网络环境下考虑动态定价的渠道协调问题研究

在一个制造商和一个在线零售商构成的供应链中,制造商委托在线零售商销售产品,确定价格和生产数量,零售商确定收益分享比例.本文假定制造商动态定价,研究了上述供应链的协调问题,研究发现:动态定价不能影响收益分享比例,但会提高供应链整体的利润;收益分享合同不能达到供应链协调;收益分享合同与返利合同的组合能够实现供应链协调.最后用算例说明了动态定价对供应链的影响.     

商品期货便利收益的期权定价及实证检验

本文根据国外便利收益理论,深入研究便利收益的期权性质及其定价,并采用修正的Black-Scholes期权定价模型对中国期货便利收益进行分析.研究表明中国商品期货便利收益具备看涨期权的特性并可以运用期权定价模型对其定价,此外中国商品期货便利收益表现出与理论相异的特性,即呈现周期性的循环变化.     

集装箱班轮二维收益管理在线动态定价策略

为了在现实约束条件下最大化班轮公司收益,研究了集装箱海运二维收益管理多航段多箱型在线动态定价模型,提出了其最优在线动态定价策略,并且证明了模型价值函数的单调性及其上界.基于降维的思想提出了更为实际的启发式算法.在算例中分析了单航段单箱型、单航段多箱型和多航段多箱型3种情况下的最优动态定价策略,分析结果表明:在单航段单箱型的情况下,最优价格具有单调性;在单航段多箱型和多航段多箱型的情况下,最优价格不一定具有单调性.     

考虑战略消费者行为风险的动态定价策略

本文研究的是存在战略消费者行为风险的动态定价问题,垄断厂商在需求不确定的有限时间内销售定量易逝商品,追求既定风险下的期望收益最大化;战略消费者在动态定价下基于参考价格安排购买时机.研究表明,厂商和消费者的行为策略间存在完美博弈均衡;在均衡价格范围内,战略购买行为改变了各交易主体的收益或支付,扩大了厂商收益不确定性风险;风险敏感的厂商定价趋于保守;交易信息透明是厂商实现预定目标的引导条件.     

相对杠杆与股票收益的相关性研究——来自中美市场的实证分析

本文结合考虑公司融资决策参考依赖特征及资本结构动态调整行为,构造相对杠杆这一新的财务杠杆度量指标重新检视了财务杠杆在资产定价中发挥的作用,并将中美市场进行对比分析.研究表明,相较于实际杠杆,相对杠杆能更好地解释股票溢价,在中美市场均表现出对股票收益的显著正向影响,但同时也存在差异性.在中国市场账面相对杠杆的股票溢价解释能力较弱,而在美国市场账面相对杠杆仍与股票收益显著正相关;在中国市场过度杠杆对股票收益的影响明显强于杠杆不足,而在美国市场两者表现出较为对称的影响;同时在中美市场以不同方式在Fama-French三因素模型中引入相对杠杆定价因子所得到的定价模型能显著提升原模型的定价能力,有更好的定价表现.     

双渠道下库存与定价策略的研究

为分析实体店零售商建立自己网络渠道存在的两个基本问题,本文探讨了为满足网络渠道需求网络渠道是自持有库存、还是共享实体店的库存问题,及如何解决网络渠道与实体渠道的销售冲突问题。在总结动态库存配给策略相关研究基础上,采用了动态定价策略的思路分析解决渠道冲突的问题;通过对双渠道是否共享库存的两种方案进行模拟对比,分析讨论了相关库存决策问题,并评价了共享库存所带来的共享效应的大小,以期使实体店零售商建立网络销售渠道取得更大的收益。研究结果表明,共享库存有比较显著的优势,库存共享效应能使需求波动更平滑、需求预测更精准;动态定价会带来更大的收益,在验证该结果时,对动态定价策略也进行了结构特征的分析。该思路可为相关研究提供借鉴。     

基于动态跳跃的中国短期利率研究:1997—2010

短期利率研究对固定收益定价和风险管理具有重要意义.把GARCH-Jump及其动态扩展形式引入到VASICEK短期利率模型中,拟合了中国的短期利率过程,检验了理性投资者人假说.实证结果表明:中国的短期利率过程不仅存在GARCH波动,还存在动态的跳跃波动因素;非参数检验表明以贝叶斯决策过程为设定条件的动态跳跃模型,对短期利率拟合得更好,并且预测能力更优,从而验证了中国短期利率市场的投资者在应对异常事件时采取贝叶斯理性决策法则;短期利率跳跃模型对投机和宏观信息冲击有一定的解释能力.     

酒店收益管理的研究进展与前景

对酒店收益管理的内涵进行了讨论,从六个方面介绍了酒店收益管理的应用特征,归纳 分析了酒店收益管理的常用研究方法. 基于酒店收益管理(包括需求预测、超量预订、客房分配 和定价等) 研究进展的介绍与分析,指出了酒店收益管理的研究发展方向.     

中国IPO股价的信息含量及其上市首日收益研究

新股上市首日收益为正的现象在世界范围内广泛存在,但是中国畸高的新股上市首日收益反映了新股定价效率的缺失,这也是中国监管层力促新股市场化定价改革的主要动因之一.与大多数主要从上市首日收益率的高低来讨论新股定价效率的研究不同,通过构建度量新股股价信息含量的指标,对新股股价的个股特质信息含量进行量化,对中国实施新股询价定价前后新股股价信息含量与新股定价效率的关系进行单变量检验和多元回归的实证分析.研究结果表明,目前中国的新股询价定价并未实现降低新股上市首日收益的政策目标.但是机构投资者参与的询价定价提高了个股特质信息在新股股价中的资本化程度,新股询价定价机制的实施提高了中国新股发行市场基于个股特质信息对新股进行价值发现的定价效率.研究结果不仅对监管层完善询价制度和投资者参与新股投资具有一定的指导意义,也为讨论新股首次公开发行的定价效率问题提供新的视角.     

投资组合保险策略收益保证的定价研究——基于有限跳跃Levy 过程

向下的价格跳跃会引致投资组合保险出现缺口风险,因而将价格跳跃考虑在内对收益保证类金融产品保本费用的定价研究对于为该类产品进行担保的机构具有重要的决策参考价值． 文章采用有限跳跃Levy 过程来刻画风险资产的价格过程,并对随机利率条件下CPPI 策略与TIPP 策略收益保证进行定价． 文章给出了固定混合策略下收益保证的解析定价公式． 数值分析的结果表明: (1) 传统GBM 假定下的收益保证定价会低估收益保证的价格; (2) TIPP 策略收益保证的价格要低于CPPI 策略; (3) CPPI 策略与TIPP 策略收益保证的价格与策略乘数、收益保证水平正相关,与风险资产价格的波动率无关．     

Recent Developments in Dynamic Pricing Research: Multiple Products,Competition, and Limited Demand Information

Dynamic pricing enables a firm to increase revenue by better matching supply with demand, responding to shifting demand patterns, and achieving customer segmentation. In the last 20 years, numerous success stories of dynamic pricing applications have motivated a rapidly growing research interest in a variety of dynamic pricing problems in the academic literature. A large class of problems that arise in various revenue management applications involve selling a given amount of inventory over a finite time horizon without inventory replenishment. In this study, we identify most recent trends in dynamic pricing research involving such problems. We review existing research on three new classes of problems that have attracted a rapidly growing interest in the last several years, namely, problems with multiple products, problems with competition, and problems with limited demand information. We also identify a number of possible directions for future research.     

A comparison of fixed and dynamic pricing policies in revenue management

We consider the problem of selling a fixed capacity or inventory of items over a finite selling period. Earlier research has shown that using a properly set fixed price during the selling period is asymptotically optimal as the demand potential and capacity grow large and that dynamic pricing has only a secondary effect on revenues. However, additional revenue improvements through dynamic pricing can be important in practice and need to be further explored. We suggest two simple dynamic heuristics that continuously update prices based on remaining inventory and time in the selling period. The first heuristic is based on approximating the optimal expected revenue function and the second heuristic is based on the solution of the deterministic version of the problem. We show through a numerical study that the revenue impact of using these dynamic pricing heuristics rather than fixed pricing may be substantial. In particular, the first heuristic has a consistent and remarkable performance leading to at most 0.2% gap compared to optimal dynamic pricing. We also show that the benefits of these dynamic pricing heuristics persist under a periodic setting. This is especially true for the first heuristic for which the performance is monotone in the frequency of price changes. We conclude that dynamic pricing should be considered as a more favorable option in practice.     

Dynamic pricing with strategic customers

This paper provides an overview of the literature on dynamic pricing with strategic customers. In the past, research on dynamic pricing was mostly concerned with optimally pricing products over time in a market with myopic customers. In recent years, the consideration of strategic customers, who can delay a purchase to take advantage of a future discount, has dramatically increased. This paper’s main contribution is the development of a comprehensive classification scheme to structure the field of research and, based upon this, a systematic overview of all relevant papers. We then present in detail the various aspects considered in the literature together with their motivation from industry and state the major findings of the most relevant papers. Further attention is given to important problem extensions proposed in the literature that have been considered in only a few papers and are usually motivated by specific practical applications. Finally, promising directions for future research are indicated.     

基于用户规模的双边平台适应性动态定价策略研究

鉴于交叉网络效应导致用户加入双边平台的效用随用户规模动态变化,提出根据用户规模进行适应性动态定价的策略思想,并运用数值计算方法对该定价策略的效果进行深入研究。首先,引入平台动态竞争建模方法,构建了包含用户规模的双边平台适应性动态定价模型;接着,根据数值计算结果对动态定价与静态定价的效果进行比较;最后,考察了平台竞争主要参数的变化对动态定价策略效果的影响。研究表明：（1）动态定价显著优于静态定价,模型主要参数的取值变动不会改变动态定价具有相对优势这个定性结论;（2）提升服务质量或改变基准用户数不会明显增加动态定价的相对优势,但强交叉网络效应或前瞻性用户都会增强动态定价的相对优势。研究结果有助于平台企业管理者更好地制定平台定价策略。     

On the Benefit of Inventory‐Based Dynamic Pricing Strategies

We study the optimal pricing and replenishment decisions in an inventory system with a price‐sensitive demand, focusing on the benefit of the inventory‐based dynamic pricing strategy. We find that demand variability impacts the benefit of dynamic pricing not only through the magnitude of the variability but also through its functional form (e.g., whether it is additive, multiplicative, or others). We provide an approach to quantify the profit improvement of dynamic pricing over static pricing without having to solve the dynamic pricing problem. We also demonstrate that dynamic pricing is most effective when it is jointly optimized with inventory replenishment decisions, and that its advantage can be mostly realized by using one or two price changes over a replenishment cycle.     

EDLP versus Hi–Lo pricing strategies in retailing—a state of the art article

The pricing strategy is seen as one of the five most important priorities in retail management. Over the past years, price wars have emerged and price has become an even more focal point of retailers’ agendas. Especially grocery retailers operate on very low margins and have fallen into a price-promotion trap, pressured both by competition and consumers. In times of intensive competition it is getting even more important for retailers to focus on profitable and successful pricing strategies. Furthermore, retailers act under complex circumstances, especially because of broad assortments, and should therefore define a clear framework for their pricing strategy. There are several studies which have been published on pricing strategy in retailing during the last years, but no comprehensive literature review of this topic with its determinants and outcomes exists. Based on the theoretical and conceptual foundations of pricing strategy in retailing, all relevant conceptual and empirical studies are analyzed. First, the different definitions of pricing strategy in retailing are examined and systemized. Furthermore, a division into studies on determinants and outcomes of pricing strategy in retailing is included followed by a discussion of main and further results. Based on this analysis of the existing literature, avenues for further research are identified and prioritized.     

New developments in behavioral pricing research

Behavioral pricing extends traditional price theory by exploring consumers’ reactions to prices from a psychological perspective. With the constant and substantial evolution of this research field, we review the progress on the state of knowledge on consumers’ processing of price information and price behavior. To this end, we develop a framework to classify the advances made in behavioral pricing research during the past decade. We discuss conceptual developments, the contribution of the adoption of new theories, and new relationships and pricing phenomena. We show that several concepts have undergone conceptual developments (e.g., price search) while other concepts are new to the literature (e.g., participative pricing mechanisms). Regarding theoretical developments, the adoption of theories from other disciplines has contributed to enhance understanding of price-related effects. Finally, new pricing phenomena, such as the zero price effect or the placebo effect of price promotions, challenge the traditional view of consumers’ response to price information. Furthermore, a number of recent empirical findings contradict existing knowledge on price-related concepts and phenomena. Thus, it is of prime importance to integrate the latest findings with prior literature. From the key findings in the literature, we derive directions for future research.     

债务抵押债券（CDO）定价模型研究综述

作为近10年来发展最为迅速的信用衍生产品之一,CDO已在国外银行等金融机构的风险管理过程中得到了广泛的应用,美国近期次级贷款市场的不良表现致使CDO等金融衍生品的设计与定价受到更强烈的关注。系统介绍和比较分析了业界普遍采用的BET、Copula、因子Copula等CDO基本定价模型;简要回顾了当前理论界的研究热点——因子Copula模型和动态模型的研究进展;对未来可能的研究趋势作了展望。     

竞争中的参考价格效应及承诺

消费者的社会感知会影响其对产品和品牌的评价。当消费者进行购买选择时,经常会受到参考价格效应的影响。而广告和价格不仅是企业经常要考虑的重要决策,还会对参考价格产生重要影响。为此,一个值得研究的的问题是：在考虑参考价格效应的情况下,企业该怎样确定其动态广告和价格策略？
为了研究该问题,本文构建了一个广告和价格的动态模型,来研究一个双寡头市场环境下两个寡头企业的价格和广告决策,并以此分析参考价格效应的作用。具体而言,我们假定企业可以采用广告承诺和价格承诺中的一种,其中前者承诺其在一段时间内的广告投入量恒定不变,而后者确保价格不变。两种策略不仅会影响消费者的购买决策,也会影响竞争对手的选择。在上述假定下,我们探讨了两个寡头企业在都采用广告承诺、都采用价格承诺及一个企业采用广告承诺而另一个企业采用价格承诺等三种不同情形下的最优广告和价格决策,并以此分析了三种情形下参考价格效应对最优的广告投入及定价策略的影响。最后,通过数值分析,探讨了不同情形下企业的最优策略选择。