随机需求环境下联产品系统价格与产量决策研究

基于固定比例生产技术和多产品随机需求的情形,研究了联产品制造商的两阶段产量和价格联合优化模型。通过反向倒推的优化求解,得到了联产品制造商的最优产量和价格决策以及变化规律。同时研究了需求服从均匀分布时,需求波动对均衡的影响。研究结果表明,在订货成本较低和一种产品的需求波动性较大时,当另外一种产品的波动增大,则该产品的最优订货量增大,同时价格下降。借助数值仿真,分析了价格敏感度和产出比例对最优决策和利润的影响。结果表明,在给定一种产品的价格敏感度时,另外一种的价格敏感度越大,那么该产品的价格就越低,制造商的订货量就下降。当一种产品的产出比例固定时,另一种产品的产出比例上升时,则该产品的价格下降,制造商的订货量下降,总利润上升。     

审计定价管制与交易剩余——2010年审计定价管制失效的自然实验

在经济下行压力加大、资本市场进一步开放的新形势下,厘清审计市场交易——监管机制,完善审计服务市场尤为必要。借由2010 年审计定价管制政策失效的自然实验,本文通过嵌入双边随机边界模型,得到审计双方的定价交易剩余指标,运用双重差分模型解析价格管制与交易定价的作用机制。研究发现,定价管制失效的原因不在于规制俘获,而在于价格管制与当前的市场效率不匹配。下限管制尽管能够提高审计师剩余,但同时会放大交易定价风险,增加剩余的错配,扰乱交易秩序。上限管制则进一步固化市场的低价竞争。进一步研究发现审计师剩余与盈余质量显著相关,2014年的放开定价管制政策提高了审计师剩余。研究厘清了审计市场交易机制,有利于未来研究审计交易机制的微观影响及与盈余质量的关联,为在新时代把握审计市场交易——监管规律、培育自发良性交易的审计市场提供有益借鉴。     

LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS

Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies.     

Inference for the measurement of poverty in the presence of a stochastic weighting variable

Empirical applications of poverty measurement often have to deal with a stochastic weighting variable such as household size. Within the framework of a bivariate distribution function defined over income and weight, I derive the limiting distributions of the decomposable poverty measures and of the ordinates of stochastic dominance curves. The poverty line is allowed to depend on the income distribution. It is shown how the results can be used to test hypotheses concerning changes in poverty. The inference procedures are briefly illustrated using Belgian data. An erratum to this article can be found at     

广义对角占优矩阵判定条件的改进

给出广义对角占优矩阵的判定条件,改进和包含了文献[1～3]的主要结果,从而也推广了Shivakumar的结果。作为应用,得到了判定非奇M矩阵和几种迭代法新的收敛准则。     

Discrete time modelling of disease incidence time series by using Markov chain Monte Carlo methods

Summary.  A stochastic discrete time version of the susceptible–infected–recovered model for infectious diseases is developed. Disease is transmitted within and between communities when infected and susceptible individuals interact. Markov chain Monte Carlo methods are used to make inference about these unobserved populations and the unknown parameters of interest. The algorithm is designed specifically for modelling time series of reported measles cases although it can be adapted for other infectious diseases with permanent immunity. The application to observed measles incidence series motivates extensions to incorporate age structure as well as spatial epidemic coupling between communities.     

几类矩阵的研究及其应用

对几类矩阵进行了刻划；对于非负阵谱半径的一个重要性质￣［１］，给出了新的简单证明；作为应用，得到有重要实际意义的某些类矩阵之逆的谱半径的界的估计。     

Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory

Nonlinear functions of multivariate financial time series can exhibit long memory and fractional cointegration. However, tools for analysing these phenomena have principally been justified under assumptions that are invalid in this setting. Determination of asymptotic theory under more plausible assumptions can be complicated and lengthy. We discuss these issues and present a Monte Carlo study, showing that asymptotic theory should not necessarily be expected to provide a good approximation to finite-sample behavior.     

Violations of dominance in pricing judgments

The dominance principle states that the judged price of gamble A should be equal to or greater than the judged price of gamble B whenever A's outcomes are equal to or better than the corresponding outcomes of B, holding everything else constant. Subjects often violate the dominance principle by assigning a higher price to a gamble with some probability of winning a positive amount, Y, otherwise zero, than to a superior gamble with the same chances of winning Y, otherwise winning X. Violations also occur with losses. Results are consistent with a configural-weight theory in which the decision weight for each outcome depends on the rank of the outcome with respect to the other outcomes in the lottery and the value of the outcome (zero vs. nonzero).The authors thank Shi-jie Chang, Duncan Luce, and Lisa Ordóñez for comments on an earlier draft. This research was supported by a National Science Foundation grant to the first author (BNS-8451368). Requests for reprints should be sent to Barbara Mellers, Dept. of Psychology, University of California, Berkeley, CA 94720.     

试论古代汉语汉字的隐性和显性

隐性和显性之说在汉语言文字里具有普遍性,在汉字、语音、词汇、语法等诸方面均有体现。隐性和显性之说可以用来解释汉语言文字中不少难以说明的现象。我们应当用新的视角对此学说予以关注。