In-transit perishable product inspection

We determine the value of monitoring perishable freight in-transit for a single vehicle traveling from an origin to a destination. We develop a computationally practical approach for determining the optimal expected cost function and an optimal policy, based on an infinite horizon partially observed Markov decision process model. Structural properties of the optimal expected cost function and optimal policy are determined. These results can lend insight when deciding whether to acquire the capacity to monitor freight status in transit and what actions to take, based on the data from the in-transit monitoring, that optimally increase expected supply chain productivity.     

一种新的通用航空机载防撞逻辑设计方法

由于机载防撞系统(TCAS)是针对具有较大垂直高度变化率的大型飞机设计的,系统设定条件和与之相关的解脱建议并不能适用于通航飞机。针对通用航空的防撞问题,提出了一种基于马尔可夫决策过程(MDP)的防撞逻辑设计方法。首先,将飞机空中相遇过程的动态模型转换为离散转移函数;然后,基于防撞系统结果事件末端效用函数进行MDP建模,采用动态规划方法导出了最优防撞逻辑的迭代方程;最后,给出了通航飞机最优化防撞逻辑的设计流程并对最优防撞逻辑进行了计算机仿真。仿真结果表明,通过调整效用比参数可以在保证安全性能的同时有效降低系统告警率。在垂直相遇高度小于30 m的相遇过程占比高达18〖WT《Times New Roman》〗%〖WTBZ〗的情况下,当告警率大于0.85时系统的碰撞概率仅为2.88×10-4左右。该设计方法对我国在低空空域通用飞机防撞系统的研究具有一定的参考价值。     

Equilibrium concepts for time‐inconsistent stopping problems in continuous time

A new notion of equilibrium, which we call strong equilibrium, is introduced for time‐inconsistent stopping problems in continuous time. Compared to the existing notions introduced in Huang, Y.‐J., & Nguyen‐Huu, A. (2018, Jan 01). Time‐consistent stopping under decreasing impatience. Finance and Stochastics, 22(1), 69–95 and Christensen, S., & Lindensjö, K. (2018). On finding equilibrium stopping times for time‐inconsistent markovian problems. SIAM Journal on Control and Optimization, 56(6), 4228–4255, which in this paper are called mild equilibrium and weak equilibrium, respectively, a strong equilibrium captures the idea of subgame perfect Nash equilibrium more accurately. When the state process is a continuous‐time Markov chain and the discount function is log subadditive, we show that an optimal mild equilibrium is always a strong equilibrium. Moreover, we provide a new iteration method that can directly construct an optimal mild equilibrium and thus also prove its existence.     

Cover's universal portfolio,stochastic portfolio theory,and the numéraire portfolio

Cover's celebrated theorem states that the long‐run yield of a properly chosen “universal” portfolio is almost as good as that of the best retrospectively chosen constant rebalanced portfolio. The “universality” refers to the fact that this result is model‐free, that is, not dependent on an underlying stochastic process. We extend Cover's theorem to the setting of stochastic portfolio theory: the market portfolio is taken as the numéraire, and the rebalancing rule need not be constant anymore but may depend on the current state of the stock market. By fixing a stochastic model of the stock market this model‐free result is complemented by a comparison with the numéraire portfolio. Roughly speaking, under appropriate assumptions the asymptotic growth rate coincides for the three approaches mentioned in the title of this paper. We present results in both discrete and continuous time.     

Error analysis of finite difference and Markov chain approximations for option pricing

Mijatovi? and Pistorius proposed an efficient Markov chain approximation method for pricing European and barrier options in general one‐dimensional Markovian models. However, sharp convergence rates of this method for realistic financial payoffs, which are nonsmooth, are rarely available. In this paper, we solve this problem for general one‐dimensional diffusion models, which play a fundamental role in financial applications. For such models, the Markov chain approximation method is equivalent to the method of lines using the central difference. Our analysis is based on the spectral representation of the exact solution and the approximate solution. By establishing the convergence rate for the eigenvalues and the eigenfunctions, we obtain sharp convergence rates for the transition density and the price of options with nonsmooth payoffs. In particular, we show that for call‐/put‐type payoffs, convergence is second order, while for digital‐type payoffs, convergence is generally only first order. Furthermore, we provide theoretical justification for two well‐known smoothing techniques that can restore second‐order convergence for digital‐type payoffs and explain oscillations observed in the convergence for options with nonsmooth payoffs. As an extension, we also establish sharp convergence rates for European options for a rich class of Markovian jump models constructed from diffusions via subordination. The theoretical estimates are confirmed using numerical examples.     

Goodwill and dynamic advertising strategies

In this paper, we empirically analyze weekly advertising policies of manufacturing firms in consumer goods markets. We assume firms engage in persuasive advertising, thus policies of firms affect the goodwill of a brand. We introduce a demand and a goodwill production function. A simple transformation of the demand function allows us to identify not only the demand parameters but also the parameters of the goodwill production function. We reconstruct the unobserved goodwill levels using these parameters and past advertising levels. We restrict our attention to Markov Perfect Equilibrium (MPE) strategies which are functions of payoff relevant state variables. Without imposing further restrictions on the dynamic competitive environment, we investigate the relationship between observed advertising strategies—which are assumed to be MPE—and payoff relevant state variables by means of several reduced form specifications. The most important determinant of advertising intensity turns out to be goodwill. We demonstrate that controlling for an advertising campaign significantly improves the explanatory power of the model. JEL Classification L13 . C73 . M30 . M37 I would like to thank Volkswagen Stiftung for the generous financial support which made this research possible.     

Liquidity implications of reverse logistics for retailers: A Markov chain approach

The reverse logistics process can generate periodic negative cash flows that are difficult to predict and account for, but are important when managing retailer liquidity. Uncertainties surrounding reverse logistics create the possibility that the retailer may be strained in meeting short-run financial obligations or opportunities. The current research offers a Markov chain approach to modeling the expectations, risks, and potential shocks associated with cash flows stemming from retail reverse logistics activities. Managerial recommendations for avoiding liquidity problems stemming from reverse logistics activities are provided.     

预测央行脆弱性的VaR模型

本文旨在研究可将两代货币危机模型有机地结合在一起的用于预测央行脆弱性的VaR模型,这一模型为央行提供了一个预警指标,同时也为市场参与者提供了一个判断央行是否具有偿付能力的依据。     

MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES

We examine the performances of several popular Lévy jump models and some of the most sophisticated affine jump‐diffusion models in capturing the joint dynamics of stock and option prices. We develop efficient Markov chain Monte Carlo methods for estimating parameters and latent volatility/jump variables of the Lévy jump models using stock and option prices. We show that models with infinite‐activity Lévy jumps in returns significantly outperform affine jump‐diffusion models with compound Poisson jumps in returns and volatility in capturing both the physical and risk‐neutral dynamics of the S&P 500 index. We also find that the variance gamma model of Madan, Carr, and Chang with stochastic volatility has the best performance among all the models we consider.     

我国土地承包经营纠纷解决机制之分析

随着经济的发展、人口的膨胀以及城市化的扩张,土地资源越来越显得稀缺,土地承包经营纠纷也越来越多.由于土地承包经营关系到整个农村基层的稳定,因此土地承包经营纠纷的解决也越来越引起人们的关注.本文以我国土地承包经营到纷的解决机制为切入点,结合我国相关的法律法规以及现实情况,对我国的土地承包经营纠纷解决机制进行分析.