Multivariate affine generalized hyperbolic distributions: An empirical investigation

The aim of this paper is to estimate multivariate affine generalized distributions (MAGH) using market data. We use the Ibovespa, CAC, DAX, FTSE, NIKKEI and S&P500 indexes. We estimate the univariate distributions, bi-variate distributions and six-dimensional distribution. Then we assess their goodness of fit using Kolmogorov distances. As an application we study the efficient frontier.     

“十二五”初中国农业发展形势研判

从发展阶段、区域格局、宏观运行和时代符号四个视角,对中国农业发展的宏观形势进行总体研判,从而指出在工业化和城市化主旋律下,在地区发展不平衡与城乡发展不平衡两大问题相互渗透、长期并存的总体格局下,在低碳经济约束下,在经济过热和通货膨胀压力下,中国农业稳定发展的阶段定位、战略机遇、制约因素和发展要点。     

On the evolution of comparative advantage in matching models

This paper examines whether comparative advantage is the long-run outcome of an evolutionary process in the open economy. It formalizes the notion that natural selection eliminates inefficient firms and thus leads to stable and perhaps efficient patterns of world trade. Instead of assuming the existence of a Walrasian auctioneer, we study two simple matching processes that coordinate trade between firms. Our central result is that specialization according to comparative advantage, with the larger country possibly incompletely specialized, is the unique evolutionarily stable state of the world economy.     

MAXIMUM ENTROPY REVISITED

Maximum entropy or minumum information distributions have their flexibilities severely curtailed if R or R₊ is the domain and α is imposed as a Lebesgue measure. Tremendous flexibility is gained by removing these restrictions.     

On Bayesian selection of the best normal population using theKullback–Leibler divergence measure

In this paper, we use the Bayesian approach to study the problem of selecting the best population among k different populations π₁, ..., π_k (k≥2) relative to some standard (or control) population π₀. Here, π₀ is considered to be the population with the desired characteristics. The best population is defined to be the one which is closest to the ideal population π₀ . The procedure uses the idea of minimizing the posterior expected value of the Kullback–Leibler (KL) divergence measure of π _i from π₀. The populations under consideration are assumed to be multivariate normal. An application to regression problems is also presented. Finally, a numerical example using real data set is provided to illustrate the implementation of the selection procedure.     

Investment under uncertainty and time-inconsistent preferences

While standard real options models assume that agents possess a constant rate of time preference, there is substantial evidence that agents are impatient about choices in the short term but are patient when choosing between long-term alternatives. We extend the real options framework to model the investment-timing decisions of entrepreneurs with time-inconsistent preferences. The impact on investment-timing depends on such factors as whether entrepreneurs are sophisticated or naive in their expectations regarding their future time-inconsistent behavior, and whether the payoff from investment occurs all at once or over time. The model is extended to the case of a competitive equilibrium.     

Long run equilibria in an asymmetric oligopoly

Summary. Consider an oligopolistic industry composed of two groups (or populations) of firms, the low cost firms and the high cost firms. The firms produce a homogeneous good. I study the finite population evolutionarily stable strategy defined by Schaffer (1988), and the long run equilibrium in the stochastic evolutionary dynamics based on imitation and experimentation of strategies by firms in each group. I will show the following results. 1) The finite population evolutionarily stable strategy (ESS) output is equal to the competitive (or Walrasian) output in each group of the firms. 2) Under the assumption that the marginal cost is increasing, the ESS state is the long run equilibrium in the stochastic evolutionary dynamics in the limit as the output grid step, which will be defined in the paper, approaches to zero. Received: September 19, 1997; revised: June 18, 1998