Learning equilibrium mean-variance strategy

We study a dynamic mean-variance portfolio optimization problem under the reinforcement learning framework, where an entropy regularizer is introduced to induce exploration. Due to the time–inconsistency involved in a mean-variance criterion, we aim to learn an equilibrium policy. Under an incomplete market setting, we obtain a semi-analytical, exploratory, equilibrium mean-variance policy that turns out to follow a Gaussian distribution. We then focus on a Gaussian mean return model and propose a reinforcement learning algorithm to find the equilibrium policy. Thanks to a thoroughly designed policy iteration procedure in our algorithm, we prove the convergence of our algorithm under mild conditions, despite that dynamic programming principle and the usual policy improvement theorem failing to hold for an equilibrium policy. Numerical experiments are given to demonstrate our algorithm. The design and implementation of our reinforcement learning algorithm apply to a general market setup.     

When Do Firms Adjust Bonus Targets Intrayear? Evidence from Sales Executives' Targets*

This study investigates when and why intrayear bonus target revisions occur. This is important as intrayear target revisions occur regularly in practice but are not well understood. Specifically, we analyze two potential drivers of intrayear bonus target revisions: reduced managerial incentives owing to managers dropping out of the incentive zone of their piecewise defined bonus function and potential spillovers from planning target revisions that reflect changes in performance expectations during the year. We also investigate the effects of organizational characteristics on intrayear bonus target revisions. Using data collected from sales executives via multiple waves of surveys, we find evidence for both predicted drivers. In addition, consistent with our predictions, we find that the levels of delegated decision authority, intrafirm interdependencies, and information asymmetry negatively moderate the positive association between reduced managerial incentives and revision likelihood. Our paper contributes to the target setting literature by being the first study to investigate intrayear bonus target revisions and shed light on when firms commit to not revising such targets intrayear.     

Trading with the crowd

We formulate and solve a multi-player stochastic differential game between financial agents who seek to cost-efficiently liquidate their position in a risky asset in the presence of jointly aggregated transient price impact, along with taking into account a common general price predicting signal. The unique Nash-equilibrium strategies reveal how each agent's liquidation policy adjusts the predictive trading signal to the aggregated transient price impact induced by all other agents. This unfolds a quantitative relation between trading signals and the order flow in crowded markets. We also formulate and solve the corresponding mean field game in the limit of infinitely many agents. We prove that the equilibrium trading speed and the value function of an agent in the finite N-player game converges to the corresponding trading speed and value function in the mean field game at rate $O(N^{-2})$. In addition, we prove that the mean field optimal strategy provides an approximate Nash-equilibrium for the finite-player game.     

Intra-operator mobile plan switching: Evidence from linked survey and billing microdata

This paper examines consumers' intra-operator mobile phone plan switching in Ireland. It models the factors associated with switching outcomes, including the direction of change in expenditure and whether those who are observed to switch plans tend to arrive at more or less optimal plans given their usage. A dataset is employed that combines survey responses from mobile consumers with the same consumers' actual usage data in the period 2017–2019; this was collected by Ireland's national regulatory authority. The cost each consumer would have incurred on every plan offered in the market based on their observed usage is estimated. Using models that allow for selection into switching, associations between switching outcomes and demographic and user characteristics are modelled. Controls are included for plan and user attributes, including demographics and proxies for user sophistication and access to alternative communication options. A substantial proportion of intra-operator switchers in the sample increase expenditures when they switch plan. While many switchers move to plans that are more optimal given their usage, a slight majority move to plans that charge a higher price premium over the best available plan (based on observables) than the consumer's previous plan did. Few observable characteristics of consumers or plans seem to be significantly associated with which switches achieve greater optimality, although fixed operator effects are large and significant. These findings add to the weight of evidence which finds that many consumers fail to arrive at the best price even after switching.     

政府审计、农村金融发展与乡村振兴

全面推进乡村振兴是“十四五”时期经济社会发展的重点任务之一，而政府审计是保障和促进乡村振兴的重要监督机制。基于此，以2011—2018年省级地方审计机关为研究对象，探究政府审计对乡村振兴的影响及其作用机制。研究结果表明：政府审计能够促进乡村振兴，并通过作用于农村金融发展进而对乡村振兴产生积极影响。进一步研究发现，地区市场化程度越低、政府预算偏离度越大，政府审计对乡村振兴的促进作用越强。研究结论为政府审计促进乡村振兴提供了初步的经验证据，并将政府审计功能拓展到乡村振兴领域，对相关部门采取针对性策略，增强审计监督效能、促进乡村振兴具有重要的参考价值。     

基于压缩感知的分布式协同估计算法

为了降低分布式协同估计算法的计算量并改善其收敛性能，提出了基于压缩感知(CS)和递归最小二乘(RLS)的分布式协同估计算法。该算法在传统RLS分布式协同估计算法的基础上引入压缩感知技术，首先在压缩域中进行递归最小二乘运算，然后利用压缩感知重构算法得到未知参数向量的估计值。提出的算法能够在增量式策略和两种模式的扩散式策略下实现对未知向量的有效估计。理论分析和仿真结果表明，该算法一方面降低了RLS分布式协同估计算法的计算量，另一方面保持较快的收敛速度与良好的均方误差性能。     

广西边境地区耕地非农化的空间特征与迁移路径

目的 耕地非农化影响1.2亿hm²（18亿亩）耕地保护红线现象引起了政府和学界的高度重视，有效掌握耕地非农化演变空间特征是保护耕地的重要前提。方法 文章以广西边境3个地级市的23个县域地区为研究区，通过构建重心模型、标准差椭圆模型分析刻画1980—2018年耕地非农化速度与方向，并利用空间自相关分析其空间特征。结果 （1）1980—2018年4个时期内耕地非农化面积呈“N”型波动增长的趋势，其中2010—2018年耕地非农化面积最大，为49 367 hm²；1990—2000年耕地非农化面积最小，为5 270 hm²，耕地非农化面积高值区主要集中在城镇化水平较高的区域城市中心。（2）耕地非农化速度具有空间非均衡性，标准差椭圆面积往东南方向持续扩张，耕地非农化空间上总体由西北部往东南方向迁移，区域之间的差距逐渐扩大。（3）广西边境地区耕地非农化面积存在显著的空间正相关关系，但集聚优势逐渐下降，“高—高”聚类的空间变化主导了耕地非农化面积的空间自相关关系的格局演变。结论 研究揭示了广西边境地区耕地非农化空间格局演变过程，可为边境地区制定耕地非农化管控机制和优化国土空间结构提供参考。     

Easy come,easy go: Short-term land-use dynamics vis à vis regional economic downturns

The present study postulates distinctive land-use dynamics along the economic cycle, and tests against diverging trends over time of urban and non-urban land-uses with characteristic economic potential. Short-term land-use changes over seven time windows encompassing the last three decades (1992–2020) were investigated in metropolitan Athens (Greece), a mono-centric region experiencing complex economic downturns. Based on diachronic land-use maps with homogeneous spatial resolution and nomenclature derived from ESA Climate Change Initiative (ESA-CCI), a change detection analysis was run considering mean patch size, distance from downtown, and specific entropy-based metrics of landscape diversification (Shannon-Wiener H’ diversity index and Pielou J evenness index). Results of a canonical correlation analysis document differential intensity and spatial direction of change during expansions and recessions associated with distinctive socio-demographic profiles. Metropolitan growth followed a radio-centric (land-saving) model during economic expansions with intense urbanization of fringe land. A more dispersed settlement model – reflecting urban sprawl – was associated with economic stagnations, involving land at progressively distant locations from downtown. Landscape diversification was higher under stagnations and lower during expansions.     

Impact of financial development on domestic investment: Evidence from West African countries

This paper investigates the effect of financial development on domestic investment in West African countries. The study uses data from 1985 to 2019 and employs the pooled mean group technique. The main finding of the study is that financial development has a positive effect on domestic investment in the long run but an insignificant effect in the short run. Furthermore, remittances, real GDP per capita and trade openness increase investment rate. The results of causality tests support the view that investment is a channel through which financial development stimulates economic growth. Therefore, it is reasonable for the selected countries to formulate policies that promote domestic credit to the private sector in order to ease liquidity constraints and increase investment and economic growth.     

The impact of capital goods prices on Africa's economic performance

Over the last four decades, the relative price of investment goods in Africa has gone through a relatively large decrease, resulting in a steady convergence towards the levels recorded in high-income countries. This fact begs the following question: To what extent might the relative price decrease be a driving force behind the economic performance of this continent? The paper addresses this question from the perspective of a panel ARDL approach, using the Solow growth model—augmented with barriers to investment—as a framework. The results reveal that a one-unit decrease in the relative price of investment leads, in the long term, to a 4% increase in per capita GDP, an increase that could be neutralised by a 6.5 percentage points decrease in the savings rate. The findings contribute to the case for a policy mix that combines policies geared towards reducing investment distortions with those promoting savings mobilisation.