COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS

The framework of coherent risk measures has been introduced by Artzner et al. (1999; Math. Finance 9, 203–228) in a single-period setting. Here, we investigate a similar framework in a multiperiod context. We add an axiom of dynamic consistency to the standard coherence axioms, and obtain a representation theorem in terms of collections of multiperiod probability measures that satisfy a certain product property. This theorem is similar to results obtained by Epstein and Schneider (2003; J. Econ. Theor. 113, 1–31) and Wang (2003; J. Econ. Theor. 108, 286–321) in a different axiomatic framework. We then apply our representation result to the pricing of derivatives in incomplete markets, extending results by Carr, Geman, and Madan (2001; J. Financial Econ. 32, 131–167) to the multiperiod case. We present recursive formulas for the computation of price bounds and corresponding optimal hedges. When no shortselling constraints are present, we obtain a recursive formula for price bounds in terms of martingale measures.     

An exercise in composite indicators construction: Assessing the sustainability of Italian regions

This paper presents a piece of research aimed at evaluating the relative sustainability of the Italian Regions. After selecting a core set of indicators, for which we referred to the EU Sustainable Development Strategy, we built a composite index and checked for its robustness. As a result we got ‘many numbers’, that is, a range of possible rankings for Italian Regions.     

相对业绩差距评估对基金经理风险承担的激励研究

基金经理在选择投资组合风险时,不仅会考虑基金的业绩排名,同时会考虑基金业绩之间的差距,由此提出了业绩差距排名,并提出了新的实证方法,即线性回归的方法来研究业绩差距排名对基金经理风险承担的影响,同时验证了BHS结论在中国基金市场中的适用性。结果表明BHS结论在中国基金市场中是不成立的,同时表明在中国基金市场中基金经理具有相对业绩排名目标,但此相对业绩排名是本文中所提出的业绩差距排名,此结论可以为监管部门规范基金投资行为以及为投资者选择基金提供参考。     

一种改进基于瞬时无功功率的谐波电流检测方法

我国电力系统大多数处在不平衡状态下，文章对现有的基于瞬时无功功率谐波的检测方法进行改进，并采用瞬时无功功率闭环检测，使检测系统鲁棒性强、稳定度好。仿真结果验证了该方法的实用性及可行性。     

中国——东盟自由贸易区扬帆远航正其时

本文分析了自由贸易区对经济发展和对我国国际经济安全保障的重要性,建立中国-东盟自由贸易区的必要性和可能性,并对深化中国-东盟自由贸易区(CAFTA)的合作提出了战略构想和相关的举措。     

Regression Sampling in Statistical Auditing: A Practical Survey and Evaluation

Several confidence intervals for the regression estimator are surveyed. A Monte Carlo experiment, based on the NETER and LOEBBECKE (1975) populations, gives estimated coverages and lengths of the different confidence intervals. One interval is exact under the assumption of multivariate normal distributions; it gives longer intervals (hence better coverages) than the interval based on a popular variance estimator. An interval due to ROBERTS (1970) is much too long. Jackknifing gives robust intervals. Rules of thumb for practitioners are given.     

Does Tourism Promote Cross-Border Trade?

We estimate a simultaneous bivariate qualitative choice model of Arizona agribusiness firms' propensity to trade and visit as a tourist the cross-border state of Sonora, Mexico. Venture business visits, quantified through the tourism equation, were found to have the largest impact on a firm's propensity to trade. Tourist visits have a greater impact on trade when combined with other firm attributes such as age, perceived need for geographic diversity, foreign language fluency, and firm size, than if considered alone. Our results suggest that there is a role for government agencies to play in overcoming imperfect information related to trade opportunities through facilitating exploratory business venture and tourist visits.     

财政分权与城乡居民收入差距

采用动态面板方法,利用我国2003-2012年的省级面板数据对财政分权与城乡居民收入差距之间的关系进行了深入研究.结果发现：财政分权对缩小我国城乡居民收入差距具有显著的促进作用,这种促进作用在区域间有所差异.财政分权对缩小东中部地区城乡差距的作用程度相当,对缩小西部城乡居民收入差距作用略小.在全国范围内,农村地区人力资本水平与城乡居民收入差距呈负相关,农村地区人力资本越高,越容易缩小城乡居民收入差距.     

供应链网络的鲁棒性探微

供应链网络具有复杂性、动态性、开放性和网络型的特征。由于内部不确定性和外部不确定性的存在,供应链存在相当风险。为了减轻风险企业和供应链越来越倾向运用鲁棒性的方法来经营企业和供应链。供应链鲁棒性管理主要分为鲁棒供应管理、需求管理、产品管理和信息管理。供应链鲁棒性运作管理在解决供应链不稳定问题中发挥了至关重要的作用,使供应链网络不确定性问题得到解决,也使供应链网络中的企业能够优势互补、规避风险,使企业能够协同实现产业内的合作与发展。