RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES

We propose a stable nonparametric algorithm for the calibration of “top‐down” pricing models for portfolio credit derivatives: given a set of observations of market spreads for collateralized debt obligation (CDO) tranches, we construct a risk‐neutral default intensity process for the portfolio underlying the CDO which matches these observations, by looking for the risk‐neutral loss process “closest” to a prior loss process, verifying the calibration constraints. We formalize the problem in terms of minimization of relative entropy with respect to the prior under calibration constraints and use convex duality methods to solve the problem: the dual problem is shown to be an intensity control problem, characterized in terms of a Hamilton–Jacobi system of differential equations, for which we present an analytical solution. Given a set of observed CDO tranche spreads, our method allows to construct a default intensity process which leads to tranche spreads consistent with the observations. We illustrate our method on ITRAXX index data: our results reveal strong evidence for the dependence of loss transitions rates on the previous number of defaults, and offer quantitative evidence for contagion effects in the (risk‐neutral) loss process.     

INEQUALITY COMPARISONS IN A MULTI‐PERIOD FRAMEWORK: THE ROLE OF ALTERNATIVE WELFARE METRICS

This paper considers the use of alternative welfare metrics in evaluations of income inequality in a multi‐period context. Using Norwegian longitudinal income data, it is found, as in many studies, that inequality is lower when each individual's annual average income is used as welfare metric, compared with the use of a single‐period accounting framework. However, this result does not necessarily hold when aversion to income fluctuations is introduced. Furthermore, when actual incomes are replaced by expected incomes (conditional on an initial period), using a model of income dynamics, higher values of inequality over longer periods are typically found, although comparisons depend on inequality and variability aversion parameters. The results are strongly influenced by the observed high degree of systematic regression toward the (geometric) mean, combined with a large extent of individual unexpected effects.     

相对付出优势对忠诚计划参与意愿的影响效应

本文研究了顾客为获得忠诚计划回报需付出的努力与顾客的参与意愿之间的关系。根据社会比较理论，顾客会以自己与其他顾客的比较结果作为线索，评价在此计划上的相对付出，并根据比较结果决定参与意愿。本文通过三个实验，分别操纵被试的个人努力、其他顾客的参考努力、以隐性方式操纵其他顾客的参考努力等三种情境，来验证以上命题。研究结果发现：（1）顾客考虑是否参与忠诚计划时，会根据与其他顾客比较的相对付出努力作为参考做出决策；（2）当存在相对付出优势时（个人努力〈参考努力），高的回报标准反而能提高顾客的参与意愿；（3）当存在相对付出劣势时（个人努力〉参考努力），高的回报标准削弱了顾客的参与意愿。     

ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES

In this paper, we introduce a new approach for finding robust portfolios when there is model uncertainty. It differs from the usual worst‐case approach in that a (dynamic) portfolio is evaluated not only by its performance when there is an adversarial opponent (“nature”), but also by its performance relative to a stochastic benchmark. The benchmark corresponds to the wealth of a fictitious benchmark investor who invests optimally given knowledge of the model chosen by nature, so in this regard, our objective has the flavor of min–max regret. This relative performance approach has several important properties: (i) optimal portfolios seek to perform well over the entire range of models and not just the worst case, and hence are less pessimistic than those obtained from the usual worst‐case approach; (ii) the dynamic problem reduces to a convex static optimization problem under reasonable choices of the benchmark portfolio for important classes of models including ambiguous jump‐diffusions; and (iii) this static problem is dual to a Bayesian version of a single period asset allocation problem where the prior on the unknown parameters (for the dual problem) correspond to the Lagrange multipliers in this duality relationship. This dual static problem can be interpreted as a less pessimistic alternative to the single period worst‐case Markowitz problem. More generally, this duality suggests that learning and robustness are closely related when benchmarked objectives are used.     

The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

Let χ be a family of stochastic processes on a given filtered probability space (Ω, F, (F_t)_t∈T, P) with T?R₊. Under the assumption that the set M_e of equivalent martingale measures for χ is not empty, we give sufficient conditions for the existence of a unique equivalent martingale measure that minimizes the relative entropy, with respect to P, in the class of martingale measures. We then provide the characterization of the density of the minimal entropy martingale measure, which suggests the equivalence between the maximization of expected exponential utility and the minimization of the relative entropy.     

Output-Inflation Trade-Off at Near-Zero Inflation Rates

The purpose of this paper is to provide new evidence about the cost of near-zero inflation using Japanese data. We test the hypothesis that the short-run Phillips curve becomes flatter as the rate of inflation approaches zero. In implementing the test, we pay special attention to how to control for other factors affecting the rate of inflation. First, we use the skewness of the distribution of relative-price changes as a measure of supply shocks. Second, we use information contained in the cross-prefecture Phillips curve to control for changes in the expected rate of inflation. Through a series of empirical analyses, we find evidences consistent with the hypothesis. In particular, we find that the estimated slope in the 1990s is smaller than before. J. Japan. Int. Econ., December 2000, 14(4), pp. 304–326. Research and Statistics Department, Bank of Japan and Institute of Economic Research, Hitotsubashi University. Copyright 2000 Academic Press.Journal of Economic Literature Classification Numbers: E31, E50     

陕西省城乡居民收入差距的实证分析

自1981～2005年的25年间,以5年为一个考察期,对陕西省城乡居民平均绝对收入差距、平均相对收入差距进行考察和分析,发现在5个考察期中,陕西城乡居民平均绝对收入差距呈现指数增长的趋势,平均相对收入差距也在不断的上升。笔者认为只有不断对二元制度进行一元化改革和调整,以及在对农业方面进行持续和力度足够投资的基础上,才能在根本上缩小陕西城乡居民收入差距,缓解由城乡收入差距带来的各种社会矛盾,从而有利于和谐陕西早日实现。     

The RAS Approach in Updating Input–Output Matrices: An Instrumental Variable Interpretation and Analysis of Structural Change

The main purposes of the paper are to reconsider the rationale of the RAS method, and to attempt to improve on its interpretation and usefulness. The substitution and fabrication factors in the RAS method are interpreted as statistical estimates obtained by the method of instrumental variables. This enables the computation of asymptotic standard errors for the factors and the relative precision of the predicted technical coefficients. Furthermore, an adjustment cost minimization model to describe how a sector determines its substitution and fabrication factors is presented. The solutions of the model provide another rationale for the RAS method, and the associated Lagrangian multipliers can be useful for assessing structural constraints and structural change.     

万家寨引黄工程联接段抗冻混凝土配合比的试验研究

原材料的好坏直接影响到混凝土的抗冻性能的好坏，一定要选用抗冻性好的水泥及砂石骨料；外加剂和掺合料的合理选用除了能改善混凝土的和易性、降低用水量、降低水胶(灰)比外，还能显著提高混凝土的抗冻性能。抗冻混凝土配合比的设计既要考虑到充分发挥外加剂及掺合料的功效，还要考虑到在满足强度的同时保证其混凝土抗冻性能的要求。     

Non-convex optimal portfolio sets and constant relative risk aversion

This paper shows by example that, under constant relative risk aversion (CRRA), the set of optimal portfolios can be non-convex even in the presence of a complete set of Arrow-Debreu securities. This implies that, with exclusively CRRA investors, market models without a strong distributional assumption such as that of the capital asset pricing model cannot be tested by testing the optimality of the market portfolio, or by assuming a representative investor. This demonstration extends the key result of Dybvig and Ross [Dybvig, P. H., & Ross S. A. (1982). Portfolio efficient sets. Econometrica, 50, 1525–1546], who showed an example of non-convexity with less restrictive utility assumptions but which could not apply to the case of a complete set of Arrow-Debreu securities.