固定资本与标准商品

在新旧固定资本均存在的冯诺伊曼体系下,可定义广义标准稼动水准,以此为衡量尺度可知工资率与利润率处于线性相反关系。但仅存在新品而排除旧固定资本时,即使以广义标准商品为衡量尺度,工资率与利润率虽为相反关系,但非线性关系。     

An extended Heckscher-Ohlin model with transaction costs and technological comparative advantage

Summary. This paper introduces technological differences and transaction costs into the Heckscher-Ohlin (HO) model and examines the HO theorem, factor price equalization theorem, the Stolper-Samuelson theorem and the Rybczynski theorem. It shows that the HO theorem can be refined, and that the factor price equalisation theorem, the Stolper-Samuelson Theorem and the Rybczynski theorem do not always hold. It also shows that transaction costs play an important role in determining the equilibrium trade pattern.Received: 26 February 2001, Revised: 27 May 2003, JEL Classification Numbers: F10, F11. Correspondence to: Wenli ChengWe are grateful for comments from the anonymous referee, Hugo Sonnenschein, Guangzhen Sun and participants of the seminar on this paper at University of Washington.     

从公司资本结构理论新进展看我国上市公司融资政策取向

以MM定理为起点，研究了公司资本结构理论逐步引入公司所得税、破产风险、个人所得税、不完全信息的发展过程。分析了我国上市公司资本结构所处的经济现实条件与MM定理前提条件方面存在的差异，在此基础上，提出了优化我国上市公司资本结构的政策建议。     

The limit theorem on the core of a production economy in vector lattices with unordered preferences

Summary. We prove Aliprantis, Brown, and Burkinshaw's (1987) theorem on the equivalence of Edgeworth production equilibria and pseudo-equilibria in a more general setting. We consider production economies with unordered preferences and general consumption sets in a vector lattice commodity space. We adapt the approach of Mas-Colell and Richard (1991) and prove our theorem by applying a separating hyperplane argument in the space of all allocations. We also generalize Podczeck's (1996) important result on the relationship between continuous and discontinuous equilibrium prices to the case of production. Received: April 18, 1997; revised version: February 6, 1998     

Budget-constrained optimal reinsurance design under coherent risk measures

ABSTRACT

Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the net risk exposure of a generic insurer, in conjunction with a general law-invariant comonotonic additive convex reinsurance premium principle and a premium budget constraint. Due to its intrinsic generality, this contract design problem encompasses a wide body of optimal reinsurance models commonly encountered in practice. A three-step solution scheme is presented. Firstly, the objective and constraint functions are exhibited in the so-called Kusuoka's integral representations. Secondly, the mini-max theorem for infinite dimensional spaces is applied to interchange the infimum on the space of indemnities and the supremum on the space of probability measures. Thirdly, the recently developed Neyman–Pearson methodology due to Lo (2017a) is adopted to solve the resulting infimum problem. Analytic and transparent expressions for the optimal reinsurance policy are provided, followed by illustrative examples.     

CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH

The existence of the growth optimal portfolio (GOP), also known as the Kelly portfolio, is vital for a financial market to be meaningful. The GOP, if it exists, is uniquely determined by the market parameters of the primary security accounts. However, markets may develop and new security accounts become tradable. What happens to the GOP if the original market is extended? In this paper we provide a complete characterization of market extensions which are consistent with the existence of a GOP. We show that a three fund separation theorem applies for the extended GOP. This includes, in particular, the introduction of a locally risk free security, the savings account. We give necessary and sufficient conditions for a consistent exogenous specification of the prevailing short rates.     

指数导数的微分中值定理

本文证明了反函数的指数导数求导法则.在指数导数意义下建立了著名的罗尔定理,拉格朗日中值定理和柯西中值定理。     

Social norms,cooperation and inequality

This paper analyzes the outcomes that can be supported by social norms in a society of infinitely lived and patient agents that are randomly matched in pairs every period to play a given game. I find that any mutually beneficial outcome can be supported by a self-enforcing social norm under both perfect information and a simple local information system. These Folk Theorem results explain not only how social norms can provide incentives that support cooperation in a community, providing support to the concepts of social capital and corporate culture, but also how they can support inequality and discrimination.I am grateful to David Levine for invaluable guidance and ideas. I also thank Anna Aizer, Hongbin Cai, Walter Cont, Ernesto Dal Bó, Jean-Laurent Rosenthal, Federico Weinschelbaun, William Zame, anonymous referees and seminar participants at Universidad de Buenos Aires, UCLA, Universidad T. Di Tella, Harvard Business School and Stockholm School of Economics for very useful comments and discussions