Model-free portfolio theory: A rough path approach

Based on a rough path foundation, we develop a model-free approach to stochastic portfolio theory (SPT). Our approach allows to handle significantly more general portfolios compared to previous model-free approaches based on Föllmer integration. Without the assumption of any underlying probabilistic model, we prove a pathwise formula for the relative wealth process, which reduces in the special case of functionally generated portfolios to a pathwise version of the so-called master formula of classical SPT. We show that the appropriately scaled asymptotic growth rate of a far reaching generalization of Cover's universal portfolio based on controlled paths coincides with that of the best retrospectively chosen portfolio within this class. We provide several novel results concerning rough integration, and highlight the advantages of the rough path approach by showing that (nonfunctionally generated) log-optimal portfolios in an ergodic Itô diffusion setting have the same asymptotic growth rate as Cover's universal portfolio and the best retrospectively chosen one.     

约束型政策对于生育性别选择行为的影响:基于TPB模型的解释

基于计划行为理论(Theory of Planned Behavior,TPB)模型,利用陕西省三个县区的调查数据,对约束型政策在生育性别选择行为决策当中的作用进行了分析。个人的儿子偏好态度、社会关系网络成员的儿子偏好态度仍然是生育性别选择行为的决定性影响因素,约束型政策对生育性别选择行为具有一定的影响,但十分有限。研究结论对于现阶段中国出生人口性别比的治理提供了一定的启示,指出包含查出两非、全程服务、利益导向和宣传倡导等在内的综合手段对治理出生人口性别比具有积极作用。     

Competition and Public Policy in the Nursing Home Industry

A theory of property needs to give an account of the whole lifecycle of a property right: How it is initiated, transferred, and terminated. Economics has focused on the transfers in the market and almost completely neglected the question of initiation and termination of property in normal production and consumption (not in some original state or in the transition from common to private property). The institutional mechanism for the normal initiation and termination of property is an invisible hand function of the market — the market mechanism of appropriation. Does this mechanism satisfy an appropriate normative principle? The standard normative juridical principle is to assign or impute legal responsibility according to de facto responsibility. It is given a historical tag of being "Lockean," but the basis is contemporary jurisprudence, not historical exegesis. Then, the fundamental theorem of the property mechanism is proven, which shows that if "Hume's conditions" (no transfers without consent and all contracts fulfilled) are satisfied, then the market automatically satisfies the Lockean responsibility principle — i.e., "Hume implies Locke." As a major application, the results in their contrapositive form, "Not Locke implies Not Hume," are applied to a market economy based on the employment contract. I show that the production based on the employment contract violates the Lockean principle (all who work in an employment enterprise are de facto responsible for the positive and negative results), and thus Hume's conditions must also be violated in the marketplace (de facto responsible human action cannot be transferred from one person to another — as is readily recognized when an employer and employee together commit a crime).¹     

非对称合作网络中网络位置与创新绩效的关系——以吉利汽车为例的案例研究

利用扎根理论方法,以吉利汽车为例,对吉利汽车通过全球研发、跨国联盟、内部修炼等在创新合作网络发展的不同时期所占据的不同网络位置与创新绩效的关系进行了研究,并分析了企业家精神在两者间的中介作用。结果表明:占据网络中介和富含结构洞的网络位置能使企业获得更高的创新绩效;在两种不同的网络位置——中心位置和中介位置与创新绩效的关系中,企业家精神均起中介作用。     

应用系统理论模型分析社会管理的均衡点——以广西贺州为例

许多发达的国家和地区运用系统理论及系统模型方法构造出经济、科技、社会协调发展模式,并设计出相应的战略对策,在实际应用中收到满意的经济效益、社会效益,甚至是政治效益。应用系统理论及其系统模型方法分析研究社会管理的综合均衡问题,是一个颇具价值的课题。     

基于地下经济行为的博弈分析

第二次世界大战以后,经济学家在对传统经济进行反思的过程中,开始从地下经济角度来解释现实经济现象中宏观经济预测的偏离及菲力普斯曲线开始向上和向外盘旋现象。地下经济一般被认为是由那些企业或个人防止和逃避政府的管制、税收和监察的经济活动和由此获得的收入构成的。根据政府作为政策制定者和观察者及受调查者即企业或个人之间的关系,本文提供了一个相互作用系统的样板,通过政府和企业及个人之间在交税行为过程中产生的信号传递反馈系统,拟用一种不完全信息的动态博弈分析方法,论证得出信息系统的完整化、公开化、政府法律政策严明性及政府的相机抉择制度对社会经济发展的重要作用。     

Why Punish? Social reciprocity and the enforcement of prosocial norms

Recently economists have become interested in why people who face social dilemmas in the experimental lab use the seemingly incredible threat of punishment to deter free riding. Three theories with evolutionary microfoundations have been developed to explain punishment. We survey these theories and use behavioral data from surveys and experiments to show that the theory called social reciprocity in which people punish norm violators indiscriminately explains punishment best.JEL Classification: C91, C92, D64, H41 Correspondence to: Jeffrey P. CarpenterWe thank Carolyn Craven, Corinna Noelke and two referees for comments, and Middlebury College for financial assistance. In addition, Carpenter acknowledges the support of the National Science Foundation (SES-CAREER 0092953).     

行为金融学的研究现状与展望

由心理学家和金融学家共同发展起来的行为金融学越来越引人注目,它以前景理论和各种行为金融模型为代表性成果,能有效分析金融市场中由于心理因素引起的投资者失误偏差和市场异象,是现代金融学理论的有益补充。未来的行为金融学如想成为现代金融理论体系的中心,或作为一门单独学科而存在,必须形成统一的理论基础、严密的分析范式、明确的研究主线、研究对象和研究方法以及建立新的基于行为的核心模型。     

社会困境中的社会建设——以成都市为例

基于博弈论和社会心理学的基础,首先说明了社会建设能够调和个人利益和整体利益,眼前利益和长远利益之间的矛盾,随后介绍社会困境的含义,旨在说明社会建设本质上就是为了解决社会困境,接着将社会困境分为多人困境和两人困境,并分别介绍了相应的解决办法,最后详细介绍了成都市社会建设举措能调解社会困境的价值,处理好效率与公平的关系。     

Why is group-based pay perceived as meaningful,meaningless or negative? Exploring the meanings of pay suggested by reflection theory

This study explored the propositions of the reflection theory of pay [Thierry (2001), Work Motivation in the Context of a Globalizing Economy, Mahwah, NJ: Lawrence Erlbaum Associates, pp. 149–166]. The theory is grounded in theories of individual motivation. However, in a group-based pay context more socially oriented motivational factors may also play a role. In addition, the theory does not take into account that pay may have negative meanings. In this study, we have adopted a qualitative approach to improve the understanding of what meanings group-based pay may have. The research questions were the following: (1) why is group-based result-oriented pay perceived as meaningful, (2) why is group-based result-oriented pay perceived as meaningless and (3) why is group-based result-oriented pay perceived to have a negative meaning. To study the meanings attached to group-based pay, we conducted 29 focus group interviews (88 employees) in six municipal organizations in Finland. The results showed that the reasons for perceiving group-based pay as meaningful were related to the value of money, compensation for performance, the positive messages signalled by the pay and positive outcomes. On the other hand, when pay was perceived as meaningless, the arguments were related to the weak instrumentality of money, weak links between performance and pay, incompatibility and lack of knowledge. The negative meanings were related to negative message conveyed by the pay and its outcomes. When these results were compared with four meanings proposed by reflection theory, all four categories were found in the speech of the interviewees. In addition, two new categories were found and designated as ‘messages’ and ‘outcomes’. These new categories were theoretically linked to social identity theory.