农业上市公司股票的风险结构特征研究

本文在引入行业因素和市场因素的"正交化"变换基础上,对农业上市公司股票收益建立了行业因素模型,并利用该模型对农业上市公司股票收益率的方差(风险)进行分解,考察了风险来源及其比例大小(即风险结构)。本文的研究结果可以为投资者构建合适的投资组合、规避投资风险提供参考。     

油价结构性变化检验与动态监控研究

本文运用参数稳定性检验方法对油价动态波动路径进行研究,发现油价序列存在显著的结构性改变特征,检测出自1974年2月以来油价共经历了四次结构性改变过程,本文考察了导致结构性改变的根本原因以及与重大事件的关系,并给出了结构改变点的点估计和区间估计,同时根据结构性改变情况将油价价位波动过程划分为五个阶段。此外,本文还讨论了结构性改变的监控问题,在历史数据的基础上及时发现新的结构改变点,为油价走势预测和和石油市场形势判断提供参考依据。     

竞争环境下多个损失规避零售商的供应链回购契约

研究由单个风险中性的供应商与多个竞争的损失厌恶零售商组成的两阶段供应链,在回购契约中考察竞争和零售商的损失厌恶态度对其最优订购决策和整个供应链协调性的影响.应用博弈论的方法,证明了该供应链博弈存在唯一的纯策略Nash均衡,而且竞争使得零售商的总订购量上升,而损失规避使得总订购量下降.竞争的存在削弱了损失厌恶效应对整个供应链协调性的影响.研究还发现,零售商的最优订购量随供应商的批发价增大而增大,随回购价格的增大而减少,并且在一定条件下回购契约可以使得供应链达到协调.     

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.     

Launching new products through exclusive sales channels

When launching a new product, a manufacturer usually sells it through competing retailers under non-exclusive arrangements. Recently, many new products (cellphones, electronics, toys, etc.) are sold through a single sales channel via an exclusive arrangement. In this paper we present two separate models that examine these two arrangements. Each model is based on a Stackelberg game in which the manufacturer acts as the leader by setting the wholesale price and the retailers act as the followers by choosing their retail prices. For each model, we solve the Stackelberg game by determining the manufacturer’s optimal wholesale price and each retailer’s optimal retail price in equilibrium. Then we examine the conditions under which the manufacturer should sell the new product through an exclusive retailer. In addition, we examine the impact of postponing the wholesale price decision and the impact of demand uncertainty on the manufacturer’s optimal profit under both arrangements.     

Firm and industry level profit efficiency analysis using absolute and uniform shadow prices

We discuss the nonparametric approach to profit efficiency analysis at the firm and industry levels in the absence of complete price information. Two new insights are developed. First, we measure profit inefficiency in monetary terms using absolute shadow prices. Second, we evaluate all firms using the same input–output prices. This allows us to aggregate firm-level profit inefficiencies to the overall industry inefficiency. Besides the measurement of profit losses, the presented approach enables one to recover absolute price information from quantity data. We conduct a series of Monte Carlo simulations to study the performance of the proposed approach in controlled production environments.     

The effects of demand uncertainty on channel structure

Motivated by the business practice whereby some manufacturers open their own retail stores despite the existence of more efficient independent retailers, this paper examines the distribution channel choice of competing manufacturers under demand uncertainty and resale price maintenance. We characterize the conditions for the equilibrium channel structures. We find that (1) manufacturers tend to distribute products with more design attributes through their own retail stores, (2) manufacturers with highly substitutable products are more likely to use independent retailers, and (3) at least one manufacturer has more incentive to open its own retail stores when facing an increase of the market size asymmetry.     

A note on competitive supply chains with generalised supply costs

This note generalises models from two influential papers in the theory of supply chain outsourcing under competition: 9 and 1. The first paper studies the impact of competitive intensity on the outsourcing decision from the supplier’s point of view for linear supply cost; the second paper examines the impact of supply economies of scale from the retailer’s point of view when selling perfectly substitutable products. By considering competitive intensity and supply economies of scale simultaneously, we find that equilibrium channel structures are primarily determined by the competitive intensity, which is true even under supply diseconomies of scale; the key message in the second paper of scale economies driving retailer’s outsourcing supply decision is highly dependent on the assumption of perfect substitutes. Our finding has no qualitative difference when either the suppliers or the retailers are modeled as the channel leader and make the outsourcing decisions.     

Global stability and pattern formation in a nonlocal diffusive Lotka–Volterra competition model

A diffusive Lotka–Volterra competition model with nonlocal intraspecific and interspecific competition between species is formulated and analyzed. The nonlocal competition strength is assumed to be determined by a diffusion kernel function to model the movement pattern of the biological species. It is shown that when there is no nonlocal intraspecific competition, the dynamics properties of nonlocal diffusive competition problem are similar to those of classical diffusive Lotka–Volterra competition model regardless of the strength of nonlocal interspecific competition. Global stability of nonnegative constant equilibria are proved using Lyapunov or upper–lower solution methods. On the other hand, strong nonlocal intraspecific competition increases the system spatiotemporal dynamic complexity. For the weak competition case, the nonlocal diffusive competition model may possess nonconstant positive equilibria for some suitably large nonlocal intraspecific competition coefficients.     

Competition for limited critical resources and the adoption of environmentally sustainable strategies

We develop a game-theoretical methodology that incorporates competition for limited resources to explicitly model a firm's valuation and, hence, its decision whether to adopt environmentally sustainable strategies (e.g., recycling programs to replace limited natural resources, alternative technologies). Even if switching to environmentally sustainable alternatives proves too expensive for individual firms, or resource costs are expected to remain low, we show that competition for resources would still push firms to incur switching costs as they become more environmentally sustainable. Using a sample of firm-level data from the KLD database which includes firms' sustainability policies, we find empirical support that competition for resources is positively correlated with a firm's adoption of environmental strategies. Tests that use the Chinese government's 2010 rare-earth supply suspension as an exogenous shock to competition for limited resources suggest a causal interpretation for our finding.