共查询到20条相似文献,搜索用时 15 毫秒
1.
2.
3.
借助非合作博弈理论构造模型分析了随机限价拍卖的竞买者报价策略.通过对模型的求解得到了以微分方程形式表示的竞买者Nash均衡报价策略.通过与普通的英式拍卖相比较,发现两类拍卖的Nash均衡报价策略具有相同的微分方程结构.根据所得到的微分方程形式的Nash均衡报价策略,计算了一个经过简化的案例,以说明文中结果具有一定的实用性,可以为这类拍卖的报价决策提供一定的支持. 相似文献
4.
5.
6.
本文考虑一个由单个制造商和多个供应商群体组成的供应链——该制造商需要采购多个部件,对于每个部件在市场上均存在多个供应商。不同于传统的从各供应商群体分别采购各个部件,制造商考虑将所有部件的采购整体外包给某个供应商。在第一阶段,制造商使用一级价格密封投标的逆向拍卖来确定赢得整体采购合约的供应商。接下来,第一阶段投标的获胜者生产其所能供应的部件,并使用逆向拍卖向第一阶段中未获胜的其他竞标者采购其余部件。我们分析了供应商在两个阶段的均衡竞价策略,并比较了制造商在亲自逐件采购和外包整体采购两种情况下的期望采购成本。我们证明了在两种机制下制造商的总的期望采购成本相等。 相似文献
7.
现有网约车平台采用接受或拒绝的定价交易机制,即乘客和司机被动选择接受或拒绝交易平台给出的定价及加价规则。由于缺乏对平台用户个体需求的了解,当前平台产生的价格不能反映不同交易者的内在诉求,如每个乘客的用车目的、紧急程度、经济能力,司机的实际运行成本、期望收益等差异。由于每个交易者的内在诉求对每笔交易的合理定价具有很大影响,为优化资源配置,将这类信息纳入网约用车市场价格形成机制变得越来越重要。本文设计了基于网约车平台的双边报价交易机制,该机制允许乘客和司机分别进行报价,网约车平台基于每次交易涉及的乘客及司机的报价自动生成交易价格并实现乘客与司机的交易匹配,该机制满足参与理性约束、预算平衡约束,保障乘客和司机获得该机制作用下的所有交易剩余,文章还对该机制下交易人的报价策略及投机策略进行了理性及仿真分析,证明该机制鼓励交易者说真话,从而优化平台资源配置。 相似文献
8.
研究了违约风险下的信贷决策模型与机制,通过以银行个体合理性和激励相容性作为约束条件,建立了在考虑违约风险和项目成功概率条件下的信贷决策模型,分别给出了基于抵质押贷款和信用贷款策略下的信贷决策机制,探讨了信贷配给机制与无配给机制的设计方法,给出了在信贷出现配给时银行发放信用贷款和有抵质押贷款的条件.最后运用实例详细分析并讨论了不同违约概率条件下企业项目成功概率对银行期望收益的影响,得到了银行相应的贷款临界值和在不同项目成功概率条件下银行最大可接受的违约概率. 相似文献
9.
VaR和CVaR在国内外风险管理实践中得到了普遍应用,但监管者以概率置信水平作为其监管目标的方法对于实际投资者的风险度量而言并不是很直观,投资者更加关心的是资产目标价值能否实现的风险.将资产的目标价值以直观的方式加入到风险的定义中,提出了广义一致风险测度公理假设,并证明了广义一致风险测度也具有很好的性质.此外,看跌期权作为测度风险的有效方法,具有直观的经济含义,可以证明它满足广义一致风险测度公理假设.最后建立了看跌期权费风险测度和E-VaR/E-CVaR之间的数量关系. 相似文献
10.
基于随机波动率随机跳跃强度(SVSJ)的期权定价模型,从时间序列性质与横截面期权定价两个角度对长达12年的S&P 500指数期权数据进行了研究.实证结果发现:只有短期虚值期权与短期平值期权中存在显著的跳跃风险溢酬,并且跳跃风险溢酬远超过波动率风险溢酬.不同模型不同跳跃强度的设定都可以估计出显著的跳跃风险溢酬,虽然跳跃风险的方差在总风险的方差中所占比例较低,但跳跃风险溢酬在总风险溢酬中所占的比例却大得多.各模型在高波动时期的表现都要优于低波动时期,其中SVSJ模型在所有模型中表现最好. 相似文献
11.
12.
本文在CCAPM模型及行为经济学理论基础上建立突发信息影响下的资产定价模型,借此探讨突发信息对投资者主观决策以及风险溢价的影响,并利用数值迭代法给出了风险溢价的数值解。研究结果表明:突发信息所产生的正面影响会提高风险溢价,反之则降低溢价值,为解释"追涨杀跌"现象提供新视角;同时发现,投资者先期投资决策的结果好坏与风险溢价呈正向关系。最后利用中美两国证券市场数据进行数据模拟,结果表明本模型较好的避免了"股权溢价之谜"和"无风险利率之谜"。 相似文献
13.
14.
15.
We analyze bidding behavior in auctions when risk‐averse buyers bid for a good whose value is risky. We show that when the risk in the valuations increases, DARA bidders will reduce their bids by more than the appropriate increase in the risk premium. Ceteris paribus, buyers will be better off bidding for a more risky object in first price, second price, and English auctions with affiliated common (interdependent) values. This “precautionary bidding” effect arises because the expected marginal utility of income increases with risk, so buyers are reluctant to bid so highly. We also show that precautionary bidding behavior can make DARA bidders prefer bidding in a common values setting to bidding in a private values one when risk‐neutral or CARA bidders would be indifferent. Thus the potential for a “winner's curse” can be a blessing for rational DARA bidders. 相似文献
16.
This article investigates a hybrid procurement mechanism that combines a reverse auction with flexible noncompetitive contracts. A buyer adopts such mechanism to procure multiple units of a product from a group of potential suppliers. Specifically, the buyer first offers contracts to some suppliers who, if accepting the contract, do not participate in the auction while committing to selling a unit to the buyer at the price of the subsequent auction. For the suppliers rejecting the offers, they can join the subsequent auction with the other suppliers to compete on the remaining units. When the buyer offers only one flexible noncompetitive contract, we find that the selected supplier may accept the offer regardless of whether he knows his exact cost information. Meanwhile, the buyer can benefit from offering such a contract, as opposed to solely conducting a regular reverse auction or offering a noncompetitive contract that does not allow suppliers declining offers to join the subsequent auction. Moreover, we find that the suppliers' information about their own costs has a significant impact on the buyer's decision. When the buyer makes multiple offers, we analyze the resulting game behavior of the selected suppliers and demonstrate that the buyer can benefit more than just offering one such contract. Therefore, the hybrid procurement mechanism can be mutually beneficial for both the buyer and the selected suppliers. 相似文献
17.
18.
19.
Due to the increasing level of supply risk, it is imperative to obtain a better understanding of the nature of risk which is a premise to developing well-grounded risk mitigation strategies. This paper examines how to mitigate supply risk enlightened by discussing the concept of risk in association of three closely related concepts which are uncertainty, variability and trust. The proposed three perspectives are supported and explained using four case studies comprising of two manufacturers based in Australia and four suppliers based in China. The study provides evidence that supply risk can be mitigated by high level of information and knowledge sharing as well as building trust, commitment and goal congruence in a buyer–supplier relationship. It offers theoretical and managerial implications. 相似文献
20.
本文从项目拍卖者的角度,对交通BOT项目进行特许经营权机制设计,设计了一套科学合理的竞标机制来提高项目拍卖者对特许经营权的配置效率。我们运用激励机制设计思想建立了竞标机制模型,在保证竞标企业参与投标和真实显示自己的经营能力的条件下最大化期望社会福利,通过求解此模型得到了最优的竞标机制;鉴于最优机制在形式上的复杂性,我们给出了得分规则拍卖和供应契约拍卖两种最优拍卖方式。 相似文献