Restricted maximum likelihood estimation under Eisenhart model Ill

For a balanced two-way mixed model, the maximum likelihood (ML) and restricted ML (REML) estimators of the variance components were obtained and compared under the non-negativity requirements of the variance components by L ee and K apadia (1984). In this note, for a mixed (random blocks) incomplete block model, explicit forms for the REML estimators of variance components are obtained. They are always non-negative and have smaller mean squared error (MSE) than the analysis of variance (AOV) estimators. The asymptotic sampling variances of the maximum likelihood (ML) estimators and the REML estimators are compared and the balanced incomplete block design (BIBD) is considered as a special case. The ML estimators are shown to have smaller asymptotic variances than the REML estimators, but a numerical result in the randomized complete block design (RCBD) demonstrated that the performances of the REML and ML estimators are not much different in the MSE sense.     

Stochastic stability in networks with decay

This paper considers a stylized model of network formation in which relations among agents are subject to frictions, as described in Bala and Goyal [A non cooperative model of network formation, Econometrica 68 (2000) 1181-1231]. We analyze the process of network formation in a dynamic framework where self-interested individuals can form or delete links and, occasionally, make mistakes. Then, using stochastic stability, we identify the network structures to which the formation process will converge.     

Monetary regimes and the co-ordination of wage setting

A recent literature argues that a strict monetary regime may reduce equilibrium unemployment by disciplining wage setters, as wage setters abstain from raising wages to avoid a monetary contraction. However, in this literature the wage setters are assumed not to co-ordinate their wage setting. The present paper argues that precisely because a strict monetary regime may discipline the unco-ordinated wage setting, thus lowering unemployment in the unco-ordinated outcome, it also reduces wage setters’ incentives to co-ordinate. It is shown that an accommodating monetary regime may reduce equilibrium unemployment, via the strengthening of the wage setters’ incentives to co-ordinate.     

Analytic derivation of sociometric dimensions

Dimensional analysis has been defined variously as the synthesis of dimensionless variables and as a way of spatially representing data. While in sociometrics, one may not be able to devise models resembling those of the physical sciences because of the complexity of many social situations, one may in some cases successfully apply the techniques of classic dimensional analysis and get empirically valid results. More often we derive with analytic methods from the social sciences different kinds of dimensional frameworks in which to represent data. This paper will compare these approaches to the study of relationships and give examples of where each might be appropriate. Finally, a classification of the analytical methods will be presented.     

Mean-variance hedging for interest rate models¶with stochastic volatility

The mean-variance hedging approach for pricing and hedging claims in incomplete markets was originally introduced for risky assets. The aim of this paper is to apply this approach to interest rate models in the presence of stochastic volatility, seen as a consequence of incomplete information. We fix a finite number of bonds such that the volatility matrix is invertible and provide an explicit formula for the density of the variance-optimal measure which is independent of the chosen times of maturity. Finally, we compute the mean-variance hedging strategy for a caplet and compare it with the optimal stategy according to the local risk minimizing approach. Received: 14 July 2000 / Accepted: 10 April 2001     

用期权定价模型评估企业并购的价值

针对传统企业并购价值评估模型的局限性,本文从期权的角度阐述了企业并购的期权特性,指出企业并购实质上相当于取得了一个看涨期权;并以连续支付红利的美式期权定价理论为基础,建立了企业并购价值评估的期权定价模型。最后,通过实例论述了如何应用该模型来评估企业并购价值,对实践中企业并购价值的合理确定具有重要的指导意义。     

Public choice interpretations of distributional preference

This essay examines, from the perspective of both economics and ethics, the logical foundations of income transfers in a democratic society that allocates resources, in the large, through free markets. Such transfers, enacted through the public choice process, modify the market-determined distribution of income, as a reflection of the distributional preferences of the members of a society. Both constitutional and post-constitutional explanations of redistributions are considered. A discussion of recent experimental evidence of distributional preferences leads into a critique of simple equality, built on Michael Walzer's distinction between monopoly and dominance, as a criterion of distributive justice.     

一类企业物流成本核算的M-A模型

本文在分析和比较任务成本(Mission Costing)与作业成本(Activity-Based Costing)的前提下,将任务成本与作业成本结合起来构建了企业物流成本核算的M-A模型框架.在这个模型框架内,系统地阐述了企业物流成本核算的涵括范围、数据收集来源以及相关物流成本的分配架构等.     

1998年中国上市公司并购实践的效应分析

对上市公司的收购是中国股市近些年出现的新现象 ,本文以 1 998年深沪两市发生的全部 67家公司的并购为样本 ,以公司净资产收益率 (NROA)和主业利润率(CROA)为指标 ,将所有样本根据并购原因划分为 6类 ,以并购前 2年和并购后 3年的数据为基础 ,系统分析了并购的效应与得失。在此基础上 ,还讨论了国有企业与民营企业作为收购方的并购效应和并购的有偿转让与无偿划拨方式的不同结果。文章的结论是 :业绩较差的公司较愿出让控股权 ;多数并购是战略性的 ,获上市地位是主要的并购动力 ;并购后主业得到明显加强 ;市场化的战略性并购效果较好 ,有偿并购的效果也较好。     

一种新型的合成红宝石杜罗斯（Douros）合成红宝石

本文介绍了希腊用助熔剂法生产的，一种称之为杜罗斯（Ｄｏｕｒｏｓ）的合成红宝石新品种。