不同线上销售模式的产品定价策略研究

现售和预售是线上销售的主要模式。考虑不同模式下消费者对产品估值的差异,分析现售、预售和混合销售（同时开展现售和预售）三种模式下消费者购买决策过程,构建Stackelberg博弈和Nash均衡模型,得到三种模式的产品均衡定价及需求,并探讨开展不同销售模式对应的消费者估值差异阈值以及不同主导结构对供应链企业绩效的影响。结果表明：任意主导结构下,销售模式只会影响现售产品价格,对预售产品定价没有影响;任意销售模式下,制造商主导结构的产品定价和批发价更高,但产品销售量较低;消费者延迟收货敏感度增强使预售模式的供应链成员企业的利润降低,但混合销售模式可以有效防止由此引起的损失,且制造商主导可以同时实现供应链成员企业的利益最大化。     

时变风险厌恶下的期权定价——基于上证50ETF期权的实证研究

传统的随机波动率（SV）期权定价是在投资者具有常数风险偏好假设下进行的.但近年来越来越多的研究表明,市场参与者具有时变风险厌恶特征.基于此,本文对时变风险厌恶条件下的期权定价问题进行深入研究.首先,对传统的（非仿射）常数风险厌恶SV（CRA-SV）期权定价模型进行扩展,构建时变风险厌恶SV（TVRA-SV）期权定价模型对期权进行定价,并分析时变风险厌恶对期权价格的影响;其次,采用标的资产与期权数据信息,建立基于连续粒子滤波的极大似然估计方法,对定价模型的客观与风险中性参数进行联合估计;最后,采用我国期权市场上的上证50ETF期权数据,对构建的定价模型进行实证检验.结果表明：TVRA-SV期权定价模型相比传统的CRA-SV期权定价模型具有更好的数据拟合效果,能够更充分地刻画标的上证50ETF收益率在客观与风险中性测度下的波动性;TVRA-SV期权定价模型相比传统的Black-Scholes（B-S）期权定价模型和CRA-SV期权定价模型都具有明显更高的定价精确性。     

Exact conditional inference for two uniform populations

We discuss the nature of ancillary information in the context of the continuous uniform distribution. In the one-sample problem, the existence of sufficient statistics mitigates conditioning on the ancillary configuration. In the two-sample problem, additional ancillary information becomes available when the ratio of scale parameters is known. We give exact results for conditional inferences about the common scale parameter and for the difference in location parameters of two uniform distributions. The ancillary information affects the precision of the latter through a comparison of the sample value of the ratio of scale parameters with the known population value. A limited conditional simulation compares the Type I errors and power of these exact results with approximate results using the robust pooled t-statistic.     

汇率传递效应与厂商决策行为——基于人民币升值背景下出口产品定价的理论分析

现有的关于汇率传递效应的分析和研究,主要集中在汇率波动对出口价格的影响、进出口价格的贸易条件,以及与此相关的反映汇率传递程度的产品替代性、地域性特征和市场组织等方面,而没有对引发汇率传递效应的厂商决策行为予以关注。其实,汇率传递效应是特定汇率制度下厂商决策行为的结果。人民币升值背景下的出口产品定价,可以在理论上看成是受汇率波动驱动而关联于物价水平、产品结构、技术梯度、国际收支平衡等的函数;厂商是出口产品定价者的事实,会涉及对上述函数中各因素的认知,而这种认知会形成厂商的选择偏好和效用期望,从而决定厂商的决策行为。作为对人民币升值背景下出口产品定价的一种理论探讨,可以围绕汇率波动来刻画厂商在出口产品定价中的选择偏好和效用期望,以说明汇率传递效应与厂商决策行为之间的联系。     

On estimation of population mean based on two measurements

There are many estimators for population mean: arithmetic mean, median, root mean square, geometric mean, harmonic mean, and so forth. Which one is the best? Here, we answer this question given two measurements from a uniform distribution.     

Theoretical L-moments and TL-moments using combinatorial identities and finite operators

Moments have been traditionally used to characterize a probability distribution. Recently, linear moments (L-moments) and trimmed L-moments (TL-moments) are appealing alternatives to the conventional moments. This paper focuses on the computation of theoretical L-moments and TL-moments and emphasizes the use of combinatorial identities. We are able to derive new closed-form formulas of L-moments and TL-moments for continuous probability distributions. Finally, closed-form formulas for the L-moments for the exponential distribution and the uniform distribution are also obtained.     

Improving Profits by Bundling Vertically Differentiated Products

We consider a firm managing a category of vertically differentiated goods, that is, products which differ with respect to an attribute for which all consumers prefer more to less. The goods can be sold individually, in which case they are referred to as components, or in bundles. The firm chooses the assortment of components and bundles and their selling prices to maximize profit. We show that each bundling strategy (pure components, pure bundling or mixed bundling) can be optimal and obtain closed‐form expressions for the optimal selling prices. We provide insights on the structure of the optimal assortment and prices. In particular, we show that, when consumers benefit from consuming the components jointly, the products in the optimal assortment form nested sets. When consumers do not benefit from the joint consumption of components, the bundles should be offered at a positive discount. We find that bundling vertically differentiated products can significantly improve profits, even if consumers do not benefit from consuming the components jointly. The value of bundling comes from increased sales: a firm, which understands that its customers may buy multiple types of components, offers bundles of components, incentivizing customers to buy more.     

Quality of Service Based Pricing Schemes for Content Sharing in Peer‐to‐Peer Networks

In this paper, we study quality‐of‐service (QoS) based pricing schemes that serve as incentive mechanisms to induce sharing behaviors in Peer‐to‐Peer (P2P) networks. We incorporate operational QoS metrics into users’ utility functions and demonstrate how they affect individual users’ content sharing decisions. Using a game‐theoretic model, our study reveals how organizations respond to the changes of operational QoS metrics in their design of pricing schemes for various business objectives at different stages of network evolution. Our results show that a higher upload capacity can foster rational sharing to start when the network is small; however, it also discourages sharing behaviors when the network becomes large. In order to induce a socially optimal behavior, a pricing scheme will not charge users for requesting content while compensating them for sharing content. Such compensation is found to increase faster with the network size when the network is large. In order to maximize the profit of a monopolistic provider, however, a pricing scheme will charge content requests with a positive price while providing less compensation to sharing users compared to the socially optimal scheme. When the network size is small, such compensation can be even negative, which implies that a monopolistic provider discourages content sharing when the network is small, but encourages it when the network becomes larger. In addition, we find that more information about peer upload capacity discourages peers to share.