Organization of production in a competitive economy

In the present paper we introduce a general equilibrium model of the organization of production and analyze the optimality and existence of an equilibrium. We introduce the production technology of the economy as a collection of production processes and allow each potential producer to choose the production processes to operate. We model organization and transaction costs by means of an organizational technology that determines the production set of a producer as a function of the production processes that the producer chooses to operate. For a competitive economy, we show the equilibrium organization of production is optimal and then prove a general existence theorem for an atomless economy.     

Differentiable Technology,the Curvature of the Profit Function,and the Response of Supply to Own-Price Changes

The author establishes a property of supply for a competitive firm: Assuming differentiability of the production frontier, linearly independent price vectors have disjoint image sets under the supply mapping. This property supports the main results. First, the author drew a simple proof of McFadden's proposition that differentiability of the production frontier is necessary and sufficient for strict quasiconvexity of the profit function. This proposition rules out linearity of the profit function on any subset of price domain, in turn ruling out supply and input- demand functions that are constant and have zero values for all price effects. Second, for discrete price changes, own-price effects in supply are strictly positive, assuming a differentiable technology. In this context, strict convexity of the production set is irrelevant. The author indicates implications for cost and demand theory.     

企业年金资产负债匹配管理研究

本文引入一个久期匹配、凸性匹配和现金流匹配的模型,以研究资产负债管理中的利率免疫策略,计算了中国国债的Fisher-Weil久期和凸性。主要结论和启示如下:如果债券到期日过长,Fisher-Weil久期和Macaulay久期之间会存在显著差异。与企业年金的负债久期相比,大多数中国国债的资产久期较短。     

债券投资利率风险管理研究

我国的债券市场开始于20世纪80年代,随着债券品种的逐渐完善以及利率市场化改革的进一步深入,债券投资的利率风险已成为投资者所面临的最主要的市场风险。因此,当前对债券市场中的利率风险进行衡量与规避便具有了重要的理论意义和实践价值。具体分析了债券投资中利率风险规避的基本工具——久期与凸性,并对久期与凸性的特性与运用进行分析,帮助投资者对这两种工具有一个感性的认识。     

Duration and convexity in commercial property lease management

Summary

This paper examines the application of portfolio immunization strategies to leasehold real estate investments. It illustrates how measures such as duration and convexity can be used to improve the management of property portfolios and it also shows how the application of these statistical techniques can make more explicit the comparison of property assets with other investment media.