基于交换理论思考第三方物流的良性发展

利用交换理论,研究了制造业和第三方物流业融合时形成的契约曲线．提出了双方在合作过程中由于帕累托效率配置点背后的无差异曲线原因．造成双方改变动力不足的观点。结合福利经济学第一、第二定理,深入分析了目前第三方物流业在市场上处于的地位和不利局面。依据模型分析,提出了政府应该强化政策扶持、设置政策扶持时问限制．鼓励第三方物流自身壮大,以及强化双方的学习曲线融合效应等对策,     

Investor sentiment and risk appetite of real estate security market

This article proposes a new model to measure the risk appetite in absence of option prices. Without options transaction, traditional measurements cannot be made. This article establishes a Risk Appetite (RA) indicator by way of change measure and simulation, with two density functions, i.e. risk-neutral density and historical density. The RA indicators use the data from the Property Composite Index (PCI) and the Shanghai Stock Exchange Composite Index (SSECI). The empirical result shows that investors involved in the real estate security market have lower RA compared to those in the general security market. Particularly, RA indicators for both indices started to fall markedly in early 2008 and even more so after September 2008. The changes in RA suggest that the overall investors’ attitudes nowadays towards China's stock market are never as pessimistic as before.     

A minimal complete class theorem for decision problems where the parameter space contains only finitely many points

In this note we show that the class of stepwise Bayes procedures, suitable defined, forms the minimal complete class for decision problems where the parameter contains only finitely many points. Beyond the assumption on the parameter space, the result is quite general and extends some earlier results.Research supported in part by NSF grant DMS-8911548-01     

On a covering theorem

Summary. A simple proof of Reny and Wooders' recent strengthening of Shapley's extension of the Knaster-Kuratowski-Mazurkiewicz lemma on a closed cover of a simplex is given. The proof uses Ky Fan's coincidence theorem. Received: May 26, 2000; revised version: January 22, 2001     

矩形板在四角点被支承的弯曲问题

在本文中,我们应用功的互等定理进一步研究了在一集中弯矩作用下四个角点被支承的矩形板的弯曲问题。该法简单、通用。     

Which Extreme Values Are Really Extreme?

We define the extreme values of any random sample of size nfrom a distribution function F as the observations exceedinga threshold and following a type of generalized Pareto distribution(GPD) involving the tail index of F. The threshold is the orderstatistic that minimizes a Kolmogorov-Smirnov statistic betweenthe empirical distribution of the corresponding largest observationsand the corresponding GPD. To formalize the definition we usea semiparametric bootstrap to test the corresponding GPD approximation.Finally, we use our methodology to estimate the tail index andvalue at risk (VaR) of some financial indexes of major stockmarkets.     

On the law of one price

We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may change its sign. We also give an application to the CAPM.Received: November 2003, Mathematics Subject Classification (2000): 60G44JEL Classification: G13, G11Freddy Delbaen: This research was done during the stay of the author at Université de Franche-Comté.     

公司价值理论与股票定价

经济金融化使现代公司财务理论从以往的边缘地位逐步朝着金融经济学的核心与主流方向发展。公司价值理论作为现代公司财务伯重要组成部分已日臻完善和成熟。我国长期对公司价值理论研究的忽视，不仅是企业落后的深层原因，而且也是影响市场发展重要因素之一，因为股票价值与公司价值直接相关，忽视公司价值而形成的股票价格不仅是不合理的，而且会对股票市场产生不良影响。     

The invisible hand of Laplace: The role of market structure in price convergence and oscillation

The “invisible hand” of the free market is remarkably effective at producing near-equilibrium prices. This is difficult to quantify, however, in the absence of an agreed model for out-of-equilibrium trade. Short of a fully reductionist model, a useful substitute would be a scaling law relating equilibration time and other market parameters. Even this, however, is missing in the literature.We make progress in this direction. We examine a class of Arrow–Debreu markets with price signaling driven by continuous-time proportional-tâtonnement. We show that the connectivity among the participants in the market determines quite accurately a scaling law for convergence time of the market to equilibrium, and thus determines the effectiveness of the price signaling. To our knowledge this is the first characterization of price stability in terms of market connectivity. At a technical level, we show how convergence in our class of markets is determined by a market-dependent Laplacian matrix.If a market is not isolated but, rather, subject to external noise, equilibrium theory has predictive value only to the extent to which that noise is counterbalanced by the price equilibration process. Our model quantifies this predictive value by providing a scaling law that relates the connectivity of the market with the variance of its prices.     

A central limit theorem for sums of correlated products

Consider a sequence of random points placed on the nonnegative integers with i.i.d. geometric (1/2) interpoint spacings y _i . Let x _i denote the numbers of points placed at integer i . We prove a central limit theorem for the partial sums of the sequence x ₀ y ₀, x ₁ y ₁, . . . The problem is connected with a question concerning different bootstrap procedures.