A COMMENT ON MARKET FREE LUNCH AND FREE LUNCH

Frittelli (2004) introduced a market free lunch depending on the preferences of the agents in the market. He characterized no arbitrage and no free lunch with vanishing risk in terms of no market free lunch (the difference comes from the class of utility functions determining the market free lunch). In this note we complete the list of characterizations and show directly (using the theory of Orlicz spaces) that no free lunch is equivalent to the absence of market free lunch with respect to monotone concave utility functions.     

Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability

A regularized (smoothed) version of the model calibration method of 1 ) is studied. We prove that the regularized formulation is solvable and that the solution depends continuously on the input data (observed derivative security prices). Associated issues of model credibility, stability, and robustness (insensitivity to model assumptions) are discussed. The Implicit Function Theorem for Banach spaces is used for the stability proof, and some numerical illustrations are included.     

废墟中的景观:新制度主义批判

在资产阶级经济学的各个分支中,新制度经济学可算是\"此物最相思\",但实际情况并非如此。所谓的古典主义—新古典主义—新制度主义,乃是资产阶级本体论意义上的虚假理论发展之路;其\"虚假\"就在于本体论工作预设,在于逻辑推理所依据的本体的虚假性,这样才有社会物理学→数学物理学→现象学的社会物理学的体系更迭性和知识不断翻新,而其中的话语是高度一致的物象学科(工作)语言。这种资产阶级理论为社会主观批判实践提供了\"漫画\",创立工作范型,巧设了批判模本,而要求研究对象规定的真正意义的去魅。     

广西在CAFTA建成后的经济增长前景研究——基于斯密定理分析视角

2010年1月,中国—东盟自由贸易区如期建成。文章基于斯密定理进行分析研究,预测了中国—东盟自由贸易区建成后的市场规模,就此预测市场规模给广西经济发展带来的机遇,展望了广西经济增长前景,并就广西如何抓住中国—东盟自由贸易区市场规模扩大的历史性机遇,促进经济增长提出了一些对策建议。     

A new proof of the maximum principle

Summary. We offer a new proof of the maximum principle, by using the envelope theorem that is frequently used in the standard microeconomic theory. Received: April 11, 2002; revised version: June 26, 2002 Correspondence to: K. Shimomura     

A note on the projection properties of Hadamard matrices obtained by the first Payley construction

We show that the projections on four factors of an arbitrary orthogonal array of strength 2 allow the estimation of main effects and two-factor interactions when all other effects are assumed to be zero, if those projections satisfy the bounds given by Weils theorem. The only exceptions are the Hadamard matrices of orders 16 and 24. A consequence is again the estimability of main effects and two-factor interactions for the projections on four factors of the first Payley construction for arbitrary run size.     

Exceptional Convergence of the Sample Variance

The case is investigated when Hoeffding's one sample U–statistic theorem for the sample variance S² is not applicable. It is shown that this occurs only when the parent distribution is the two–point distribution with jumps of equal magnitude. For this exceptional case the standardised S² is shown to converge in distribution to (1 – V )√2, where V has chi–square distribution with one degree of freedom.     

A many-to-many ‘rural hospital theorem’

We show that the full version of the so-called ‘rural hospital theorem’ generalizes to many-to-many matching problems where agents on both sides of the problem have substitutable and weakly separable preferences. We reinforce our result by showing that when agents’ preferences satisfy substitutability, the domain of weakly separable preferences is also maximal for the rural hospital theorem to hold.