Convex duality and Orlicz spaces in expected utility maximization

In this paper, we report further progress toward a complete theory of state‐independent expected utility maximization with semimartingale price processes for arbitrary utility function. Without any technical assumptions, we establish a surprising Fenchel duality result on conjugate Orlicz spaces, offering a new economic insight into the nature of primal optima and providing a fresh perspective on the classical papers of Kramkov and Schachermayer. The analysis points to an intriguing interplay between no‐arbitrage conditions and standard convex optimization and motivates the study of the fundamental theorem of asset pricing for Orlicz tame strategies.     

Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting

We study Arrow–Debreu equilibria for a one‐period‐two‐date pure exchange economy with rank‐dependent utility agents having heterogeneous probability weighting and outcome utility functions. In particular, we allow the economy to have a mix of expected utility agents and rank‐dependent utility ones, with nonconvex probability weighting functions. The standard approach for convex economy equilibria fails due to the incompatibility with second‐order stochastic dominance. The representative agent approach devised in Xia and Zhou (2016) does not work either due to the heterogeneity of the weighting functions. We overcome these difficulties by considering the comonotone allocations, on which the rank‐dependent utilities become concave. Accordingly, we introduce the notion of comonotone Pareto optima, and derive their characterizing conditions. With the aid of the auxiliary problem of price equilibria with transfers, we provide a sufficient condition in terms of the model primitives under which an Arrow–Debreu equilibrium exists, along with the explicit expression of the state‐price density in equilibrium. This new, general sufficient condition distinguishes the paper from previous related studies with homogeneous and/or convex probability weightings.     

The emergence of new Islamic economic and business moralities

This article aims to explore the sources of the observed transformation in the embeddedness of economic, business, and financial practices of Muslim individuals in comparison to premodern period Muslims. It argues that the predomination of instrumental reasoning in modern times, as opposed to substantive morality in everyday practice, is one of the main reasons behind the transformation of embeddedness of Muslim individuals. Instrumental reasoning, being the dominant methodology, leads to diminished submergence in social relations; that is not limited to interpersonal relationships, but further extended to the core religious acts. How such an emergent economic and business morality is reconciled with the Islamic substantive morality is examined. It is argued that “transformation of exception into norm” is the main method used to reconcile instrumental reasoning with Islamic law in fulfilling religious obligations, at least in terms of fulfilling the form and in complying with the necessities of modern life. This has led to the emergence of new economic and business moralities.     

On the role of the utility function in the estimation of preference parameters

Modern economic theory summarizes the main characteristics of individual preferences through a definite set of parameters: risk aversion, prudence, and the elasticity of intertemporal substitution. Despite their importance, the results of the literature devoted to the parameters’ estimation are controversial. This paper highlights the neglected role that may have been played by the constraints that the quantitative definition of the parameters and the utility functions employed impose on the estimation. A number of simulation exercises are presented, which show that the same saving behaviour can be associated with quite different values of the parameters depending on the utility function adopted.     

AHP在影院客户效用评价体系中的应用研究

现如今随着影院数量与种类的不断增加,消费者由于喜好不同,选择不同的电影院所产生的效用也是不一样的,如何选择电影院使得自身的效用最大化成为新一代消费者所面临的问题。本文运用层次分析法的相关理论知识,通过建立电影院线客户效用评价体系分析与计算,为客户决策提供参考。     

Optimal insurance under rank‐dependent utility and incentive compatibility

Bernard, He, Yan, and Zhou (Mathematical Finance, 25(1), 154–186) studied an optimal insurance design problem where an individual's preference is of the rank‐dependent utility (RDU) type, and show that in general an optimal contract covers both large and small losses. However, their results suffer from the unrealistic assumption that the random loss has no atom, as well as a problem of moral hazard that provides incentives for the insured to falsely report the actual loss. This paper addresses these setbacks by removing the nonatomic assumption, and by exogenously imposing the “incentive compatibility” constraint that both indemnity function and insured's retention function are increasing with respect to the loss. We characterize the optimal solutions via calculus of variations, and then apply the result to obtain explicitly expressed contracts for problems with Yaari's dual criterion and general RDU. Finally, we use numerical examples to compare the results between ours and Bernard et al.     

论政府价格规制中的公众参与

在政府价格规制中引入公众参与机制有利于价格规制政策的制定。本文基于规制经济理论的分析框架,运用博弈论模拟了公众参与价格规制的讨价还价过程。政府在价格规制中引入公众参与机制,其形式取决于政策质量和公众接受程度两者的权衡。在此基础上对当前我国公用事业价格规制中存在的问题进行分析,并提出政策建议。     

资本市场化与经济发展——中国改革的经验(1980-2003)

探讨资本市场化与经济增长的关系,发现其中存在的问题,对于经济可持续发展具有十分重要的意义。本文通过实证分析发现,资本对经济的影响不仅有当期的,还有滞后两期的效应;资本边际效率与市场化水平及资本存量有关,反映资本市场化水平的指标间存在替代效应。在此基础上,针对资本边际效率低位波动现象,本文提出了两个有益的政策性建议:完善投融资制度,提高资源利用效率;建立先行指标体系,提高宏观调控效果。     

Modeling heterogeneous effective advertising stock using single-source data

This paper presents a nonlinear modeling of market response between advertising stock and direct utility with heterogeneous parameters using single-source data. We examine advertising threshold effects and measure the effective advertising stock at the individual consumer level. Two kinds of information, i.e., TV advertising exposure data and consumer’s purchase history data, are combined for the modeling. The former is used for constructing advertising stock over calendar time via heterogeneous carryover parameters and the latter is applied to the choice model. The Markov chain Monte Carlo (MCMC) method is applied to estimate these heterogeneous parameters. Compared to other possible nonlinear specifications, it is shown that the proposed threshold utility function model with discontinuity at the threshold performs better than other smooth market response models. The empirical results support the existence of an advertising threshold and suggest the pulsing or “on/off” policy for our datasets. In terms of the effective reach, implying the reach after suspending the ad exposure to investigate how it is damping out for a possible “on/off” advertising policy, the optimal “off” interval was measured to be quite short to support a high-frequency pulsing policy, because the carryover parameter as well as the difference of ad stock and threshold are not large enough for our datasets.      

An empirical study of dynamic customer relationship management

We apply the Gönül and Shi (1998) approach to the analysis of the optimal messaging and pricing policy mix by studying the past transaction patterns between a local supermarket and its consumers. We develop a dynamic customer relationship management model and investigate the relationship between customer utility and purchasing frequency by modifying the return function of the model discussed in Gönül and Shi (1998). In particular, we extend the analysis to consider a messaging and pricing policy mix, and we use a genetic algorithm in our empirical estimation. When applied to some non-seasonal products in a local supermarket, we find that our model is suitable and far superior to the one-stage model commonly used. Our dynamic model gives the optimal marketing mix strategies in different customer states and the results show that the firm could enjoy a 22% increase in profit.