A probabilistic analysis of the trading the line strategy

We provide analytic models for which the appropriate statistics of the trading the line strategy, N _h , can be derived in closed form. In particular, we provide closed-form expressions concerning the average duration of the open position, E(N _h ), the variance of the open duration, Var(N _h ), the average of the stopped log price, E(S _{N h} ), the variance of the stopped log price, Var(S _{N h} ), the correlation, Corr(N _h , S _{N h} ), and the Laplace transform, E(e^{?s N _h} ). These results are obtained, in discrete time settings, for binomial and other price scenarios. Furthermore, when analytic results are not possible, such as the case of a normal distribution for log returns, we show by simulation that our general conclusions still hold. Using these statistics we point out some of the subtle features of the trailing stops strategy.     

An efficient algorithm for pricing barrier options in arbitrage-free binomial models with calibrated drift terms

The interrelation between the drift coefficient of price processes on arbitrage-free financial markets and the corresponding transition probabilities induced by a martingale measure is analysed in a discrete setup. As a result, we obtain a flexible setting that encompasses most arbitrage-free binomial models. It is argued that knowledge of the link between drift and transition probabilities may be useful for pricing derivatives such as barrier options. The idea is illustrated in a simple example and later extended to a general numerical procedure. The results indicate that the option values in our fitted drift model converge much faster to closed-form solutions of continuous models for a wider range of contract specifications than those of conventional binomial models.     

A GRAS VARIANT SOLVING FOR MINIMUM INFORMATION LOSS

The fundamental idea in Junius and Oosterhaven (2003) Junius, T. and Oosterhaven, J. 2003. The Solution of Updating or Regionalizing a Matrix with both Positive and Negative Entries. Economic Systems Research, 15: 87–96. [Taylor & Francis Online] [Google Scholar] is to break down the information contained in the a priori data into two parts: algebraic signs, and absolute values. This approach is well grounded in information theory, and provides a basis on which to solve the problem of adjusting matrices with negative entries. However, Junius and Oosterhaven (2003) Junius, T. and Oosterhaven, J. 2003. The Solution of Updating or Regionalizing a Matrix with both Positive and Negative Entries. Economic Systems Research, 15: 87–96. [Taylor & Francis Online] [Google Scholar] have formulated a target function that is not equivalent to the Kullback and Leibler (1951) Kullback, S. and Leibler, R. A. 1951. On Information and Sufficiency. Annals of Mathematical Statistics, 4: 99–111.  [Google Scholar] cross-entropy measure, and so is not a representation of the minimum information loss principle. Neither is the alternative target function proposed by Lenzen et al. (2007) Lenzen, M., Wood, R. and Gallego, B. 2007. Some Comments on the GRAS Method. Economic Systems Research, 19: 461–465. [Taylor & Francis Online] [Google Scholar]. This paper develops the exact Kullback and Leibler cross-entropy measure. In addition, following the constrained optimization approach, this paper applies the same principle to solve adjustment problems where row-sums, column-sums or both are constrained to zero.     

绩效反馈对新创企业动态能力的作用机制研究

基于组织行为理论与双元学习视角,挖掘动态能力的前因变量,探究探索式学习、利用式学习在负绩效反馈与新创企业动态能力关系间的中介效应,并利用429份新创企业数据验证假设。基于多水平结构方程模型和Bootstrap方法的研究结果表明,负绩效反馈能够积极推动新创企业动态能力建构与提升,负绩效反馈正向影响新创企业探索式学习和利用式学习,探索式学习、利用式学习分别在负绩效反馈与新创企业动态能力之间发挥部分中介作用。     

海外市场需求与跨国垂直并购——基于低端下游企业的视角

本文构建了一个产品从低端到高端分布的Hotelling模型,以探讨我国低端下游企业进行跨国垂直并购的时机选择和决定因素。研究表明,垂直并购国外高端上游企业能实现扩大市场份额、提升产品定位的双重效能。海外市场需求环境对低端下游企业拓展战略起关键性作用。在正常需求条件下,与直接出口及先并购国内上游企业再出口两种模式相比,跨国垂直并购并非最优选择。在遭受负向需求冲击时,国外上游企业生产成本的大幅上升以及国外下游竞争对手品牌价值的下降给跨国垂直并购带来了契机,此时在技术密集度较高的上游产业进行跨国垂直并购成为国内低端下游企业的最优选择。如果并购能实现足够大的品牌价值效应,还会改善被并购企业所在国的社会福利水平。     

软约束、国家退出与经营目标转换--中国国有银行改革困境的一种描述与求解

中国国有银行软约束问题的形成逻辑在于国家赋予了国有银行政策性融资任务和社会责任及商业银行陷入破产的强外部传染问题.因此,软约束问题的解决路径在于国家退出,诸多现实因素决定了短期内国家退出的不完全性,进而决定了国有银行微观效率改进的渐进路径.在国家退出策略受到制约时,"经理人退出威胁"对于遏制国有银行费用偏好具有制度约束功能.本文的研究对于国有银行以提高效率为目标的改革路径选择具有政策指导意义.     

负面清单不符措施所涉义务的分布规律——国际经验与中国借鉴

《区域全面经济伙伴关系协定》(RCEP)是中国参与的第一个采用负面清单模式的国际经贸协定.与中国当前负面清单管理制度不同,国际经贸协定中的负面清单需要明示各项不符措施与协议规定的哪些义务相违背.厘清不符措施所涉义务的分布特征及其背后的规律,对中国完善外资管理负面清单制度,以及后续在国际经贸协定中进一步推广负面清单模式具...     

路径依赖负面效应下的企业战略选择探究

路径依赖强调的是惯性的力量能把人们带入定势的死角,人们一旦选择了某个制度,就好比走上了一条不归之路,把这个制度不断自我强化,让你轻易走不出去。企业战略选择是企业战略管理的关键,由于自身的特点,很容易陷入路径依赖效应下的窠臼。因而如何克服企业战略选择的路径依赖的负面效应成为企业战略管理成功与否的关键。     

The pricing of Bermudan-style options on correlated assets

In this paper, we present a methodology for approximating a correlated multivariate-lognormal process with a recombining or “simple” multivariate-binomial process. The method represents an extension and implementation of previous work by Nelson and Ramaswamy (1990) and Ho, Stapleton and Subrahmanyam (1995) on diffusion approximation. The general method is illustrated by pricing a Bermudan-style put option on the minimum of three asset prices, and by pricing Bermudan-style options on bonds, where the value of the bond at a point in time depends upon the interest rate in two currencies and the foreign exchange rate. This type of structure, known as the “Power Reverse Dual” is a popular product in the case of Japanese Yen-US Dollar currencies. This revised version was published online in June 2006 with corrections to the Cover Date.     

对失业者再就业激励机制的探索

现行的社会保障制度缺陷之一是某种程度上降低了失业者正常渠道再就业的积极性，许多失业者不得不从事较为普遍的隐性就业。本文探索引入“负所得税”的方法，建立更加有效的社会保障制度，既减轻了国有企业和政府的负担，又保护了下岗职工再就业的积极性。