排序方式: 共有42条查询结果,搜索用时 46 毫秒
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我国政府支出对经济增长的动态效应研究 总被引:1,自引:0,他引:1
本文构建了包含政府支出的内生化经济增长模型,在此基础上考察了政府支出对经济增长的长期动态效应。并通过构建状态空间模型和卡尔曼滤波的分析方法量化和预测了该动态效应值,解读了其相应的政策含义。 相似文献
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This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and Black–Scholes models. In high dimensions, nonlinear PDE methods for solving the problem become prohibitively costly due to the curse of dimensionality. Instead, this work proposes to use a stopping rule that depends on the dynamics of a low-dimensional Markovian projection of the given basket of assets. From a numerical analysis point of view, we split the given non-smooth high-dimensional problem into two subproblems, namely one dealing with a smooth high-dimensionality integration in the parameter space and the other dealing with a low-dimensional, non-smooth optimal stopping problem in the projected state space. Assuming that we know the density of the forward process and using the Laplace approximation, we first efficiently evaluate the diffusion coefficient corresponding to the low-dimensional Markovian projection of the basket. Then, we approximate the optimal early exercise boundary of the option by solving an HJB PDE in the projected, low-dimensional space. The resulting near-optimal early exercise boundary is used to produce an exercise strategy for the high-dimensional option, thereby providing a lower bound for the price of the American basket option. A corresponding upper bound is also provided. These bounds allow one to assess the accuracy of the proposed pricing method. Indeed, our approximate early exercise strategy provides a straightforward lower bound for the American basket option price. Following a duality argument due to Rogers, we derive a corresponding upper bound solving only the low-dimensional optimal control problem. Numerically, we show the feasibility of the method using baskets with dimensions up to 50. In these examples, the resulting option price relative errors are only of the order of few percent. 相似文献
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Hanspeter Schmidli 《Scandinavian actuarial journal》2013,2013(1):55-68
We consider dynamic proportional reinsurance strategies and derive the optimal strategies in a diffusion setup and a classical risk model. Optimal is meant in the sense of minimizing the ruin probability. Two basic examples are discussed. 相似文献
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Chris Pappas 《Journal of Product Innovation Management》1984,1(1):30-35
The first step in making sure that R&D spending is productive is to be sure it is going in the same direction as the overall business strategy. Simple enough to say but not always so simple to do. Chris Pappas suggests that the corporate strategy process often focuses on financial factors and market share and neglects technology as a key resource to be planned. With competitive success as well as productivity and profitability becoming more directly tied to technology development, it is time to give technology a more important place in the corporate strategy process. Using the example of an actual firm, Pappas shows that the key to achieving a sustainable competitive advantage lies in formulating the right technology strategy and integrating it into the corporate planning process. His article includes a useful framework for analysis and planning. 相似文献
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Kenneth L. Hamilton 《Journal of Business Research》1980,8(2):139-158
The problem of pricing computer services has been discussed in the literature since the early days of computing. Costing and pricing have often been interchanged in the discussions. After a discussion of the problems of measurement of resource usage, pricing for cost recovery and for resource allocation are discussed. The paper concludes with suggestions for further research and a brief summary. 相似文献
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The output gaps derived for four countries using a generalized Hamilton model are compared with conventional output gap estimates. Further research is needed to explain why the output gap identifies crisis episodes as slowdowns instead of recessions in some countries. 相似文献
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This paper considers an optimal reinsurance and investment strategies for an insurer under mean–variance criterion within a game theoretic framework. Specially, it is assumed that the surplus process is governed by a Cramér–Lundberg model, and apart from purchasing reinsurance, the insurer is allowed to invest in a financial market with multiple assets that all can be risky, whose price processes are modeled by the jump–diffusion process. Due to the market without cash, the method of separating the variables is not viable any more. We turn to an alternative approach to solve the extended Hamilton–Jacobi–Bellman equation, and closed-form expressions of the optimal strategies and value function are not only derived but also proved to be uniqueness. Moreover, some special cases of our model are provided and several numerical analyses for our results are presented as well. Under this criterion, different from existing literature, we find that (i) the value function is not linear but quadratic with respect to the current wealth; (ii) the optimal reinsurance and investment strategies depend on the wealth process; (iii) the parameters of risky assets(insurance market) have impacts on the optimal reinsurance(investment) policy; (iv) the safety loading of the insurer affects the optimal strategies. 相似文献