heterogeneous firms and continuing stochastic entry.After a brief critical assessment of some significant drawbacks of recent contributions to modeling of stochastic industrial dynamics, we propose a novel analytical apparatus able to derive some generic properties of the underlying competition process combining persistent technological heterogeneity, differential growth of individual firms and turnover. The basic model, we suggest, is indeed applicable with proper modifications to a large class of evolutionary processes, well beyond industrial dynamics.JEL Classification: L11, O30, C60Support to this research by the International Institute for Applied Systems Analysis (IIASA), Austria; the Fujitsu Research Institute for Advanced Information (FRI), Japan; the Italian National Research Council (CNR), the Italian Ministry of Education, University and Research (MIUR, prot. 2002132413 003) and the Free University of Bozen Bolzano, Italy, is gratefully acknowledged. Comments by Andrea Bassanini, Francesca Chiaromonte, Steven Klepper, Uwe Cantner, Drew Fudenberg and the anonymous referees helped in shaping the paper to its present form. Mariele Berté provided the computer simulations of the model. The usual caveats apply.Correspondence to: G. Dosi     

Stochastic growth: asymptotic distributions

Summary. This note studies conditions under which sequences of state variables generated by discrete-time stochastic optimal accumulation models have law of large numbers and central limit properties. Productivity shocks with unbounded support are considered. Instead of restrictions on the support of the shock, an “average contraction” property is required on technology. Received: August 27, 2001; revised version: January 9, 2002 RID="*" ID="*"The author thanks John Creedy and Rabee Tourky for helpful comments, and the Economic Theory Center, University of Melbourne for financial support.     

竞争对手随机进入具有随机寿命创新项目价值评估

在考虑了行业内不完全市场竞争条件下,竞争对手的随机进入及新技术随机出现对项目投资机会的价值影响,假设标的资产服从跳--扩散过程,获得了技术创新成果转化项目的投资机会的价值的模型.研究结果表明,若忽视行业中不完全市场竞争、竞争对手随机进入及新技术随机出现的影响,将会造成投资项目价值的不合理的估计.     

THE BIAS OF THE MULTIPLIER MATRIX WHEN SUPPLY AND USE TABLES ARE STOCHASTIC

The literature on stochastic input–output (I–O) analysis has paid considerable attention to the bias in the Leontief inverse. This paper extends previous studies by assuming supply and use tables (SUTs rather than I–O tables or input coefficients matrices) to be stochastic. This is a natural starting point because SUTs have become the basic data sources for I–O applications. In a Monte Carlo simulation experiment, a given SUT is randomized in two different ways and the effects are determined for eight different multiplier matrices. The analysis is carried out for Spain, Italy, the Netherlands, Germany and Finland, using their SUTs for 2006. The findings indicate that, in general, biases are statistically significant but negligibly small. This corroborates earlier findings obtained for stochastic I–O tables.     

多层嵌套结构视角下区域环境对企业研发效率的影响研究

将外部环境融入到企业研发系统的研究相对较少,涉及企业研发系统与不同环境之间关系的研究更为鲜见。构建了企业研发系统及其“企业-区域”多层嵌套环境架构,以2008-2014年中国工业上市公司为样本,采用多层嵌套模型（HLM）实证检验了以地级市为单位的区域环境与企业层次环境对企业研发效率的影响,得出以下结论：①区域环境因素与企业层次环境因素存在层次上的差别;②企业层次环境嵌套于区域环境内;③企业层次环境因素即企业研发强度和企业规模都受到了区域环境因素的调节作用;④市场消费需求、人力资源等区域环境因素通过调节企业层次环境因素影响企业研发效率。     

The optimal asset allocation of the main types of pension funds: a unified framework

The existing literature deals with the optimal investment strategy of defined benefit (DB) or defined contribution (DC) pension plans. This article’s objective is to compare the optimal policies of different types of pension plans. This is done by first defining an original framework, which is based on the distinction between the nature of the guarantee—which can be internal or external—offered by or to a pension fund. This framework allows to establish links between optimization programs of DC, DB and targeted money purchase schemes. The case of an internal guarantee appears as a standard portfolio insurer’s problem. The second kind of guarantee, not analyzed in the literature yet with regard to the resulting optimal policy, is characterized by the existence of an option in the final wealth definition. Four funds are present in the internal guarantee optimal allocation: the speculative component, the preference independent guarantee- and contribution-hedge terms and the preference dependent state variable-hedge fund. The external guarantee program, solved with an original method using the principles of standard options theory, yields an optimal policy incorporating the delta of the option embodied in the final wealth definition. The conclusion is that the resulting optimal portfolio policy becomes riskier.

Technical and scale efficiencies of meat goat farms in the USA

This study determines i) scale and technical efficiencies, ii) marginal productive contributions for inputs and outputs and iii) efficiency drivers of meat goat farms in the USA. We estimate an input distance function (IDF) using a stochastic production frontier (SPF) technique. The average technical efficiency (TE) for the USA meat goat whole farm was 0.74. The operator education level, percentage of annual net farm income from the goat operation, regional differences and holding of an off farm job are the efficiency drivers of USA meat goat farms. We find increasing returns to scale (RTS) for USA meat goat farms. Our results suggest that USA meat goat farms can be scale efficient if their optimal size of operation is greater than approximately 64 goats or greater than 40 breeding does. Empirical Monte Carlo (MC) simulation techniques show the consistency of finite-sample properties for the input distance function.