Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility

Evaluating value at risk (VaR) for a firm’s returns during periods of financial turmoil is a challenging task because of the high volatility in the market. We propose estimating conditional VaR and expected shortfall (ES) for a given firm’s returns using quantile regression with cross-sectional (CSQR) data about other firms operating in the same market. An evaluation using US market data between 2000 and 2020 shows that our approach has certain advantages over a CAViaR model. Identification of low-risk firms and a reduction in computing times are additional advantages of the new method described.     

一汽-大众奥迪品牌CKD中心仓储优化研究

针对X汽车制造厂多种车型尤其是新车型产量的增加,加大了CKD中心的零部件库存量、越库作业量的现状.为了提高CKD中心的作业质量,克服土地资源局限性,投资规模等限制因素,制订了CKD中心仓储优化方案,提出通过安装钢结构平台、GLT组合式货架、优化零件存储周期、提高现有库房的空间利用率、减少库房间越库运输等组合措施提高库房空间利用率,并实证了方案的有效性.     

农产品流通中逆向物流与价值链最大化研究

分析了当前我国农产品流通中存在的问题,提出了通过逆向物流实现农产品价值链的最大化,从而放大农产品在从农村到城镇的逆向流通的价值效应.通过优化物流运送方式,探索出了农产品逆向流通效益最大化的运作模式,提出农产品流通各个供应链要强化协作,各自发挥优势,从而实现双向共赢.     

风险度量的经济学理性与风险度量方法比较

本文引入风险度量的经济学理性概念:一种风险度量方法为经济学理性的是指,这种方法对风险的度量结果与经济学中理性人对风险的排序结果相一致,采用这种方法度量风险的决策者,其决策结果也是经济学理性的。本文从风险状态下的决策理论出发,论证了在银行监管问题上,经济学理性的风险度量方法需要满足的条件。结合银行资本充足率监管的演进趋势,比较了几种重要的风险度量方法,并提出了一种经济学理性的、符合银行监管需要的风险度量方法。     

密封价格拍卖或招标中的有限腐败

本文研究了密封价格拍卖或招投标中的有限腐败问题,探讨了当行贿者通过行贿招标主持人获得多次出标机会,而其他竞标者不知道这种有限腐败行为时,对拍卖结果所产生的影响。在第二价格拍卖机制下,由于竞标者按真实估价报价总是弱占优策略,该有限腐败行为在此拍卖机制下不会产生影响。但对于密封的第一价格拍卖机制来说,由于行贿者的多个标价中的最高标价比其他竞标者的标价更强势(aggressive),导致其他竞标者获胜的概率减少,行贿者获胜的概率增加。而行贿者的其他出标机会所用的出标策略比其他竞标者的出标策略要弱势,所以在保证期望收益增加的情况下所付出的期望支付有可能比在没有腐败情形下的期望支付要低。特别地,当行贿者获得更多的出标机会时所采用的出标策略与我们的直觉是有差异的。有限腐败对于物品所有者来说是不利的,他的期望收益随着行贿者的特权的增强而减少。     

The sceptic as an economist's philosopher? Humean utility as a positive principle

Whereas in philosophy David Hume was long regarded as a negative thinker to be criticized rather than read, many thinkers interested in social and economic theory from Adam Smith onwards found key concepts, distinctions and problems as developed by Hume useful and inspiring. This applies not only to his seminal contributions to technical problems in economics. It is argued that the way in which Hume employed ‘utility as a positive principle’ (most notably in his ‘experimental’ moral theory) is of pivotal importance in this context. It allows for:

a. distinguishing between internal motifs and external circumstances and constraints; and for

b. making explicit the abstract logic of social interaction structures, mechanisms and processes.

Both are necessary conditions for employing the logic of social situations and mechanisms in the explanation of social institutions and economic processes. It moreover prepares the ground for the use of simplified or cartoon-like models of individual agency in economic and social theory, but also for its critique. On this basis, Hume's influence on various strands of social and economic thought, but also the specific differences with regard to more ‘rationalistic’ approaches (such as Hobbesianism or important versions of neoclassical economics) can be assessed more clearly.     

Cost utility of allogeneic stem cell transplantation with matched unrelated donor versus treatment with imatinib for adult patients with newly diagnosed chronic myeloid leukaemia

Objective: To estimate, from the perspective of the German statutory health insurance, the cost utility of allogeneic stem cell transplantation with matched unrelated donor (MUD-SCT) in newly diagnosed, chronic-phase chronic myeloid leukaemia (CML) patients aged 40 years or younger, relative to the treatment with imatinib.

Methods: The incremental cost-effectiveness ratio (ICER) of the additional cost of imatinib versus MUD-SCT per quality-adjusted life year (QALY) gained was chosen as a target assessment. ICER was quantified using a Markov cohort modelling approach. The evaluation encompassed 5 years of treatment with either approach, and only direct medical costs (in €, year 2005) were considered.

Results: There were incremental costs of €77,410 for imatinib therapy per QALY gained versus MUD-SCT. No strategy was clearly dominant; on average, during 5 years, cost savings of €63,433 were obtained and 0.82 QALY lost by SCT compared to treatment with imatinib. QALYs gained in CML patients with either treatment resulted in considerable cost to the third-party payer in Germany. The results were particularly sensitive to the price of imatinib.

Conclusions: The analysis finds that imatinib is more costly but more effective (as measured in QALYs) over a 5-year time horizon. The resulting ICER of €77,410 per QALY is higher than commonly cited thresholds. The cost utility of MUD-SCT to treat CML in patients with a European Group for Blood and Marrow Transplantation score ≤ to 2 compares with that of the imatinib strategy.     

Cost effectiveness of tyrosine kinase inhibitor therapy in metastatic gastrointestinal stromal tumors

Abstract

Background:

Tyrosine kinase inhibitors (TKIs) such as imatinib mesylate have revolutionized the treatment of primary unresectable and/or metastatic gastrointestinal stromal tumors (GISTs), providing durable disease control and extended survival. Although most patients eventually progress on therapy, dose escalation has been shown to benefit some patients. Sunitinib, a multitargeted kinase inhibitor is effective against imatinib-resistant or intolerant GIST patients. Although the cost of TKI therapy in GIST is high, no other effective systemic treatment options exist.

Objective:

Review pharmacoeconomic studies to determine the cost effectiveness (CE) of 1st- and 2nd-line TKI therapies in GIST.

Methods:

A literature review using Medline and PubMed databases was conducted to identify published economic analyses of TKI therapy in GIST. Key results from these studies were analyzed.

Results:

Six pharmacoeconomic studies were identified, including three analyses of 1st-line imatinib and three analyses of 2nd-line sunitinib. These studies employed various time horizons and discount rates and modeled CE from a number of different perspectives. Most of the pharmacoeconomic studies reviewed used survival as their efficacy endpoint, projecting outcomes beyond available data to model CE. Analyses of 2nd-line sunitinib using survival additionally faced the challenge of adjusting for the effect of placebo crossover to active treatment in the pivotal phase III study. Most studies used Markov techniques with a range of transition probabilities.

Conclusions:

Published pharmacoeconomic studies of 1st- and 2nd-line TKI therapy for advanced GIST employ various time horizons, discount rates, and different CE models. Consequently, these differences make comparisons between studies difficult. Studies of 1st-line imatinib concluded that imatinib was cost effective in advanced, metastatic GIST. Likewise, based on data reviewed here, 2nd-line sunitinib appears to be cost effective in patients with advanced GIST who are intolerant/resistant to imatinib. Key limitations of this review included inconsistency among the studies evaluated with regard to methodologies, countries of origination (currency and healthcare systems), and patient demographics.     

Jevons's Theory of Political Economy and the ‘Marginalist Revolution’ *

Very many statements have been made about the (non-)existence and characterisation of the ‘marginal revolution’ but it is urged here that detailed study of the relevant texts is far more valuable than the making of grand statements about such matters. In particular, a close reading of Jevons's Theory of Political Economyis proposed as an antidote to over-easy generalisation. Jevons by no means rejected all elements of classical theory. He did not propose a catallatic revolution; he attributed such an emphasis to earlier authors and himself stressed the role of production. It is shown that Jevons was very aware of the necessarily general equilibrium nature of his theory but that he was simply not able to cope with it satisfactorily; it is suggested that this explains, at least in part, his fluctuating and apparently inconsistent statements relating utility and labour to value. Jevons certainly attempted to sketch a complete marginal productivity theory of distribution, even if he was far from successful in providing one.