不完全市场下考虑损失厌恶的连续时间投资组合选择

在不完全市场条件下研究了一般情形下的损失厌恶投资者的连续时间投资组合选择模型. 面对市场风险, 投资者的偏好由一个S-型的价值函数定义. 通过把不完全市场转换为完全市场, 利用鞅方法和复制技术, 分别获得了投资者的最优期末财富以及最优投资策略. 最后讨论了一个分段幂函数的例子, 在模型系数为确定的常数情形下, 得到了最优解的显示表达式.     

最优消费投资的动态经济模型研究(Ⅰ)

本文研究了金融市场上投资者消费效用优化的随机控制问题．设金融市场上有一个局部无风险的资产和ｄ个风险资产,其价格服从连续的Ｉｔｏ模型．在效用折扣过程为有限分段函数情形下,得出了关于目前财富反馈形式的最优消费投资公式．     

最优消费投资的动态经济模型研究（I）

本文研究了金融市场上投资者消费效用优化的随机控制问题。设金融市场上有一个局部无风险的资产和ｄ个风险资产,其价格服从连续的Ｉｔｏ模型。在效用折扣过程为有限分段函数情形下,得出了关于目前财富反馈形式的最优消费投资公式。     

二阶随机占优约束下考虑偏度的投资组合模型

在DentchevaRuszczynski(2006)模型的基础上,考虑偏度对构建投资组合的影响,建立了二阶随机占优约束下最大化组合收益率偏度的投资组合优化模型,并应用分段线性近似方法将模型转化为一个非线性混合整数规划问题.利用中国股票市场的历史数据对所建模型进行了实证分析,结果表明,所建新模型比均值-方差-偏度模型和市场指数具有更稳健的表现.     

分段函数的连续可导性

讨论了分段函数的连续可导性,得到了一个分段函数具有任意阶导数的充分条件,并介绍了一个求分段函数在其分段点处n阶导数的公式     

风险投资分段投资的单合同最优激励模型研究

针对风险投资分段投资存在的道德风险问题,运用委托代理理论,建立了单合同的风险投资家和风险企业家之间的最优激励模型,模型对单合同的最优激励报酬进行了优化,并给出了风险投资的最优合同安排和最优退出时机,使风险投资家和风险企业家博弈达到均衡状态.最后,给出了一个简单算例.     

分段双加权伪概周期函数及其分解唯一性

介绍了分段双加权伪概周期函数的概念.分段双加权伪概周期函数可以看做是分段加权伪概周期函数的推广也可以认为是双加权伪概周期函数的推广.首先给出分段双加权伪概周期函数的概念,然后介绍几个分段双加权伪概周期函数的几个性质:分解唯一性,分段双加权遍历空间的平移不变性.     

分段函数的分类及分离型分段函数与初等函数之间的关系

将分段函数划分为连结型分段函数 ,分离型分段函数和它们的组合形式三种类型 ,得到了分离型分段函数是初等函数的充分必要条件 ,完整地解决了分离型分段函数与初等函数之间的关系 ,并且给出了初等函数在其任一截取集上的限制函数 (截取函数 )仍然是初等函数的结果     

随机微分方程理论在经济建模中的应用研究

考虑投资者参与证券投资及消费．由于证券、价格的变动趋势受诸多因素的影响，显示出价格很不稳定．用随机微分方程来刻划证券价格的变动趋势是合理的．Ｋａｒａｔｚａｓ等人在［１］中研究了最优消费与投资的一般特性，而且在模型参数为常系数假设下给出了反馈形式的最优消费与投资公式．但模型系数都为常值的假设在实际应用中显然有很大的局限性．为此，本文就β（ｔ）为有限分段函数情形推广了Ｋａｒａｔｚａｓ等人的结果．所得结论比Ｋａｒａｔｚａｓ［１］所得结论更具有应用价值．     

分段函数的分类及分离型分段函数与初等函数之间的关系

将分段函数划分为连结型分段函数，分离型分段函数和它们的组合形式三种类型，得到了分离型分段函数是初池数的充分必要条件，完整地解决了分离型分段函数与初等函数之间的关系，并且给出了初等函数在其行一截取集上的限制函数（截取函数）仍然是初等函数的结果。     

An analysis of setup cost reduction in a two stage system

This paper investigates the impact of investing in setup cost reduction in a two stage manufacturing process. Closed form relationships are developed for the cases of investment in primary stage setup cost reduction, investment in finishing stage setup cost reduction, and simultaneous investment in setup cost reduction in both stages. Numerical results are presented which compare each of the models to the basic model. These results indicate that when investment in both stages is feasible, it is most effective to simultaneously invest in setup cost reduction. Failing this, the next best alternative is to invest in setup cost reduction in the finishing stage.     

Uncertainty and stepwise investment

We analyze the optimal investment strategy of a firm that can complete a project either in one stage at a single freely chosen time point or in incremental steps at distinct time points. The presence of economies of scale gives rise to the following trade-off: lumpy investment has a lower total cost, but stepwise investment gives more flexibility by letting the firm choose the timing individually for each stage. Our main question is how uncertainty in market development affects this trade-off. The answer is unambiguous and in contrast with a conventional real-options intuition: higher uncertainty makes the single-stage investment more attractive relative to the more flexible stepwise investment strategy.     

Surplus division and investment incentives in supply chains: A biform-game analysis

In this paper, we use a biform-game approach for analyzing the impact of surplus division in supply chains on investment incentives. In the first stage of the game, firms decide non-cooperatively on investments. In the second stage, the surplus is shared according to the Shapley value. We find that all firms have inefficiently low investment incentives which, however, depend on their position in the supply chain. Cross-subsidies for investment costs can mitigate, but not eliminate the underinvestment problem. Vertical integration between at least some firms.yields efficient investments, but may nevertheless reduce the aggregated payoff of the firms. We show how the size of our effects depends on the structure of the supply chain and the efficiency of the investment technology. Various extensions demonstrate that our results are qualitatively robust.     

An analysis of setup cost reduction in a two stage system with power investment function

Recently, a framework for analyzing investment decisions as they relate to setup cost reduction in two stage production processes has appeared in the literature. Closed form results were developed for the case of logarithmic investment function. This paper extends the results to the case of power investment function. We present an algorithm for calculating the optimal values of the decision variables. A numerical example is utilized to reveal some interesting aspects of this system.     

R&D投资规模的统计规律性研究

徐士钰．Ｒ＆Ｄ投资规模的统计规律性研究．数理统计与管理，１９９８，１７（３），３１～３６．本文应用国家工业化发展阶段理论［１］及基于Ｒ＆Ｄ投资规模须和国家工业化发展水平的需要和可能相适应的认识，把所述发达国家和部分先进的发展中国家在不同工业化发展阶段上Ｒ＆Ｄ投资规模的变化过程，都看成是某一非平稳随机过程的一个实现（样本），并用皮尔（Ｐｅａｒｌ）生长曲线模型近似描述该非平稳随机过程均值的变化规律，结果与现实情况符合程度较高，本文揭示的Ｒ＆Ｄ投资规模的这一统计规律，对于发展中国家及我国在制订宏观科技投资政策时，具有较高的参考价值     

新兴产业两阶段期权规划决策模型

新兴产业中处于横向竞争地位的初创企业,会呈现渐变和突变两种不同的演化状态。不同状态下的横向竞争企业,价值变化都具有高度的不确定性。为了降低投资决策的不确定性风险,获取稳定的投资收益,对处于渐变和突变状态下的初创企业,首先运用期权组合的方法,进行第一阶段的变量预估决策;然后依据期权投资的收益情况,再运用线性规划技术进行第二阶段的补偿优化决策。论文通过阿里巴巴、京东、苹果和诺基亚四家样本公司的数据,检验了两阶段期权规划决策模型的实际效果,结论显示该方法能降低新兴产业投资中的不确定性干扰,在获取稳定收益的同时,使风险处于可控状态。     

海外区域技术平台投资的时机选择模型及实证研究

基于后发企业海外区域技术平台(RTP)投资中“成熟技术产品推广”和“新技术产品开发”两个阶段,本文构建了两阶段实物期权模型。进一步,利用中国制造业对外直接投资(OFDI)的上市公司样本,考察了RTP投资时机选择的决定因素及影响效果。研究发现,第一阶段外生不确定性越低、第二阶段内生不确定性越高、新技术产品项目的增长期权越大,企业越倾向于尽早地RTP投资于海外市场;在两阶段内外生不确定性的不同条件下,RTP投资时机相应地对企业创新增长产生了显著的差异影响。     

Optimization of Multilevel Investments Using Dynamic Programming Based on Fuzzy Cash Flows

Dynamic programming is applicable to any situation where items from several groups must be combined to form an entity, such as a composite investment or a transportation route connecting several districts. The most desirable entity is constructed in stages by forming sub-entities of progressively larger size. At each stage of the development, the sub-entities that are candidates for inclusion in the most desirable entity are retained, and all other sub-entities are discarded. In deterministic dynamic programming, a specification of the current state and current decision is enough to tell us with certainty the new state and costs during the current stage. In many practical problems, these factors may not be known with certainty, even if the current state and decision are known. In this paper, the dynamic programming is applied to the situation where each investment in the set has the following characteristics: the amount to be invested has several possible values, and the rate of return varies with the amount invested. Each sum that may be invested represents a distinct level of investment, and the investment therefore has multiple levels. A fuzzy present worth based dynamic programming approach is used. A numeric example for a multilevel investment with fuzzy geometric cash flows is given. A computer software named FUZDYN is developed for various problems such as alternatives having different lives, different uniform cash flows, and different ranking methods.     

基于跳扩散模型的DC型 养老金时间一致最优投资策略的研究

将养老金投资过程分成财富积累阶段和财富给付阶段,建立了DC型养老金在退休前和退休后个人账户积累额变动的连续时间随机模型.该模型考虑了工资的随机风险因素,并用跳-扩散模型刻画风险资产.以均值-方差准则作为优化目标,运用推广的HJB方程分别得到了退休前和退休后的时间一致最优风险资产投资最优解.最后通过算例及敏感性分析研究了各个因素对风险资产投资的影响.在这些因素中缴费比例、死亡力对风险资产投资比例均有负向影响.     

Two stage linear programming under uncertainty with 0–1 integer first stage variables

Stochastic programs with continuous variables are often solved using a cutting plane method similar to Benders' partitioning algorithm. However, mixed 0–1 integer programs are also solved using a similar procedure along with enumeration. This similarity is exploited in this paper to solve two stage linear programs under uncertainty where the first stage variables are 0–1. Such problems often arise in capital investment. A network investment application is given which includes as a special case a coal transportation problem.