常用预测方法的模糊综合评判模型

本文对预测中的评价问题进行了系统的研究。在此基础上,建立了一个常用预测方法的模糊综合评判模型,为预测者评价和选择预测方法提供依据。     

中国上市公司业绩增长持续性及市场预测

上市公司的业绩增长能力对公司价值具有非常显著的影响,投资者希望找到市场上具有持续稳定成长性的公司。本文考察了公司业绩的增长水平,业绩增长的持续性以及市场对公司业绩增长的预测能力。本文发现公司业绩增长不具有持续性,呈现较大的波动性,投资者无法通过公司历史业绩增长情况预测未来业绩增长。市场对公司的未来业绩增长的预测能力较弱,只能预测大约未来3年时间的业绩增长情况,对更长时间的业绩增长无法预测。这可能与中国股市政策变动频繁,上市公司存在较多利润操纵行为有关。     

Consistency of elementwise-weighted total least squares estimator in a multivariate errors-in-variables model <Emphasis Type="Bold">AX=B</Emphasis>

A multivariate measurement error model AXB is considered. The errors in [A,B] are rowwise independent, but within each row the errors may be correlated. Some of the columns are observed without errors, and in addition the error covariance matrices may differ from row to row. The total covariance structure of the errors is supposed to be known up to a scalar factor. The fully weighted total least squares estimator of X is studied, which in the case of normal errors coincides with the maximum likelihood estimator. We give mild conditions for weak and strong consistency of the estimator, when the number of rows in A increases. The results generalize the conditions of Gallo given for a univariate homoscedastic model (where B is a vector), and extend the conditions of Gleser given for the multivariate homoscedastic model. We derive the objective function for the estimator and propose an iteratively reweighted numerical procedure.Acknowledgements.A. Kukush is supported by a postdoctoral research fellowship of the Belgian office for Scientific, Technical and Cultural Affairs, promoting Scientific and Technical Collaboration with Central and Eastern Europe. S. Van Huffel is a full professor with the Katholieke Universiteit Leuven. This paper presents research results of the Belgian Programme on Interuniversity Poles of Attraction (IUAP Phase V-22), initiated by the Belgian State, Prime Ministers Office-Federal Office for Scientific, Technical and Cultural Affairs, of the Concerted Research Action (GOA) projects of the Flemish Government MEFISTO-666 (Mathematical Engineering for Information and Communication Systems Technology), of the IDO/99/03 project (K.U. Leuven) Predictive computer models for medical classification problems using patient data and expert knowledge, of the FWO projects G.0200.00, G.0078.01 and G.0270.02. The scientific responsibility is assumed by its authors. The authors would like to thank Maria Luisa Rastello and Amedeo Premoli for bringing the EW-TLS problem to their attention. The authors are grateful to two anonymous referees for the valuable comments.     

An empirical comparison of bankruptcy models

Four types of bankruptcy prediction models based on financial statement ratios, cash flows, stock returns, and return standard deviations are compared. Based on a sample of bankruptcies from 1980 to 1991, results indicate that no existing model of bankruptcy adequately captures the data. During the last fiscal year preceding bankruptcy, none of the individual models may be excluded without a loss in explanatory power. If considered in isolation, the cash flow model discriminates most consistently two to three years before bankruptcy. By comparison, the ratio model is the best single model during the year immediately preceding bankruptcy. Quasi-jack-knifing procedures suggest that none of the models can reliably predict bankruptcy more than two years in advance.     

Cross Validation Calibration Based Shrinkage – Revisited for the Construction of Prognostic Indices

The use of shrinkage methods for the construction of prognostic indices has been paid increasing attention in the literature on medical statistics in the last years. One approach for the construction of a shrinkage factor is cross validation calibration as suggested by van H ouwelingen and le C essie (1990). We investigate this approach in more detail. First we try to clarify why shrinkage factors constructed by cross validation calibration tend to be smaller than 1. Second we explain why use of this shrinkage factor can result in an improvement of the average prediction error. Third we investigate the possible gain for constellations relevant in medical research by means of a simulation study, focusing on the dilemma, that the improvement on average has to be paid by distinct deteriorations for some patients. Finally we conclude that it is necessary to rethink the choice of loss functions in constructing prognostic indices before recommendations about the use of shrinkage methods can be made.     

Books Reviewed

Books reviewed:
Singer, S. Fred. Hot Talk Cold Science: Global Warming's Unfinished Debate
Hogg, Dominic, ed. Technological Change in Agriculture: Locking in to Genetic Uniformity
Ingersent, Ken A., and A. J. Rayner. Agricultural Policy in Western Europe and the United States
Smil, Vaclav. Feeding the World: A Challenge for the Twenty-First Century
Yang, Yongzheng and Tian, Weiming, eds. China's Agriculture at the Crossroad
Lal, Deepak. Unintended Consequences: The Impact of Factor Endowments, Culture, and Politics on Long-Run Economic Performance
Opschoor, J(Hans). B., Kenneth Button, and Peter Nijkamp, eds. Environmental Economics and Development
Hamilton, James T., and W. Kip Viscusi. Calculating Risks? The Spatial and Political Dimensions of Hazardous Waste Policy     

Dynamic supply chain network design with capacity planning and multi-period pricing

This paper addresses a new problem in designing and planning a multi-echelon and multi-product supply chain network over a multi-period horizon in which customer zones have price-sensitive demands. Based on price-demand relationships, a generic method is presented to obtain price levels for products and then, a mixed-integer linear programming model is developed. Due to the problem intractability, a simulated annealing algorithm that uses some developed linear relaxation-based heuristics for capacity planning and pricing is presented. Numerical results demonstrate the significance of the model as well as the efficiency of the solution algorithm and linear relaxation-based heuristics.     

FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL

We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill‐posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range log volatility. For this object and the nonlimiting object, we obtain precise prediction formulas and we apply them to the problem of forecasting volatility and pricing options with the MRW model in the absence of a reliable estimate of σ and T.     

Induced innovation and land degradation: Results from a bioeconomic model of a village in West Africa

This paper introduces a modeling method which simulates a village's response to population and market pressure. The method combines a recursive and dynamic linear programming model with a biophysical model of soil condition and plant growth that predicts yields and land degradation for different type of land, land use and cropping patterns. The linear programming model simulates farmers' plans aggregated at the village level under constraints of risk aversion, food consumption, land area, soil fertility, soil depth, labor and cash availability. Detailed agroecological factors determine Ihe main processes of land degradation. A large number of technological alternatives, representing different degrees of labor and/or land-saving techniques available in the study areas, are introduced, taking into account their respective constraints, costs and advantages. The method has been calibrated for a village located in the sub-humid region of Burkina Faso. Several simulations are carried out to the Year 2030. The results show that population pressure leads to intensification and investment in land conservation practices out not necessarily to better farm incomes. Increasing market opportunities can play a more positive role in boosting productivity, but for the next decades the best way to increase production per farmer is to let farmers migrate from the high-population-density areas to the low-population-density areas because, under the current economic conditions of most Sahelian countries, intensification per hectare is stil more expensive than the fallow system.     

拓扑概念与极限

本文通过泛函分析中的实例,建立拓扑的概念,能比较直观地加深对拓扑的实质及极限的理解。