边际效用递减规律的再发现

本文的成果主要体现在两个方面:第一,将时间维度导入效用函数,实现了对边际效用递减规律认识的一次真正的飞跃;第二,将需求在需求要素的层次上进行分解,使边际效用递减规律有了更为准确和牢靠的基础。在这两个成果的基础上,对效用的可测量性、商品的同质性假说等问题进生了前瞻性的探讨。     

孩子教育中的边际效用递减现象分析及对策

边际效用递减是现代西方经济学研究消费者行为时用来解释需求规律的一种理论观点,也是关于消费者行为的一条基本规律。本文将边际效用递减规律引入孩子的教育过程中,揭示了家长的教育行为中所存在的边际效用递减现象。据此提出家长从教育内容上,不要过度的片面的强调物质保障或精神教育,应把物质教育和精神教育进行有机的结合;二是从教育方式上,不要过度的片面的强调批评责骂和鼓励表扬。     

浅析“企业利润最大化”

企业存在的目的就是盈利,确保企业利润是企业生存的绝对必要条件。本文从企业财务目标出发,讨论了"利润最大化"目标的缺陷,并对其进行了修正。在此基础上分析了影响利润的因素,并运用数学方法演算了"利润最大化"的实现途径。     

PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT

We consider the problem of partial hedging of derivative risk in a stochastic volatility environment. It is related to state-dependent utility maximization problems in classical economics. We derive the dual problem from the Legendre transform of the associated Bellman equation and interpret the optimal strategy as the perfect hedging strategy for a modified claim. Under the assumption that volatility is fast mean-reverting and using a singular perturbation analysis, we derive approximate value functions and strategies that are easy to implement and study. The analysis identifies the usual mean historical volatility and the harmonically averaged long-run volatility as important statistics for such optimization problems without further specification of a stochastic volatility model. The approximation can be improved by specifying a model and can be calibrated for the leverage effect from the implied volatility skew. We study the effectiveness of these strategies using simulated stock paths.     

On the role of the utility function in the estimation of preference parameters

Modern economic theory summarizes the main characteristics of individual preferences through a definite set of parameters: risk aversion, prudence, and the elasticity of intertemporal substitution. Despite their importance, the results of the literature devoted to the parameters’ estimation are controversial. This paper highlights the neglected role that may have been played by the constraints that the quantitative definition of the parameters and the utility functions employed impose on the estimation. A number of simulation exercises are presented, which show that the same saving behaviour can be associated with quite different values of the parameters depending on the utility function adopted.     

BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS

We consider a sequence of financial markets that converges weakly in a suitable sense and maximize a behavioral preference functional in each market. For expected concave utilities, it is well known that the maximal expected utilities and the corresponding final positions converge to the corresponding quantities in the limit model. We prove similar results for nonconcave utilities and distorted expectations as employed in behavioral finance, and we illustrate by a counterexample that these results require a stronger notion of convergence of the underlying models compared to the concave utility maximization. We use the results to analyze the stability of behavioral portfolio selection problems and to provide numerically tractable methods to solve such problems in complete continuous‐time models.     

非期望效用理论研究述评

期望效用理论（EUT）出现后,成为主流经济学和管理学中研究不确定性环境下决策活动的理论基础。但近50年特别是最近20多年来,随着行为科学的发展以及实验经济学的崛起且逐步融入主流,与EUT相抵触的经验证据大量涌现,因此其作为不确定性决策活动的理论根基正在被广泛质疑,各学科寻找EUT替代者的努力催生了多种不同的非期望效用理论。本文在对经典期望效用理论批判的基础上,对国外正处于进展中的非期望效用理论文献进行全面回顾和简单评价,以期为国内从事这一领域理论和应用研究的学者提供一些线索和思路。     

A geometric approach to portfolio optimization in models with transaction costs

We consider a continuous-time stochastic optimization problem with infinite horizon, linear dynamics, and cone constraints which includes as a particular case portfolio selection problems under transaction costs for models of stock and currency markets. Using an appropriate geometric formalism we show that the Bellman function is the unique viscosity solution of a HJB equation.Mathematics Subject Classification (1991): 60G44JEL Classification: G13, G11This research was done at Munich University of Technology supported by a Mercator Guest Professorship of the German Science Foundation (Deutsche Forschungsgemeinschaft). The authors also express their thanks to Mark Davis, Steve Shreve, and Michael Taksar for useful discussions concerning the principle of dynamic programming.     

Combining the Effects of OLS and Spread on Futures Hedging: Evidence from the Taiwan Stock Index

Abstract:

This study proposes a dynamic hedge ratio, the combined ordinary least squares spread (COLSS), which combines the hedge ratio of ordinary least squares and the value of spread. Using this dynamic ratio for hedging with futures contracts, one can replace spot risk with spread risk. The COLSS captures not only the long-run equilibrium between spot and futures returns, but also the short-run deviation from equilibrium. The spread is forecast by one-period lagged stock market factors and high-order moments that are estimated by an options model. In the in-sample and out-of-sample tests, the COLSS strategy achieves significant risk reduction and outperforms the alternative models by a large utility improvement.