On estimating the mean of the selected normal population under the LINEX loss function

Following Parsian and Farsipour (1999), we consider the problem of estimating the mean of the selected normal population, from two normal populations with unknown means and common known variance, under the LINEX loss function. Some admissibility results for a subclass of equivariant estimators are derived and a sufficient condition for the inadmissibility of an arbitrary equivariant estimator is provided. As a consequence, several of the estimators proposed by Parsian and Farsipour (1999) are shown to be inadmissible and better estimators are obtained. Received January 2001/Revised May 2002     

VIX期权定价与校正

VIX期权作为波动率衍生品能为金融机构提供有效的市场风险对冲工具。文献中对VIX期权定价的实证分析误差都很大,原因在于模型的选取误差以及校正方法和样本选取不妥。通过在VIX模型中加入均值回复因素和跳因素,可以使VIX过程更加合理,也可以使VIX期权定价精度更高。通过对VIX期权市场中间报价进行校正,得到了4个文献模型的参数估计,并比较4个模型的定价精度和正向隐含波动率偏斜拟合效果。     

VERTICAL DIFFERENTIATION AND THE DISTRIBUTION OF INCOME

The paper analyses the effects of income concentration on the behaviour of a duopoly with vertical product differentiation and uncovered market. By using a trapezoid distribution, we solve explicitly for market equilibrium as a function of a mean preserving spread of the income distribution. We show that overall more concentrated incomes imply stronger product differentiation, as the presence of a large share of middle‐income consumers stimulates a price competition, whose effects are dampened through an enlargement of the quality spread. While the high‐quality advantage and market coverage increase unambiguously in the degree of income concentration, the behaviour of prices is non‐monotone in the distribution parameter.     

Non-permutation flowshop scheduling in a supply chain with sequence-dependent setup times

In this paper, we consider a flowshop scheduling problem with sequence-dependent setup times and a bicriteria objective to minimize the work-in-process inventory for the producer and to maximize the customers' service level. The use of a bicriteria objective is motivated by the fact that successful companies in today's environment not only try to minimize their own cost but also try to fulfill their customers' need. Two main approaches, permutation and non-permutation schedules, are considered in finding the optimal schedule for a flowshop. In permutation schedules the sequence of jobs remains the same on all machines whereas in non-permutation schedule, jobs can have different sequence on different machines. A linear mathematical model for solving the non-permutation flowshop is developed to comply with all of the operational constraints commonly encountered in the industry, including dynamic machine availabilities, dynamic job releases, and the possibility of jobs skipping one or more machines, should their operational requirements deem that it was necessary. As the model is shown to be NP-hard, a metasearch heuristic, employing a newly developed concept known as the Tabu search with embedded progressive perturbation (TSEPP) is developed to solve, in particular, industry-size problems efficiently. The effectiveness and efficiency of the search algorithm are assessed by comparing the search algorithmic solutions with that of the optimal solutions obtained from CPLEX in solvable small problem instances.     

Mean Reversion in the Short Horizon Returns of UK Portfolios

This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976–1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample.     

从经济政策到社会政策：征地制度变迁解释

研究目的：对中国征地制度改革进行回顾分析,梳理总结征地制度改革路径,并依此设计未来征地制度改革方向。研究方法：基于文献和政策梳理的制度变迁研究。研究结果：在国家工业化城镇化背景下观察征地制度演进的路径,征地制度改革与国家对城乡关系的认识、国家经济社会发展背景密切相关。中国征地制度改革是一种渐进式的改革,征收范围和补偿安置的变化都呈现出渐进式特点。征地制度改革关注的问题逐渐从注重货币补偿等经济领域过渡到注重住房、社保安置及程序公正等社会领域。研究结论：未来征地制度改革方向应以促进经济与社会协调发展、促进实现公平正义为价值取向。对土地征收区分不同项目类型进行分类设计,在公共利益的审定中发挥地方人大的作用。     

Predicting the sample mean by extreme order statistics

Summary This paper considers the prediction of the sample mean by extreme order statistics when the population distribution is known. The predictor and its mean square error are found. The problem is studied in details for the normal model.     

Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

This paper solves numerically the intertemporalconsumption and portfolio choiceproblem of an infinitely-lived investor whofaces a time-varying equity premium.The solutions we obtain are very similarto the approximate analytical solutionsof Campbell and Viceira (1999), except atthe upper extreme of the state spacewhere both the numerical consumption andportfolio rules flatten out.We also consider a constrained version ofthe problem in which the investor facesborrowing and short-sales restrictions.These constraints bind when the equitypremium moves away from its mean in eitherdirection, and are particularly severe forrisk-tolerant investors. The constraints havesubstantial effects on optimalconsumption, but much more modest effects onoptimal portfolio choice in theregion of the state space where they are notbinding.     

民营企业跨国经营的渐进式发展模式选择——以华为为例

在经济全球化的影响下,我国民营企业实施跨国经营,但由于我国民营企业跨国经营起步晚,其规模还不够完善,面临着许多问题,所以选择渐进式模式,本文就以我国民营企业跨国经营做出研究,什么是渐进式跨国经营模式,为什么要选择渐进式模式,如何实现渐进式模式。为我国民营企业跨国经营做出更好的建议。     

一种针对压缩域信号的新型锁相环技术

针对通信信号压缩采样获得的压缩域信号频率、相位提取问题,提出了一种基于压缩感知的新型锁相环技术。通过深入研究压缩域的信号估计问题,提出了压缩域锁相环路,可以直接在压缩域同步跟踪信号频率和相位变化,不再需要高复杂度的信号重构处理。分析了环路模型及其估计性能,并针对该锁相环可行性和性能分别进行了仿真实验。仿真结果不仅验证了压缩域锁相环的可行性,同时表明该环路能够实现高动态信号的高精度频率提取。压缩域锁相环的应用潜力较大,例如可以作为压缩感知通信接收机的同步解调方法。