A Risk-sharing Approach to Transfer Pricing and Incentive Compensation Problems under Exchange Rate Uncertainty*

This study examines the transfer pricing and incentive compensation problems in a multinational enterprise facing currency risk. It is shown that, in the presence of diverse risk preferences among managers, the Hirshleifer (1956) transfer pricing rule results in inefficient resource allocation decisions by division managers. Following the approach developed by Kanodia (1979), two transfer pricing and compensation systems are proposed. The proposed systems enable central management to achieve efficient resource allocation and partial or global risk sharing. It is also argued that the proposed plans can be implemented in conjunction with existing transfer pricing systems that primarily serve tax and tariff concerns.     

西部开发、劳动就业与人力资源证券化战略

高效地配置、使用我国丰富人力资源,使人力资源优势转化为经济优势,对加强西部开发、西部防务与国家劳动就业有重要意义。劳动原始积累—待遇期权—期权转股—周期性人口流动制度,作为人力资源证券化、资本化的核心模式,能把中国丰富劳动力资源转化成像货币资本一样的生产要素自由流动和配置,能把大量劳动者和西部开发紧密“屯”在一起,大大拉动西部乃至国家经济的增长,全面提高综合国力。     

A Cross-Validation Analysis of Neural Network Out-of-Sample Performance in Exchange Rate Forecasting

Econometric methods used in foreign exchange rate forecasting have produced inferior out-of-sample results compared to a random walk model. Applications of neural networks have shown mixed findings. In this paper, we investigate the potentials of neural network models by employing two cross-validation schemes. The effects of different in-sample time periods and sample sizes are examined. Out-of-sample performance evaluated with four criteria across three forecasting horizons shows that neural networks are a more robust forecasting method than the random walk model. Moreover, neural network predictions are quite accurate even when the sample size is relatively small.     

A Modified Empirical Martingale Simulation for Financial Derivative Pricing

This article extends the empirical martingale simulation (EMS) method from using a risk-neutral measure to using a dynamic measure for financial derivative pricing. Although the EMS is shown to be capable of obtaining consistent estimate of financial derivative prices in a more efficient way than the standard Monte Carlo simulation procedure, it can proceed only under a risk-neutral framework. In practice, however, it is cumbersome to obtain the explicit expression of a risk-neutral model when dealing with a complex model. To alleviate this difficulty, we compute the financial derivative prices under the dynamic model and impose the martingale property on the simulated sample paths of both the change of measure process and the underlying asset prices under the dynamic P measure. Hence, we call this modification the empirical P-martingale simulation (EPMS). The strong consistency of the EPMS is established and its efficiency is performed by simulation in the GARCH framework. Simulation results shows that EPMS has the similar variance reduction as the EMS method in option pricing if the risk-neutral model can be obtained, and is more efficient than the standard Monte Carlo simulation in most cases.     

Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime

In this paper, we propose an extension of the Merton short rate model, which reflects the subdiffusive nature of the short rate dynamics. The subdiffusive property is manifested by the random periods of time, during which the asset price does not change. We derive explicit formulas for European call and put options and present some simulation results for the case of α stable. Moreover, we discuss the implied volatility of this model.     

资本资产定价理论模型与套利定价模型比较分析

经济效益最大化作为企业财务管理的基础目标是所有财务管理人员始终关心的问题。如何计算并控制企业的各项成本尤其是占极大比例的资本成本被摆到了非常重要的位置上,本文论述的资本资产定价模型和套利定价模型正是当前在计算资本成本中较常用的理论,了解这两种模型的原理及其各自的比较优势对财务管理者的决策有着重大的意义。对于权益资本的投资者而言,这两种模型的应用也有利于他们在进行投资活动的过程中,优化资本组合,合理回避风险,以最终实现较多的投资回报。     

Coordinating pricing and production decisions for multiple products

We consider a dynamic problem of joint pricing and production decisions for a profit-maximizing firm that produces multiple products. We model the problem as a mixed integer nonlinear program, incorporating capacity constraints, setup costs, and dynamic demand. We assume demand functions to be convex, continuous, differentiable, and strictly decreasing in price. We present a solution approach which is more general than previous approaches that require the assumption of a specific demand function. Using real-world data from a manufacturer, we study problem instances for different demand scenarios and capacities and solve for optimal prices and production plans. We present analytical results that provide managerial insights on how the optimal prices change for different production plans and capacities. We extend some of the earlier works that consider single product problems to the case of multiple products and time variant production capacities. We also benchmark performance of proposed algorithm with a commercial solver and show that it outperforms the solver both in terms of solution quality and computational times.     

The development of Maisha,a video-assisted counseling intervention to address HIV stigma at entry into antenatal care in Tanzania

HIV stigma has a profound impact on clinical outcomes and undermines the quality of life of people living with HIV (PLWH). Among HIV-negative individuals, misinformation and prejudicial attitudes about HIV can fuel stigma and contribute to discrimination against PLWH. Antenatal care (ANC), with its focus on universal HIV testing, provides a unique entry point to address HIV stigma. This study describes the development of a counseling intervention to address HIV stigma among women and their partners attending a first ANC appointment in Tanzania. Formative work to inform the intervention consisted of qualitative interviews with 32 pregnant and postpartum women (both women living with HIV and HIV-negative women) and 20 healthcare workers. Data were analyzed iteratively, using a thematic analysis approach, to identify intervention targets. The resulting intervention, Maisha (Swahili for “Life”), includes three sessions informed by the HIV Stigma Framework and Cognitive-Behavioral Therapy: a video and brief counseling session prior to HIV testing and, for those who test seropositive for HIV, two additional sessions building on the video content. A pilot test of the intervention is in process. Addressing HIV stigma at the first ANC visit can help individuals living with HIV to overcome stigma-related barriers to the initiation and maintenance of HIV care, and can reduce stigmatizing attitudes among those who test negative for HIV.     

A memory reduction method in pricing American options

This paper is concerned with the pricing of American options by simulation methods. In the traditional methods, in order to determine when to exercise, we have to store the simulated asset prices at all time steps on all paths. If N time steps and M paths are used, then the storage requirement is O(MN). In this paper, we present a simulation method for pricing American options where the number of storage required only grows like O(M). The only additional computational cost is that we have to generate each random number twice instead of once. For machines with limited memory, we can now use a larger N to improve the accuracy in pricing the options.     

基于Fama French三因子模型的沪深300指数效应实证研究

本文采用事件研究法研究了沪深300指数的指数效应,引入短期事件窗和长期事件窗分别考查了指数调入股票和调出股票的价格和交易量的市场反应。在研究股票的价格效应时,引用Fama-French三因素模型来计算股票的超额收益。实证研究发现,沪深300指数存在显著的指数效应,但是调出股票和调入股票的指数效应并不对称,调入股票的指数效应更为显著,符合市场分割假说。