BSDE approach to utility maximization with square-root factor processes

We consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This financial market framework includes the classical geometric Brownian motion, CEV model, and Heston’s model as special cases. Adopting the BSDE approach, we obtain closed-form solutions for the optimal portfolio strategies and value functions for the logarithmic, power, and exponential utility functions.     

Optimal investment strategies for participating contracts

Participating contracts are popular insurance policies, in which the payoff to a policyholder is linked to the performance of a portfolio managed by the insurer. We consider the portfolio selection problem of an insurer that offers participating contracts and has an S-shaped utility function. Applying the martingale approach, closed-form solutions are obtained. The resulting optimal strategies are compared with portfolio insurance hedging strategies (CPPI and OBPI). We also study numerical solutions of the portfolio selection problem with constraints on the portfolio weights.     

Utility maximization problem with random endowment and transaction costs: when wealth may become negative

In this article, we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality between the primal utility maximization problem and the dual one, which is set up on the domain of finitely additive measures. In particular, we prove duality results for utility functions supporting possibly negative values. Moreover, we construct a shadow market by the dual optimal process and consider the utility-based pricing for random endowment.     

级差最大的人的全面发展评价模型及省份实证

根据"坚持以人为本,树立全面、协调、可持续的发展观,促进经济社会和人的全面发展"的科学发展观的内涵,通过指标的海选、筛选和理性分析构建了人的全面发展综合评价指标体系.论文通过标准离差法、G1法和熵值法3种赋权方法对评价体系赋权,并通过级差最大化求得组合权重,并对我国2006年典型的14个省级行政区人的全面发展状况进行实证分析.本文的创新与特色一是通过国民幸福指数、基尼系数等31个指标建立基于科学发展观的指标体系来反映人与社会和谐、人与自然和谐、人与人和谐.二是在对不同评价得分的处理中,通过使第i个评价对象调整后的得分与所有m个评价对象的新得分的均值的偏离程度最大来确定最终的组合权重;改变了用不同的方法其评价得分截然不同的现象.研究结果表明,影响我国省级行政区的人的全面发展最主要的因素是每万人律师数、人均安全水资源拥有量、农村居民非农业就业比率,而第三产业占CDP比重、出生时的平均预期寿命、三废处理达标率则影响很小.     

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.     

Model-Based Optimization of a Fed-Batch Bioreactor for mAb Production Using a Hybridoma Cell Culture

Production of monoclonal antibodies (mAbs) is a well-known method used to synthesize a large number of identical antibodies, which are molecules of huge importance in medicine. Due to such reasons, intense efforts have been invested to maximize the mAbs production in bioreactors with hybridoma cell cultures. However, the optimal control of such sensitive bioreactors is an engineering problem difficult to solve due to the large number of state-variables with highly nonlinear dynamics, which often translates into a non-convex optimization problem that involves a significant number of decision (control) variables. Based on an adequate kinetic model adopted from the literature, this paper focuses on developing an in-silico (model-based, offline) numerical analysis of a fed-batch bioreactor (FBR) with an immobilized hybridoma culture to determine its optimal feeding policy by considering a small number of control variables, thus ensuring maximization of mAbs production. The obtained time stepwise optimal feeding policies of FBR were proven to obtain better performances than those of simple batch operation (BR) for all the verified alternatives in terms of raw material consumption and mAbs productivity. Several elements of novelty (i–iv) are pointed out in the “conclusions” section (e.g., considering the continuously added biomass as a control variable during FBR).     

一类终端财富期望效用最大化问题: 通货膨胀情形

本文研究了一类受通货膨胀影响的终端财富期望效用最大化问题.对常数相对风险厌恶(CRRA) 情形的效用函数,用直接构造的方法得到了代理人的显式最优投资策略和最大期望效用,并给出其经济含义. 该思想来自线性二次最优控制问题中的完全平方技术.根据股票价格和通货膨胀率的历史数据,我们用SAS软件估计出模型中参数的近似值,并给出代理人的最优投资策略和最大期望效用.     

Pre-commitment or post-payment: Which worsens a line-sitting firm’s revenue?

Recently, Cui et al. (2018) investigated the economics of line-sitting, where a customer could hire a line-sitter to wait for her, and the line-sitting fee is paid at the completion of service. Usually, it is believed that the line-sitting firm benefits in the pre-commitment payment method, in which the customer still pays a pre-specified amount of fee for service even if the actual waiting time is less than the pre-committed wait. By comparing two payment mechanisms, we find that, surprisingly, under the optimal line-sitting rate, the revenue of firm worsens under pre-commitment case, but a better customer welfare can be obtained.     

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.