上市公司家族控制对代理成本影响的实证分析

以沪深300家家族控股上市公司为研究样本,建立家族控制对代理成本影响的分析模型,实证分析结果表明:家族持股比例与代理成本呈显著的负相关关系;家族成员担任董事长或总经理有利于降低代理成本;家族董事对代理成本的影响不明显。     

应急救灾物资紧急调度问题研究

重点讨论时间不确定条件下的应急物资调度问题,当从出救点到应急地点时间为区间数时,首先建立了应急方案可信度最高的模型,又建立了可信度最高,出救成本最小的多目标数学模型,通过一个实例分析说明了本文给出方法的可行性和有效性,本文的方法丰富了已有的求解方法,具有实际应用价值。     

含交易费用的稳健最优投资组合

在考虑投资组合问题时考虑了3方面的问题:交易费用和税收对投资组合选择的影响;假设风险资产和无风险资产收益的相关参数属于某个已知的凸多面体;讨论了存在风险资产和无风险资产情况下的稳健投资组合问题,并给出了问题的解析解.     

基于交易费用的中小企业信贷融资问题分析

从交易费用的视角对中小企业从银行获得融资难的问题进行了分析,认为交易费用的存在加大了中小企业获得银行资金支持的难度,降低交易费用的制度措施能在一定程度上缓解融资难问题。     

带交易费用的可数无限态两期经济的均衡存在性

To some two-period economies with countable infinite state spaces,the existence of expectation equilibrium of real asset economies with transaction costs is given. This work extends the researches of Zame in 1993.     

DCS中的数据库分配

本文应用软件工程的思想,在分布式计算机系统中,对已有配置的计算机集,提出一种数据库分配方法,给出此问题在一定约束条件下的数学模型并介绍一个解此问题的启发式算法,使系统的可冗余数据库存贮的通信费用达到最小。     

连续时间马尔可夫决策过程的折扣模型

本文考虑的是转移速率族任意且费用率函数可能无界的连续时间马尔可夫决策过程的折扣模型．放弃了传统的要求相应于每个策略的　Ｑ　－过程唯一等条件,而首次考虑相应每个策略的　Ｑ　－过程不一定唯一,　转移速率族也不一定保守,　费用率函数可能无界,　且允许行动空间非空任意的情形．　本文首次用"α－折扣费用最优不等式"更新了传统的α－折扣费用最优方程,并用"最优不等式"和新的方法,不仅证明了传统的主要结果即最优平稳策略的存在性,　而且还进一步探讨了（　∈＞０　　）－最优平稳策略,具有单调性质的最优平稳策略,　以及（∈≥０）　－最优决策过程的存在性,　得到了一些有意义的新结果．　最后,　提供了一个迁移率受控的生灭系统例子,　它满足本文的所有条件,　而传统的假设（见文献［１－１４］）均不成立．     

Deterministic optimal control,given only a partial observation of the initial state

The deterministic linear-system, quadratic-cost optimal control problem is considered when the only state information available is a partial linear observation of the initial statex ₀. Thus, it is only known that the initial condition belongs to a particular linear variety. A control function is found which is optimal, in the sense (roughly) that (i) it can be computed using available information aboutx ₀ and (ii) no other control function which can be found using that information gives lower cost than it does for every initial condition that could have given rise to the information. The optimal control can be found easily from the conventional Riccati equation of optimal control. Applications are considered in the presence of unknown exponential disturbances and to the case with a sequence of partial state observations.     

Hybrid artificial neural networks for efficient valuation of real options and financial derivatives

A hybrid valuation methodology is proposed and tested for improving the efficiency of contingent claims pricing by combining Artificial Neural Networks (ANN) and conventional parametric option pricing techniques. With one application on financial derivatives and one on real options the methods superiority is demonstrated. The resulting efficiency is instrumental for real time applications.MSC code: 90-08 Acknowledgements: Both authors are thankful for partial financial support to the HERMES European Center of Excellence on Computational Finance and Economics of the University of Cyprus and a University of Cyprus grant for research in ANNs and Derivatives, and to the anonymous referees for their helpful comments and discussions.