谈谈线性规划的“悖论”问题

本文在分析了目前有关线性规划“悖论”的论述后，运用灵敏度分析的方法和影子价格的理论，对所谓线性规划的悖论问题作了新的解释，提出了“悖论””不悖、其实是在情理之中的新观点。并对悖论产生的条件提出了简便易行的计算公式。     

基于相空间重构技术的原油价格的时序混沌判据和混沌特征量

通过相空间重构技术,对Brent和WTI原油价格增长率的时间序列分别进行相空间重构,将若干固定时间延迟点上的数据作为新维处理,形成相点,应用Wolf方法得出了最大的Lyapunov指数,从而给出了系统混沌存在的证据;利用关联函数求出了关联维度和Kolmogorov熵,从而给出了对系统的混沌程度的估计和对Brent和WTI原油价格进行有效性预测的时间尺度.     

大范围市场系统的稳定性分析

本文利用 L iapunov泛函的加权研究具时间滞后效应的大范围市场系统的稳定性 ,得到系统的均衡价格为一致渐近稳定的充分条件 ,它们推广或改进了文献 [1,4 ,5 ]的相应结果     

Supply Function Equilibrium in Electricity Spot Markets with Contracts and Price Caps

In electricity wholesale markets, generators often sign long term contracts with purchasers of power in order to hedge risks. In this paper, we consider a market where demand is uncertain, but can be represented as a function of price together with a random shock. Each generator offers a smooth supply function into the market and wishes to maximize his expected profit, allowing for his contract position. We investigate supply function equilibria in this setting, using a model introduced by Anderson and Philpott. We study first the existence of a unique monotonically increasing supply curve that maximizes the objective function under the constraint of limited generation capacity and a price cap, and discuss the influence of the generators contract on the optimal supply curve. We then investigate the existence of a symmetric Nash supply function equilibrium, where we do not have to assume that the demand is a concave function of price. Finally, we identify the Nash supply function equilibrium which gives rise to the generators maximal expected profit. This work was supported by the Australian Research Council Grant RMG1965The authors would like to thank three anonymous referees for their helpful comments     

TIMBER SUPPLY UNDER DEMAND UNCERTAINTY: WELFARE GAINS FROM PERFECT COMPETITION WITH RATIONAL EXPECTATIONS

ABSTRACT. This paper presents a noneconometric approach to estimating the short‐run timber supply function based on optimal harvest decisions. Determination of optimal harvest levels and estimation of supply function coefficients are integrated into one step by incorporating a parametric short‐run timber supply function into the harvest decision model. In this manner we convert the original harvest decision model into a new optimization problem with the supply function coefficients functioning as “decision variables.” Optimal solution to the new decision model gives the coefficients of the short‐run supply function and, indirectly, the optimal harvest levels. This approach enables us to develop stochastic models of the timber market that are particularly useful for forest sector analysis involving comparison of alternative institutional regimes or policy proposals and when the timber market is affected by stochastic variables. For demonstration purposes, we apply this method to compare the performances of two timber market regimes (perfect competition and monopoly) under demand uncertainty, using the Swedish data. The results show that the expected timber price is 22 percent lower and the expected annual timber supply is 43 percent higher in the competitive market than in the monopoly market. This confirms the theoretical result that monopoly reduces supply and increases price. The expected social welfare gain from perfect competition over monopoly is about 24 percent.     

需求价格弹性与边际收益研究

研究特定需求价格弹性条件下需求函数的确定问题和特定边际收益条件下需求函数的确定问题,并给出了有关的计算公式.研究结果表明,为了实现既定的需求价格弹性或边际收益,对应的需求函数有无穷多个.     

非线性定价下的双头垄断企业行为分析

本采用了泰勒尔的消费基本效用函数模型,从消费剩余效用最优化的角度分析了双头垄断企业的市场行为,得出了如下结论：企业非线性定价条件下,任何类型的消费都存在一个最优消费数量,双头垄断竞争有助于扩展市场,提高产品质量,降低产品价格,但双头垄断在非线性定价下的最终市场均衡是达到完全垄断,而政府管制和赤可以防止完全垄断的形成,等等。     

数理经济中一类纯交换经济的需求映射及应用

本文讨论商品空间为 Banach空间 X,商品价格系统为向量 p∈ X* ,经济人的初始占有向量 w∈X,消费目标向量为 u∈ X的纯交换经济系统 :(i)　〈p,x〉 =〈p,w〉(ii)　‖ x-u‖ =min{‖ x -u‖ |〈p,x〉 =〈p,w〉}运用泛函分析方法 ,给出需求函数 x(p)存在的充分必要条件 ,并运用空间 X的对偶映射 ,求出需求 (集值 )映射 B(p,w)的具体表达式 ,且求出 n个经纪人的纯交换经济系统的 Walras均衡价格的表示     

用AHP方法分析垄断竞争市场

本文用 AHP方法研究了垄断竞争市场的性质 ,指出垄断竞争市场的均衡价格就是质量比较矩阵的主特征向量 ,并在此基础上 ,分析了生产者实现利润极大化的条件     

A NUMERICAL METHOD FOR DETERMINING THE OPTIMAL EXERCISE PRICE TO AMERICAN OPTIONS

American Options can be exercised prior to the date of expiration,the valuation of American options then constitutes a free boundary value problem.How to determine the free boundary,i.e. the optimal exercise price,is a key problem.In this paper,a nonlinear equation is given.The free boundary can be obtained by solving the nonlinear equation and the numerical results are better.