Competitive equilibrium on risk exchanges: A constrained market approach

This paper concerns competitive equilibria on a market for risk exchanges (rex). Initially a short resume is offered of some fundamental results obtained in this field and essentially due to K. Borch. Much attention is devoted to the key question that equilibria could be seen as generated by a market working for contingent coverings (shortly an analytic approach) or by a simpler market for risks governed by a synthetic premium principle. The idea of rex markets constrained both on the quantity side as well as for the tarification system applied is then introduced as a useful tool to study e.g. markets where unconstrained equilibria turn out too complex. Finally an example of a non-traditional constrained market is briefly discussed.     

Advertising in a Differential Oligopoly Game

We illustrate a differential oligopoly game where firms compete à la Cournot in homogeneous goods in the market phase and invest in advertising activities aimed at increasing the consumers reservation price. Such investments produce external effects, characterizing the advertising activity as a public good. We derive the open-loop and closed-loop Nash equilibria, and show that the properties of the equilibria depend on the curvature of the market demand function. The comparative assessment of these equilibria shows that the firms advertising efforts are larger in the open-loop equilibrium than in the closed-loop equilibrium. We also show that a cartel involving all the firms, setting both output levels and advertising efforts, may produce a steady state where the social welfare level is higher than the social welfare levels associated with both open-loop and closed-loop noncooperative settings.     

Nash equilibrium in a pay-as-bid electricity market: Part 1 – existence and characterization

We consider a model of a pay-as-bid electricity market based on a multi-leader-common-follower approach where the producers as leaders are at the upper level and the regulator as a common follower is at the lower level. We fully characterize Nash equilibria for this model by describing necessary and sufficient conditions for their existence as well as providing explicit formulas of such equilibria in the market.     

一个非瓦尔拉斯均衡蛛网模型及其随机模型的研究

建立一个考虑到市场效率因素的非线性非瓦尔拉斯均衡蛛网模型。在确定与非确定两种情形下对其研究分析．模型的均衡特征分析表明,现实市场具有四种可能情形的均衡,一种传统的瓦尔拉斯意义下的均衡和三种非瓦尔拉斯均衡．无论在确定的还是在非确定的市场中,在一定条件和一定收敛意义下,市场价格都可以稳定到市场的均衡价格,从而把市场推向这四种可能的均衡之一     

Nash equilibria in optimal reinsurance bargaining

We introduce a strategic behavior in reinsurance bilateral transactions, where agents choose the risk preferences they will appear to have in the transaction. Within a wide class of risk measures, we identify agents’ strategic choices to a range of risk aversion coefficients. It is shown that at the strictly beneficial Nash equilibria, agents appear homogeneous with respect to their risk preferences. While the game does not cause any loss of total welfare gain, its allocation between agents is heavily affected by the agents’ strategic behavior. This allocation is reflected in the reinsurance premium, while the insurance indemnity remains the same in all strictly beneficial Nash equilibria. Furthermore, the effect of agents’ bargaining power vanishes through the game procedure and the agent who gets more welfare gain is the one who has an advantage in choosing the common risk aversion at the equilibrium.     

Liquidity risks on power exchanges: a generalized Nash equilibrium model

The extreme volatility of electricity prices makes their financial derivatives important instruments for asset managers. Even if the volume of derivative contracts traded on Power Exchanges has been growing since the inception of the restructuring of the sector, electricity remains considerably less liquid than other commodity markets. This paper assesses the effect of limited liquidity in power exchanges using an equilibrium model where agents cannot hedge up to their desired level. Mathematically, the problem is formulated as a two stage stochastic Generalized Nash Equilibrium with possibly multiple equilibria. Computing a large panel of solutions, we show how the risk premium and players profits are affected by illiquidity. We also show that the illiquidity in the FTR market affects the trades in the electricity futures market.     

过度自信与风险溢价研究

非理性投资者的心理会影响风险溢价。本文基于投资者的过度自信心理偏差构建了证券投资的理性风险溢价度量模型、非理性风险溢价度量模型,并利用理性投资者和非理性投资者的相互作用,构建了证券投资的市场风险溢价度量模型,研究了非理性风险溢价对理性风险溢价和市场风险溢价的偏离问题。研究结论表明:非理性风险溢价偏离市场风险溢价的程度依赖于非理性投资者的市场价值权重。     

On participation games with complete information

We analyze a class of two-candidate voter participation games under complete information that encompasses as special cases certain public good provision games. We characterize the Nash equilibria of these games as stationary points of a non-linear programming problem, the objective function of which is a Morse function (onethat does not admit degenerate critical points) for almost all costs of participation. We use this fact to establish that, outside a closed set of measure zero of participation costs, all equilibria of these games are regular (an alternative to the result of De Sinopoli and Iannantuoni in Econ Theory 25(2):477–486, 2005). One consequence of regularity is that the equilibria of these games are robust to the introduction of (mild) incomplete information. Finally, we establish the existence of monotone Nash equilibria, such that players with higher participation cost abstain with (weakly) higher probability.      

An advertising game with multiplicative interference

Two competing manufacturers provide a homogeneous market with substitutable products and want to maximize their profits. Each firm may advertise its brand, with a positive effect on its own brand and negative on the competitor's one. Moreover, each firm may choose an advertising medium to use among several available media. We assume that the advertising effect on demand is mediated by the goodwill variable and that a competitor's interference may be represented as a proportional reduction of the virtual goodwill. We model the manufacturers' problem as a noncooperative game under complete information and discuss the existence and features of its Nash equilibria.     

On risk averse competitive equilibrium

We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to social planning models, we show by example that risked equilibria are not unique, even when agents’ objective functions are strictly concave. We also show that standard computational methods find only a subset of the equilibria, even with multiple starting points.     

On the uniqueness of Bertrand equilibrium

We introduce product differentiation in the model of price competition with strictly convex costs in which firms have to supply all of the forthcoming demand. We find that although a continuum of equilibria exists in a homogeneous product market, the competitive price equilibrium is the only robust one. Specifically, as long as the equilibrium correspondence is nonempty, the equilibrium price converges to the competitive price when the degree of product differentiation shrinks to zero.     

Stationary and nonstationary strategies in Hotelling's model of spatial competition with repeated pricing decisions

This paper examines Hotelling's model of location with linear transportation cost. Existence of pure strategy subgame perfect equilibria in the infinitely repeated price game with fixed locations is proved. These subgame perfect equilibria have a stick and carrot structure. Given firm locations, there are discount factors sufficiently high that there is a subgame perfect equilibrium with a two-phase structure. Given the discount factors, there are stationary subgame perfect equilibria for a wide range of locations. However, for some pairs of location, no symmetric simple penal code exists, all subgame perfect profiles are nonstationary, and there is only one seller in the market in infinitely many periods. Received July 1996/Final version May 1998     

Equi-well-posed games

In this paper, the notion of equi-well-posed optimization problem as studied by Dontchev and Zolezzi, (Ref. 1) is extended to noncooperative games. Some existence theorems for Berge and Nash equilibria are obtained. Under some invariance properties, the existence of Berge equilibria which are also Nash equilibria points is studied.     

On Nikaido-Isoda type theorems for discounted stochastic games

We present a class of countable state space stochastic games with discontinuous payoff functions satisfying some assumptions similar to the ones of Nikaido and Isoda for one-stage games. We prove that these games possess stationary equilibria. We show that after adding some concavity assumptions these equilibria are nonrandomized. Further, we present an example of input (or production) dynamic game satisfying the assumptions of our model. We give a closed-form solution for this game.     

跳扩散条件下波动率风险溢价及影响因素研究——基于上证50 ETF期权市场的实证

本文采用上证50 ETF及其期权交易数据,运用SVCJ模型、MCMC及傅里叶变换等方法,从P测度及Q测度中提取波动率风险溢价,并分析了其时变特征及影响因素。实证研究表明:SVCJ模型相较于SV模型及SVJ模型具有更好的市场拟合优度;傅里叶变换法能提高波动率风险溢价的估计效率;波动率风险溢价具有时变特征,在市场急剧动荡时期,波动率风险溢价基本为负,投资者厌恶波动风险,购买期权对冲波动风险的意愿较高;在市场非急剧动荡时期,波动率风险溢价基本为正,投资者偏好波动风险,购买期权对冲波动风险的意愿较低;市场收益率、波动率、换手率及投资者情绪对波动率风险溢价具有显著的影响。     

一般均衡下基于产品市场和资本市场的单名CDS定价

次贷危机呼吁新的信用衍生品定价模型, 因此为存在产品市场和资本市场的经济结构建立一般均衡的单名CDS定价模型, 使用最优化求解一般均衡下的商品价格和CDS价格. 可以发现一般均衡的CDS定价具有资本市场和产品市场的因素, 这表示CDS的价格不再是由单纯的资本市场因素决定的, 而是由无风险利率、资本产出弹性、违约率、回收率同时决定的. 通过数量约束用模拟的方式研究多个均衡的动态变化, 发现违约风险的增加使得价格剧烈波动且市场交易萎缩. 在为以中国工商银行为参考资产的CDS定价过程中, 发现各种因素在不同的时期都可能成为定价的主要影响因素. 可以发现, 次贷危机的定价体系存在着信用调整问题和定价与实体经济脱节的问题. 可以认为, 一般均衡下基于产品市场和资本市场的单名CDS定价可以囊括多个市场的交叉影响, 为衍生品定价提供一个新的方向.     

Asymptotic behavior in chemical reaction-diffusion systems with boundary equilibria

We consider the asymptotic behavior for large time of solutions to reaction-diffusion systems modeling reversible chemical reactions. We focus on the case where multiple equilibria exist. In this case, due to the existence of so-called "boundary equilibria", the analysis of the asymptotic behavior is not obvious. The solution is understood in a weak sense as a limit of adequate approximate solutions. We prove that this solution converges in L^1 toward an equilibrium as time goes to infinity and that the convergence is exponential if the limit is strictly positive.     

Continuity and Uniqueness of Equilibria for Linear Exchange Economies

The purpose of this paper is to study the continuity and uniqueness properties of equilibria for linear exchange economies. We characterize the sets of utility vectors and initial endowments for which the equilibrium price is unique and respectively the set for which the equilibrium allocation is unique. We show that the equilibrium allocation correspondence is continuous with respect to the initial endowments and we characterize the set of full measure where the equilibrium allocation correspondence with respect to the initial endowments and utility vectors is continuous.     

投资者注意的风险补偿对股市回报的预测

利用历史累积交易金额数据,本文构造了中国股票市场增量注意风险补偿和存量注意风险补偿,并检验其对中国股票市场收益率的预测能力。样本外检验结果显示,以上两种注意风险补偿均能显著预测下个月中国股市的超额收益率,其R²分别达到了2.68%和2.50%;与中国股票市场中其他预测变量相对比,增量注意和存量注意风险补偿表现出更强的预测能力。此外,基于不同的样本外检验期、不同的风险厌恶参数以及五种不同的变量构造方式,投资者注意风险补偿均产生显著的预测能力。围绕着经济周期波动,本文对注意风险补偿的预测能力进行了解释,同时还发现,相较于经济衰退期间,经济繁荣期间的投资者注意风险补偿样本外预测能力更强。     

A two-population game in observable double-ended queuing systems

In this study, the existing game theoretical framework is extended to strategic queuing in search of solutions for a two-population game in observable double-ended queuing systems with zero matching times. We show that multiple Nash equilibria and one unique subgame perfect Nash equilibrium exist in this game.