A minimal complete class theorem for decision problems where the parameter space contains only finitely many points

In this note we show that the class of stepwise Bayes procedures, suitable defined, forms the minimal complete class for decision problems where the parameter contains only finitely many points. Beyond the assumption on the parameter space, the result is quite general and extends some earlier results.Research supported in part by NSF grant DMS-8911548-01     

From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes

In this article, we will consider a multi-dimensional geometric L'evy process as a financial market model. We will first determine the minimal entropy martingale measure (MEMM); we will next derive the optimal strategy for the exponential utility maximization of terminal wealth concretely from the representation of the MEMM. JEL Classification: D46, D52, G12 AMS (2000) Subject Classification: 60G44, 60G51, 60G52,60H20, 60J75, 91B16, 91B28, 94A17     

Queueing problems with two parallel servers

Agents are waiting for their jobs to be processed at a service facility. All agents need the same processing time but have different waiting costs per unit of time. The facility has two parallel servers and can serve two agents at a time. We are interested in finding the order in which to serve agents and the (positive or negative) monetary transfers they should receive. We introduce two rules, the "minimal transfer rule" and the "maximal transfer rule". We show that they correspond to the Shapley (1953) values of associated queueing games, for two alternative definitions of the worth of a coalition. The two-server queueing games correspond to the games similarly defined by Maniquet (2003) and Chun (2006a) for one server. If the worth of a coalition is defined by assuming that the coalitional members are served before the non-coalitional members, then the minimal transfer rule is obtained. If it is defined by assuming that the coalitional members are served after the non-coalitional members, then the maximal transfer rule is obtained.     

Hedging American Options in Merton's Model: A Locally Risk Minimizing Approach

An interesting problem, related to American options in incomplete markets, is the possibility to select a preferable equivalent martingale measure in order to compute the prices. With this in mind, we consider a particular option that may be viewed as a finite collection of suitable European options and for which the minimal martingale measure permits the minimization of the local risk. Since this option is an approximation of the American put, the stability result presented, concerning the portfolio decomposition, also suggests an argument in favor of the minimal martingale measure in the American case.     

Liberty,equality, and impossibility: some general results in the space of ‘soft’ preferences

This paper is concerned with examining the mutual compatibility of the ethical principles of equity and liberty in a social choice framework of ordinally formulated vague preferences. With sufficiently weakened versions of the liberty and equity principles, one can secure an existence result in a ‘relation‐functional’ setting. However, difficulties tend to re‐appear in a ‘choice‐functional’ setting, when one subscribes to the notion that while preference may be vague, choice must perforce be exact.     

健全我国农村最低生活保障制度的基本思路

当前,我国农村最低生活保障制度建设已全面展开,但由于传统认识偏差、财政投入匮乏、制度建设滞后等原因,导致农村最低生活保障实践中出现了“一大”、“二低”、“三难”等问题。因此,转变传统观念、加大财政投入、加快制度建设是完善我国农村最低生活保障制度的必备因素。     

建筑工程投标报价及其最低成本价的判定

面对入世的新形势，中国的建筑行业将对国际开放，为了提高我国建筑企业的竞争能力，从建筑市场价格竞争的角度，通过对建筑工程招投标，投标报价，特别对工程清单报价的分析，浅议了企业最低成本价判定方法，力图推进合理低标价中标的进程。     

版权法上作品独创性的认定标准

要获得版权保护,作品必须具有独创性,在版权法上简单地说,独创性不是复制原作,而是具备最低限度的创造性。即使是相当简单的作品只要其表达展示了必要的独创性就可获得保护。论述了作品获得版权保护条件之一独创性的标准,并结合美国司法判例分析了几种特殊作品具备独创性认定的条件。     

DISCONTINUOUS ASSET PRICES AND NON-ATTAINABLE CONTINGENT CLAIMS1

The price of a risky asset § is described by a Markov diffusion with jumps. In general there may be many equivalent martingale measures. Contingent claims which depend on the price of § at some time T may not be attainable, and the market may not be complete. However, using a martingale representation result, the local risk-minimizing strategy is explicitly constructed. This in turn provides a new motivation for the concept of the minimal martingale measure.     

[Geometric Lévy Process & MEMM] Pricing Model and Related Estimation Problems

In this article the [Geometric Lévy Process & MEMM] pricingmodel is proposed. This model is an option pricing model for theincomplete markets, and this model is based on the assumptions that theprice processes are geometric Lévy processes and that the pricesof the options are determined by the minimal relative entropy methods.This model has many good points. For example, the theoretical part ofthe model is contained in the framework of the theory of Lévyprocess (additive process). In fact the price process is also aLévy process (with changed Lévy measure) under the minimalrelative entropy martingale measure (MEMM), and so the calculation ofthe prices of options are reduced to the computation of functionals ofLévy process. In previous papers, we have investigated thesemodels in the case of jump type geometric Lévy processes. In thispaper we extend the previous results for more general type of geometricLévy processes. In order to apply this model to real optionpricing problems, we have to estimate the price process of theunderlying asset. This problem is reduced to the estimation problem ofthe characteristic triplet of Lévy processes. We investigate thisproblem in the latter half of the paper.