基于跳跃扩散过程的保险资金最优投资模型研究

保险公司的盈余为跳跃扩散过程,保险人投资于债券和股票,且股票的价格服从跳跃扩散过程的最优投资组合。在均值-方差准则下通过随机最优控制方法,建立并求解保险资金投资模型的HJB方程,获得了保险资金最优投资模型和有效边界的闭式解,并进行了数值模拟。结果显示,投资于风险证券的资金量与初始资本金并不是简单的正比例关系。     

Country and currency diversification of bond investments: do they really make sense for Swiss investors?

The inclusion of hedged or unhedged foreign currency bonds within a strategic asset allocation is a crucial decision which should be analyzed carefully. The goal of this paper is to provide a contribution to this analysis by focusing particularly on the time horizon of the investment. Results are analyzed from the perspective of a Swiss investor. We find that over the last 21 years, investing in bonds denominated in Swiss Francs has been clearly less efficient in terms of risk-adjusted returns than investing in a hedged global bond portfolio. For short-term investors, we find robust evidence against the hypothesis of investing in unhedged foreign currency bonds. The picture changes dramatically, however, when we consider an investment horizon of 6 years and the normal case of balanced portfolios including also equities and domestic bonds. In this case, the optimal strategy for the period we analyzed would have been to hedge only the exposure to US dollar bonds.      

Optimal contest design under reverse-lottery technology

In this paper, we study effort-maximizing contest design under the “reverse” nested lottery contest model of Fu et al. (2014) — which is the “mirror image” of the conventional nested lottery contest of Clark and Riis (1996). We show that under the reverse-lottery technology, a single-stage winner-take-all grand contest dominates all other feasible designs when the contest is sufficiently noisy. This result is in dramatic contrast to the conventional wisdom on the optimality of multistage elimination contests that is grounded under the conventional nested lottery contest technology in the literature. In the framework of a noisy-performance ranking model, the conventional and reverse models differ only in the noise on players’ performance. Our study therefore reveals the important role that the noise term plays in modeling imperfectly discriminatory contests.     

Maximal asymptotic power and efficiency of two-sample tests based on generalized U-Statistics

In this article a systematic study is given of the asymptotic behavior of two-sample tests based on U-Statistics with arbitrary antisymmetric kernels . Besides the investigation under the hypothesis and under fixed alternatives we determine the local power as a function of as well as its maximizing value _opt. Moreover formulas for the asymptotic relative efficiency ARE(₂,₁) of the ₂-test with respect to the ₁-test are derived. It turns out that _opt also yields the most efficient test in the sense that ARE(_opt,)1 for all (admissible) kernels .     

基于并行混沌遗传混合算法的多用户检测

在经济全球化的大环境下,外包为何会在作为推动自由贸易发展主力的美国引起轩然大波,吸引政府、民众和媒体的广泛注意,确实是值得我们思考的问题。本文从外包概念的兴起及发展出发,讨论近年来以美国为代表的外包业务发展特点和趋势,分析离岸外包对美国就业市场的影响。     

When Do Large Product Assortments Benefit Consumers? An Information-Processing Perspective

Retailers frequently attempt to attract shoppers by offering large product assortments. The prevailing literature on assortments has recognized that although large assortments benefit consumers by providing many choices, wide choices also challenge consumers to use extensive cognitive processes in making purchase decisions. Therefore when retailers offer extensive product assortments, they may also be adding cognitive costs to consumers—costs that may diminish the assortment's attractiveness. This research draws on the literature related to the Heuristic-Systematic Model (HSM) of information processing and the literature related to optimal stimulation level (OSL) in testing for the presence of two possible processing benefits provided by large assortments: their capacity to aid consumers in achieving decision-making certainty and their ability to provide consumers with desired stimulation. In two experiments, we find support for both models of assortment evaluations and demonstrate that purchase context and individual traits can lead consumers to prefer large assortments from a processing perspective.     

我国建筑业可持续发展水平评价分析——基于投影寻踪原理

建筑业作为我国经济的支柱产业对推动经济的发展起着巨大的作用,在分析影响我国建筑业可持续发展因素的基础上,选择了行业发展规模、行业发展效率、行业发展潜力和行业资源消耗4个方面共15个评判指标,根据2000～2008年我国建筑业相关统计数据,建立了我国建筑业可持续发展评价的投影寻踪分类模型（PPC）,并利用复合单纯形法求解最佳投影方向。根据投影值的大小对建筑业可持续发展水平做出评价、分析。计算结果显示,2000-2008年我国建筑业可持续发展水平总体上有了较高的增长,但2008年多项指标增速放缓甚至出现了一定的下滑。PPC模型可以避免主观因素对权重确定的影响,且具有投影值准确度高、评价结果较为客观等优点,为我国建筑业可持续发展能力评价提供了一条新的方法与思路。     

Nominal debt as a burden on monetary policy

We characterize the optimal sequential choice of monetary policy in economies with either nominal or indexed debt. In a model where nominal debt is the only source of time inconsistency, the Markov-perfect equilibrium policy implies the progressive depletion of the outstanding stock of debt, until the time inconsistency disappears. There is a resulting welfare loss if debt is nominal rather than indexed. We also analyze the case where monetary policy is time inconsistent even when debt is indexed. In this case, with nominal debt, the sequential optimal policy converges to a time-consistent steady state with positive—or negative—debt, depending on the value of the intertemporal elasticity of substitution. Welfare can be higher if debt is nominal rather than indexed and the level of debt is not too high.     

Pricing urban congestion: A structural random utility model with traffic anticipation

We design and estimate a game theoretic congestion pricing mechanism in which the regulator aims at reducing urban traffic congestion by price discriminating travelers according to their value of time (VOT). Travelers' preferences depend on their observable characteristics, on the endogenous amount of congestion anticipated, on their marginal utility (MU) of income and on some unobserved factors. Using a French household survey, we estimate the demand models to simulate different pricing mechanisms. We find that unobserved determinants of transportation demand are significant and are used to measure the anticipated time spent in traffic and the comfort of traveling: diverging from these expectations is felt as more discomfort than if no expectations were formed a priori. However, some of this discomfort is derived from travelers' marginal utility of income: the lost time in traffic is clearly “unpleasant” because of its opportunity cost. When the regulator and the transportation provider share common objectives, we show that a great welfare improvement can be achieved when implementing a homogenous pricing that accurately accounts for travelers VOT.