Measuring polarization in preferences

In this paper, we study the measurement of polarization in collective decision making problems with ordinal preferences over alternatives. We argue that polarization can be measured as an aggregation of antagonisms over pairs of alternatives in the society. We propose a measure of this sort and show that it is the only measure satisfying some normatively appealing conditions.     

Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

This paper studies the optimization problem of DC pension plan under mean–variance criterion. The financial market consists of cash, bond and stock. Similar to Guan and Liang (2014), we assume that the instantaneous interest rate is an affine process including the Cox–Ingersoll–Ross (CIR) model and Vasicek model. However, we assume that the expected return of the stock follows a completely different mean-reverting process, which can well display the bear and bull features of the market, and the market price of the stock index is the Ornstein–Uhlenbeck process. The pension manager thus has to undertake the risks of interest rate and market price of stock index. Besides, a special stochastic contribution rate is formulated. The goal of the pension manager is to maximize the expected terminal value and minimize the variance of terminal value. We will use the technique developed by Guan and Liang (2014) to tackle this problem and derive the closed-forms of efficient frontier and strategies. Numerical analysis is given in the end of this paper to show the economic behavior of the efficient frontier and strategies.     

Solvency II reporting: How to interpret funds’ aggregate solvency capital requirement figures

Depending on the current risk exposure of an insurance company, the impact of buying an additional unit of a fund on an insurer’s overall Solvency II capital charges, i.e., the Solvency Capital Requirement (SCR), will differ. We call this impact the fund’s SCR contribution and show in which boundaries it lies if only the fund’s aggregate sub-SCR figures are known but not the risk exposures of the insurance company buying the fund. The upper bound of this range, the worst-case SCR contribution, can be used as a conservative measure to assess funds’ Solvency II risk contributions or to assign them to different Solvency II risk categories. We believe that providing funds’ worst-case SCR contributions can be useful information to insurance companies when screening from a broad investment universe.     

转移支付与地方政府公共支出偏向——基于面板门槛效应的分析

本文利用1994~2007年县级数据,以财政自给率作为门槛变量,基于双重面板门槛模型,分析了我国转移支付与地方公共支出的非线性关系。研究结果表明:转移支付对地方公共支出的影响存在显著的门槛效应;转移支付对基本建设支出和行政管理支出的促进作用都更为显著,在某种程度上强化了地方政府行为选择和公共支出结构的扭曲;我国转移支付对公共支出的影响存在地区差异,转移支付不能有效激励经济欠发达地区提供基本公共服务,因而转移支付制度在一定程度上与基本公共服务均等化目标激励不相容。     

技术创新影响因素的区域差异:以中国30个省份为例的研究

利用中国30个省(直辖市、自治区)的面板数据,对中国技术创新影响因素的区域差异进行了实证分析,不仅研究了地区研发投入对技术创新的影响,还考虑了财政创新支持、金融创新支持、外商投资的技术溢出、地区经济的转轨情况、地区人力资本禀赋等因素的影响作用.实证结果表明,研发投入是地区技术创新的主要推动因素,各个因素对技术创新影响的区域差异明显.     

能源强度变动的多因素分解方法研究

为更加全面、准确地度量影响能源强度变动的因素,在分析相关研究文献的基础上,提出包含产业结构份额、部门能源效率份额和能源结构份额的三因素几何均值能源强度分解模型,该模型不仅能够将能源消费结构对能源强度的影响从产业结构和部门效率份额中分离出来,而且克服了当数据集合中出现零值时,现有处理方法产生较大误差的缺点,提供了一种精度较高的多因素能源强度分解方法.     

不完全信息下基于价格信号的投资博奕模型

在金融市场中,投资者的预期是决定市场走向的重要因素,而机构投资者的资源禀赋与其市场操纵行为的获利之间往往呈现正相关关系.通过描述机构和散户基于价格信号传递的对策过程,建立了一个博弈模型,模型演绎结果在理论上证实了上述经济现实.     

Nonlinear dynamics in a heterogeneous duopoly game with adjusting players and diseconomies of scale

A repeated, discrete time, heterogeneous Cournot duopoly game with bounded rational and adaptive players adjusting the quantities of production is subject of investigation. Linear inverse demand function and quadratic cost functions reflecting decreasing returns to scale are assumed. The game is modeled with a system of two difference equations. Evolution of outputs over time is obtained by iteration of a two dimensional nonlinear map. Existing equilibria and their stability are analyzed. In face of diseconomies of scale, bounded rational and adaptive duopolists are shown to experience a decrease in the latitude of their output adjustment decisions with respect to the market stability compared to constant returns to scale and ceteris paribus. Chaotic dynamics is confirmed to depend mainly on the adjustment behavior of the bounded rational player, who if overshoots leaves the adaptive player with limited opportunities to stabilize the market again, hence industries facing diseconomies of scale are found to be less stable than those with constant marginal costs. Complexity of the dynamical system is examined by means of numerical simulations, where the paper extends the results of other authors who considered analogous games assuming linear cost functions. Intermittent transition to chaos and attractor merging crisis are shown among others.     

On the minimum corridor connection problem and other generalized geometric problems

In this paper we discuss the complexity and approximability of the minimum corridor connection problem where, given a rectilinear decomposition of a rectilinear polygon into “rooms”, one has to find the minimum length tree along the edges of the decomposition such that every room is incident to a vertex of the tree. We show that the problem is strongly NP-hard and give a subexponential time exact algorithm. For the special case when the room connectivity graph is k-outerplanar the algorithm running time becomes cubic. We develop a polynomial time approximation scheme for the case when all rooms are fat and have nearly the same size. When rooms are fat but are of varying size we give a polynomial time constant factor approximation algorithm.     

具有等待者的Kornai-Weibul排队模型的修正与分析

这篇文章首先明确地指出，具有等待的买者的Ｋｏｒｎａｉ－Ｗｅｉｂｕｌ排队模型与没有等待者的Ｋｏｒｎａｉ－Ｗｅｉｂｕｌ排队模型具有相同的纰漏．其次，本文在较自然的条件下严格地证明了修正后的模型存在“正常状态”．研究Ｋｏｒｎａｉ－Ｗｅｉｂｕｌ排队模型理论能够深刻地揭示计划经济的弊端．