内部交易者会进行信息共享吗？

在Kyle模型中引入两个异质的内部交易者，利用理论模型推导的方式探讨他们是否会进行信息共享.研究发现在均衡状态下，内部交易者的期望利润是关于信息共享数量的减函数.当两个内部交易者不分享任何信息时，他们的期望利润能达到最大值；内部交易者没有动机进行信息共享.     

消费者偏好驱动的制销供应链利润分配策略

从企业社会责任对消费者偏好的影响入手,运用博弈论的基本思想,对制销供应链中,制造商与分销商一次性博弈的定价和利润分配策略进行了研究,并在此基础上对不同情况下制销双方重复性博弈的均衡结果进行了讨论.结果表明:在两类制销供应链中,联盟定价都是制销双方一次性博弈的唯一纳什均衡结果,且在制销双方商定的利润分配因子的取值范围内双方联盟后所得的利润高于联盟之前;在两类制销供应链中,制造商与分销商坚持联盟定价对双方的长期利润都是最优的.     

Optimal design of profit sharing rates by FFT

This paper addresses the calculation of a fair profit sharing rate for participating policies with a minimum interest rate guaranteed. The bonus credited to policies depends on the performance of a basket of two assets: a stock and a zero coupon bond and on the guarantee. The dynamics of the instantaneous short rates are driven by a Hull and White model, whereas the stocks follow a double exponential jump-diffusion model. The participation level is determined such that the return retained by the insurer is sufficient to hedge the interest rate guaranteed. Given that the return of the total asset is not lognormal, we rely on a Fast Fourier Transform to compute the fair value of bonus and guarantee options.     

Metric Distance Function and Profit: Some Duality Results

In this paper, we intend to establish relations between the way efficiency is measured in the literature on efficiency analysis and the notion of distance in topology. To this effect, we are interested particularly in the Hölder norm concept, providing a duality result based upon the profit function. Along this line, we prove that the Luenberger shortage function and the directional distance function of Chambers, Chung, and Färe appear as special cases of some l _p distance (also called Hölder distance), under the assumption that the production set is convex. Under a weaker assumption (convexity of the input correspondence), we derive a duality result based on the cost function, providing several examples in which the functional form of the production set is specified.     

Sensitivity analysis of the moments of the profit on an Income Protection Policy

The main purpose of this paper is to perform a sensitivity analysis where we quantify and analyse the effects on the mean of the profit on an Income Protection policy and two risk measures of changing the values of the transition intensities. All the calculations carried out are based on a multiple state model for Income Protection proposed in Continuous Mortality Investigation Committee (Continuous Mortality Investigation Reports 1991; 12 ). Within this model, we derive a formula for the mean of the profit, which enables to evaluate it more efficiently. In order to calculate the two risk measures we use the numerical algorithms for the calculation of the moments of the profit proposed by Waters (Insurance: Mathematics and Economics 1990; 9 :101–113). We carry out the sensitivity analysis considering two different situations: in the first situation, we update the premium rates used to calculate the moments of the profit, according to the changes in the values of the transition intensities; in the second one, we do not update the premium rates. Both analyses are of practical interest to insurance companies selling Income Protection policies. Copyright © 2009 John Wiley & Sons, Ltd.     

Holding costs under push or pull conditions - The impact of the Anchor Point

Holding costs are traditionally determined from the investment in physical stock during a cycle. An alternative approach instead derives holding costs from Net Present Value (NPV) functions. It is known that applying both frameworks to the same system can lead to different holding cost valuations, but little explanation has been offered. By introducing the Anchor Point in a model, this paper shows, for four different systems, that traditional holding cost models (implicitly) assume pull conditions, while current NPV approaches model push conditions. This explains in part the differences between the methods. It is shown that the Anchor Point concept allows the construction of NPV models under pull conditions, giving results in better correspondence with traditional models. The traditional framework is restricted to pull conditions and important considerations could be easily overlooked, leading to wrong valuations of holding costs. NPV seems superior as such considerations are automatically incorporated. The application to multi-echelon inventory systems provides interesting insights on the roles of echelon stocks and lead-times, and offers potential for future research.     

Fuzzy profit measures for a fuzzy economic order quantity model

Changing economic conditions make the selling price and demand quantity more and more uncertain in the market. The conventional inventory models determine the selling price and order quantity for a retailer’s maximal profit with exactly known parameters. This paper develops a solution method to derive the fuzzy profit of the inventory model when the demand quantity and unit cost are fuzzy numbers. Since the parameters contained in the inventory model are fuzzy, the profit value calculated from the model should be fuzzy as well. Based on the extension principle, the fuzzy inventory problem is transformed into a pair of two-level mathematical programs to derive the upper bound and lower bound of the fuzzy profit at possibility level α. According to the duality theorem of geometric programming, the pair of two-level mathematical programs is transformed into a pair of conventional geometric programs to solve. By enumerating different α values, the upper bound and lower bound of the fuzzy profit are collected to approximate the membership function. Since the profit of the inventory problem is expressed by the membership function rather than by a crisp value, more information is provided for making decisions.     

敏捷供应链管理中最优激励方案的实现问题研究

合理的利益分配策略可以稳定敏捷供应链的运营过程,加速敏捷供应链目标的实现.基于委托-代理理论,研究了敏捷供应链利益分配中最优激励方案的设计问题,得出在信息对称条件下由于合作伙伴企业的努力水平可以为主导企业所观测,因而容易制定最优激励方案并实现利益分配.而在更多的信息不对称条件下,需要对合作伙伴企业的产出结果进行监督和评估,通过不同努力水平下的分布概率间接地获得努力水平信息.该结论对于敏捷供应链利益分配系统的设计与实现具有重要指导意义.对最优激励方案在敏捷供应链利益分配中的实现过程进行了说明,通过适当的评价指标体系和评价方法,实现了利益分配中考虑努力水平等因素的激励策略.     

Spatial competition facility location models: Definition,formulation and solution approach

Models are presented for locating a firm's production facilities and determining production levels at these facilities so as to maximize the firm's profit. These models take into account the changes in price at each of the spatially separated markets that would result from the increase in supply provided by the new facilities and also from the response of competing firms. Two different models of spatial competition are presented to represent the competitive market situation in which the firm's production facilities are being located. These models are formulated as variational inequalities; recent sensitivity analysis results for variational inequalities are used to develop derivatives of the prices at each of the spatially separated markets with respect to the production levels at each of the new facilities. These derivatives are used to develop a linear approximation of the implicit function relating prices to productions. A heuristic solution procedure making use of this approximation is proposed.     

投资决策中信息服务的研究

在一定假设条件下,建立了投资者对信息服务的价值分析和最佳投资的理论模型,并对文[1]中的结论进行修正,得到了与实际更加符合的结论.