考虑预付定金和退货的SMPEs产品定价与优化策略

借鉴中小制造型企业(SMPEs)在线渠道预售模式,考虑市场中存在预付订金和不预付订金的顾客,并将其退货情况引入到生产商利润表达式中,构建确定性和随机性市场需求下的SMPEs产品销售利润最大化模型,推导生产商产品最优定价的解析解;对比两种销售模式的利润,得到了生产商选择不同销售策略的条件。进一步考虑预付定金的产品数量、预交定金比例、退货数量是关于价格折扣敏感的情况,采用拉格朗日乘子法对生产商产品定价及优化问题进行研究,分析求得生产商销售策略(产品定价和价格折扣)的近似最优解。最后,通过数值算例对研究结论进行了验证并给出经济学解释。     

专业零售商与厂家直售商的多渠道供应价格博弈的混沌动力学研究

在零售市场,专业零售商与厂家直售商的价格竞争日益突起,再次背景下构建了专业零售商和厂家直售商组成的多渠道供应链价格博弈模型。利用管理学、经济学以及混沌动力学有关理论,对多渠道供应链中各渠道间长期价格博弈的动态演化过程进行理论验证和数据仿真,研究了专业零售商和厂家直售商的价格决策变量的变化给市场带来的影响。研究表明,双方价格决策变量的不断增加,市场从稳定进入混沌无序状态。采用调整参数可以对混沌进行有效的控制,研究结果具有较好的理论和实际应用价值。     

商品价格极端波动影响期现价格联动及套期保值吗?

试图将极端价格波动成因归结于系统惯性因素和极端随机冲击因素,借助Copulas-GARCH模型,将其引入期货和现货价格联动的计量模型之中,以持有便利收益高的沪铜作为研究样本,实证研究发现:1)引入极端价格波动因素后将显著提升价格联动计量模型的解释能力;2)当负向基差扩大,系统惯性因素引起商品价格剧烈变动,将导致市场联动性下降,而极端随机冲击却具有正向效应,即市场受到极端随机冲击时会增强期现价格联动关系;3)极端随机冲击效应中正向冲击和负向冲击的非对称性特征不显著;4)考虑极端价格波动效应可明显降低生产企业的套期保值成本.研究结论对于商品期货市场套期保值等期货交易具有重要管理启示.     

中国股市基本面价值加权投资组合研究

基本面价值加权投资组合是近年来在美国兴起的新型投资理论和技术.其基础是噪声市场假说和价格回归价值。本文回顾了基本面投资组合的相关文献,解释了其建立的理论基础和模型.本文还根据平滑市值权重技术,构建了基于中国股票市场的基本面投资组合,并和传统的市值加权投资组合进行比较。本文的主要结论是,中国市场1992年到2002年和美国市场类似呈现平稳价格噪声,基本面投资组合总体优于市值加权组合.股权分置改革初期市场低落,市场价格过度低估基本面价值,市值组合占优势。2005年下半年来股市呈现一定泡沫特征,市场价格对基本面价值有过度高估趋势,间接地证明了相关部门对股市过热的警告和监管是合理的.     

公平偏好下基于批发价契约的供应链 协调研究

文中基于Nash讨价还价博弈思想建立公平偏好框架,构建公平偏好效用体系,以此为基础对采用批发价契约的报童模型展开行为研究,采用数理模型和数值分析方法分析了零售商和供应商的公平偏好行为对零售商和供应链系统最优订货量的影响,即零售商和供应商同时关注公平时,零售商和供应链系统的最优订货量趋于保守;并发现零售商和供应链系统的最优订货量随零售商的公平偏好程度增加而递减,但随着供应商公平偏好程度增加而递增,且供应链系统最优订货量变化趋势比零售商明显．然后,在此基础上分析比较得到,无论供应商和零售商是否偏好公平,批发价契约都不能实现供应链协调．最后,对批发价、零售价、供应商生产成本、零售商缺货成本和供应商缺货成本进行敏感度分析．     

寡头垄断市场三度价格歧视动态博弈分析

对两寡头厂商2元市场用完全信息动态博弈的方法分析了实施三度价格歧视情形和统一定价情形的均衡产量,均衡价格和均衡总收益,并研究了这两种情形三个指标之间的关系.结果显示,在两个子市场的需求函数为线性需求的条件下,统一定价的市场均衡产量等于歧视定价的市场均衡产量;统一定价的均衡价格是歧视定价时两个子市场均衡价格的加权平均;统一定价的市场均衡总收益小于歧视定价的市场均衡总收益.     

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.     

On the Existence Of Consistent Price Systems

We formulate a sufficient condition for the existence of a consistent price system (CPS), which is weaker than the conditional full support condition (CFS). We use the new condition to show the existence of CPSs for certain processes that fail to have the CFS property. In particular this condition gives sufficient conditions, under which a continuous function of a process with CFS admits a CPS, while the CFS property might be lost.     

Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies

ABSTRACT

We compare optimal liquidation policies in continuous time in the presence of trading impact using numerical solutions of Hamilton–Jacobi–Bellman (HJB) partial differential equations (PDEs). In particular, we compare the time-consistent mean-quadratic-variation strategy with the time-inconsistent (pre-commitment) mean-variance strategy. We show that the two different risk measures lead to very different strategies and liquidation profiles. In terms of the optimal trading velocities, the mean-quadratic-variation strategy is much less sensitive to changes in asset price and varies more smoothly. In terms of the liquidation profiles, the mean-variance strategy is much more variable, although the mean liquidation profiles for the two strategies are surprisingly similar. On a numerical note, we show that using an interpolation scheme along a parametric curve in conjunction with the semi-Lagrangian method results in significantly better accuracy than standard axis-aligned linear interpolation. We also demonstrate how a scaled computational grid can improve solution accuracy.     

Risk minimizing hedging for a partially observed high frequency data model

Risk-minimizing hedging strategies for contingent claims are studied in a general model for intraday stock price movements in the case of partial information. The dynamics of the risky asset price is described throught a marked point process Y, whose local characteristics depend on some unobservable hidden state variable X. In the model presented the processes Y and X may have common jump times, which means that the trading activity may affect the law of X and could be also related to the presence of catastrophic events. The hedger is restricted to observing past asset prices. Thus, we are in presence not only of an incomplete market situation but also of partial information. Considering the case where the price of the risky asset is modeled directly under a martingale measure, the computation of the risk-minimizing hedging strategy under this partial information is obtained by using a projection result (M. Schweizer, Risk minimizing hedging strategies under restricted information, Mathematical Finance 4 (1994) 327–342). This approach leads to a filtering problem with marked point process observations whose solution, obtained via the Kushner-Stratonovich equation, allows us to provide a complete solution to the heding problem.