Hedging of the European option in discrete time under proportional transaction costs

In the paper hedging of the European option in a discrete time financial market with proportional transaction costs is studied. It is shown that for a certain class of options the set of portfolios which allow to hedge an option in a discrete time model with a bounded set of possible changes in a stock price is the same as the set of such portfolios, under assumption that the stock price evolution is given by a suitable CRR model.     

基于信息技术的企业组织激励研究

通过将信息技术水平系数纳入到委托代理模型中,创新地建立了基于信息技术的企业组织激励模型,模型分析结果表明,简单组织中监督系统的信息技术水平越高,底层员工报酬合同的激励作用越显著,复杂组织中,随着信息技术水平的提高,底层员工报酬合同的激励作用也增强,而中层管理者的激励作用会因为风险传递效应的存在而呈现出先增强后减弱的变化趋势,通过对组织代理成本的分析可知,在信息技术水平较低和较高时,简单组织和复杂组织分别具有“激励优势。”。     

期货合约的简单创新

本文通过观察代办收入最大化交换,提出期货合约创新的一个简单两阶段模型. 经济代理商具有均值-方差偏好,按代理买卖量的大小,在期货合约过程中收取交易费用.期货交易过程中存在价差.代办收入最大化交换促成期货合约的创新.     

Demand dispersion and logistics costs in one-to-many distribution systems

When an organization decides on which groups of consumers it should target, the locations of these target consumers often play a role. Methods from the field of market segmentation are able to identify target groups with high benefit levels, but the expected costs of supplying products to the target groups are less well understood. These costs can play a large role if the locations of the customers, the demand locations, are geographically widely dispersed. This paper focuses on one-to-many distribution systems in which a central facility serves all demand points. We derive accurate logistics cost estimates from the dispersion of demand points for such systems, enabling a comparison of the expected logistics costs of different candidate target groups. The most accurate measure combines the average distance from the demand locations to a central location and the mutual distances between neighboring demand locations. The average of the distances between all pairs of locations forms a good alternative measure.     

关于教育成本核算的若干思考

近几年来，教育行业成为社会关注的十大行业之一，教育成本如何核算也成为热点话题。本文着重对教育成本的核算动因、教育成本核算的基本内容与建立教育成本会计学等方面加以分析，并提出新的思路。     

The multi-item capacitated lot-sizing problem with setup times and shortage costs

We address a multi-item capacitated lot-sizing problem with setup times and shortage costs that arises in real-world production planning problems. Demand cannot be backlogged, but can be totally or partially lost. The problem is NP-hard. A mixed integer mathematical formulation is presented. Our approach in this paper is to propose some classes of valid inequalities based on a generalization of Miller et al. [A.J. Miller, G.L. Nemhauser, M.W.P. Savelsbergh, On the polyhedral structure of a multi-item production planning model with setup times, Mathematical Programming 94 (2003) 375–405] and Marchand and Wolsey [H. Marchand, L.A. Wolsey, The 0–1 knapsack problem with a single continuous variable, Mathematical Programming 85 (1999) 15–33] results. We also describe fast combinatorial separation algorithms for these new inequalities. We use them in a branch-and-cut framework to solve the problem. Some experimental results showing the effectiveness of the approach are reported.     

Quantifying the value of buyer–vendor coordination: Analytical and numerical results under different replenishment cost structures

Despite a growing interest in channel coordination, no detailed analytical or numerical results measuring its impact on system performance have been reported in the literature. Hence, this paper aims to develop analytical and numerical results documenting the system-wide cost improvement rates that are due to coordination. To this end, we revisit the classical buyer–vendor coordination problem introduced by Goyal [S.K. Goyal, An integrated inventory model for a single-supplier single-customer problem. International Journal of Production Research 15 (1976) 107–111] and extended by Toptal et al. [A. Toptal, S. Çetinkaya, C.-Y. Lee, The buyer–vendor coordination problem: modeling inbound and outbound cargo capacity and costs, IIE Transactions on Logistics and Scheduling 35 (2003) 987–1002] to consider generalized replenishment costs under centralized decision making. We analyze (i) how the counterpart centralized and decentralized solutions differ from each other, (ii) under what circumstances their implications are similar, and (iii) the effect of generalized replenishment costs on the system-wide cost improvement rates that are due to coordination. First, considering Goyal’s basic setting, we show that the improvement rate depends on cost parameters. We characterize this dependency analytically, develop analytical bounds on the improvement rate, and identify the problem instances in which considerable savings can be achieved through coordination. Next, we analyze Toptal et al.’s [A. Toptal, S. Çetinkaya, C.-Y. Lee, The buyer–vendor coordination problem: modeling inbound and outbound cargo capacity and costs, IIE Transactions on Logistics and Scheduling 35 (2003) 987–1002] extended setting that considers generalized replenishment costs representing inbound and outbound transportation considerations, and we present detailed numerical results quantifying the value of coordination. We report significant improvement rates with and without explicit transportation considerations, and we present numerical evidence which suggests that larger rates are more likely in the former case.     

Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach

Multi-period guarantees are often embedded in life insurance contracts. In this paper we consider the problem of hedging these multi-period guarantees in the presence of transaction costs. We derive the hedging strategies for the cheapest hedge portfolio for a multi-period guarantee that with certainty makes the insurance company able to meet the obligations from the insurance policies it has issued. We find that by imposing transaction costs, the insurance company reduces the rebalancing of the hedge portfolio. The cost of establishing the hedge portfolio also increases as the transaction cost increases. For the multi-period guarantee there is a rather large rebalancing of the hedge portfolio as we go from one period to the next. By introducing transaction costs we find the size of this rebalancing to be reduced. Transaction costs may therefore be one possible explanation for why we do not see the insurance companies performing a large rebalancing of their investment portfolio at the end of each year.     

高校教育成本测算及其优化管理模型

在高校成本层次分类的基础上,建立了生均成本测算的一般模型,针对教育成本投入过程中因学生人数随机变化而存在的风险,引进教学质量函数,提出了办学效益和教学质量的双目标优化模型.利用凸分析和优化原理得到优化问题解的存在性,全部正解的β取值范围以及最优解满足的充要条件,对最优解的定量计算给出了基于Monte Carlo模拟的遗传算法设计,并进行了相应的经济意义分析.