基于网络外部性的港口FDI企业与内资港口企业博弈策略研究

将港口服务产品的网络外部性和服务质量水平引入到发货人的效用函数中,通过Hotelling价格竞争模型分析港口FDI企业与内资港口企业的博弈策略行为,分别研究在Nash和Stackelberg博弈条件下,港口服务价格、收益与网络外部性系数、服务质量水平之间的关系.理论研究的结论表明:港口FDI企业与内资港口企业在Stackelberg条件下的最优定价、均衡收益均大于Nash条件下的最优定价、均衡收益;企业最优定价随网络外部性强度线性递减,随服务水平线性递增;企业均衡收益受服务水平和网络外部性强度的影响,呈现出一定的区间变化规律,处于相同港口外部市场环境下,内资港口企业与港口FDI企业的服务策略选择和侧重点不相同.     

马尔可夫链及其在股市分析中的应用

本文运用马尔可夫链理论预测股票价格分析股市,提出了股价运行周期和投资收益的最大化理论,并建立其随机过程模型,使决策的长期效益趋于最优,通过实例检验,证明了此模型的可行性和实用性.     

制冷装置增加夜间运行时间的性能分析

介绍了福建省目前的分时电价政策.基于冷库实例,模拟计算了制冷装置增加夜间运行时间,采用不同蓄冷运行方案的运行费用.结果显示,理想条件下冷库的运行电费可节省47.3%以上,现场调研的某冷库运行电费可减少约31%.根据气象台的逐时气象数据统计,厦门市夜间湿球温度下降1.2～1.8℃.计算表明,制冷装置夜间运行的COP因此比...     

The traveling purchaser problem with stochastic prices: Exact and approximate algorithms

The paper formulates an extension of the traveling purchaser problem where multiple types of commodities are sold at spatially distributed locations with stochastic prices (each following a known probability distribution). A purchaser’s goal is to find the optimal routing and purchasing strategies that minimize the expected total travel and purchasing costs needed to purchase one unit of each commodity. The purchaser reveals the actual commodity price at a seller upon arrival, and then either purchases the commodity at the offered price, or rejects the price and visits a next seller. In this paper, we propose an exact solution algorithm based on dynamic programming, an iterative approximate algorithm that yields bounds for the minimum total expected cost, and a greedy heuristic for fast solutions to large-scale applications. We analyze the characteristics of the problem and test the computational performance of the proposed algorithms. The numerical results show that the approximate and heuristic algorithms yield near-optimum strategies and very good estimates of the minimum total cost.     

EXISTENCE OF STOCHASTIC EQUILIBRIUM WITH INCOMPLETE FINANCIAL MARKETS

This paper analyzes the aritrage-tree security markets and the general equilibrium ex-istence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to puraly financial securities. It isassume that trading takes place in the sequence of spot markets and futures markets for securi-ties payable in units of account. Unlimited short-selling in securities is allowed. Financial markets may be incomplete, some consumption streams may be impossible to obtain by any tradingstrategy. Securities may be individually precluded from trade at arbitrary states and dates. Thesecurity price process is arbitrage-free the dividend process if and only if there exists a stochaticstate price (present value) process : the present value of the security prices at every vertex isthe present value of their dividend and capital values over the set of immediate successors ; thecurrent value of each security at every vertex is the present value of its future dividend streamover all succeeding vertices. The existence of such an equilibrium is proved under the followingcondition: continuous, weakly convex, strictly monotone and complete preferences, strictlypositive endowmenta and dividends processes.     

Capacity competition of make-to-order firms

Two make-to-order firms, each modelled as a single-server queue, compete for a common stream of (potential) customers by setting their service capacities (rates) and service prices. Each customer maximizes her expected return by getting service from a firm or by balking. We completely characterize the Nash equilibrium of the competition.     

基于国际估值准则的A股定价实证分析

尽管金融学理论认为股票的价值是未来无限期预期现金流的一个贴现,但针对国际股市的实证结果显示,股票实际价格很大程度上取决于市场对其未来一两年内的盈利预期等中期基本面因素.近3年里,A股创造的世界罕见的大起大落,引起了社会各界对A股定价是否合理的广泛争论.为此,我们设计了一个相对估值模型,根据国际股市的定价规则来给A股定价.实证结果显示,A股已经从2007年的估值泡沫回落到2008年的合理估值水平.还可以经过进一步地扩展模型讨论单个股票的定价问题.最后,讨论了实证结果的引申含义和一些政策建议.     

Wireless network capacity management: A real options approach

This paper applies financial option valuation methods to new wireless network capacity investment decision timing. In particular, we consider the case of network capacity for cellular telephone service. Given a cluster of base stations (with a certain traffic capacity per base station), we determine when it is optimal to increase capacity for each of the base stations contained in the cluster. We express this in terms of the fraction of total cluster capacity in use, i.e. we calculate the optimal time to upgrade in terms of the ratio of observed usage to existing capacity. We study the optimal decision problem of adding new capacity in the presence of stochastic wireless demand for services. A four factor algorithm is developed, based on a real options formulation. Numerical examples are provided to illustrate various aspects of the model.     

广告分担、价格折扣与供应链的纵向合作广告

研究了生产商和零售商的纵向合作广告问题。分别在广告分担和价格折扣策略下，探讨了双方的均衡结果和利润。当生产商的边际利润较小时，生产商的最优决策是不采取任何一种策略。当生产商的边际利润达到一定范围时，广告分担策略是双方共同的最优选择。而无论在什么样的条件内，价格折扣策略都不会使双方同时满意。为了增加双方的收益，供应链成员应该在广告上集成决策。最后给出了系统集成的可行最优解的范围和Nash讨价还价解。     

收入管理的MMV动态拍卖机制研究

随着互联网上交易的增多,多单位同质产品销售的拍卖机制成为了一个新的研究方向.针对易逝性服务产品的收入管理问题,提出将产品销售分为多个拍卖期的MMV(Multi-period and Multi-unit Vickrey(Auction with Reserve Pricing)动态拍卖机制,给出每期最优拍卖单位数和保留价格的确定方法,证明了最优拍卖单位数分别关于剩余存量和销售时间单增的性质,以及保留价格关于剩余存量的单降性.最后证明MMV机制的每期实际成交价格将高于Vulcano(2002)提出的MSP(Modified Second-Price)机制,根据易逝性服务产品的需求特点得到MMV机制优于MSP机制的结论.