存在方差持续性的资本资产定价模型分析

自回归条件异方差(ARCH) 类模型突破了传统计量经济分析的同方差假定,对现代资本 资产定价理论产生了深远的影响. 随着对时变方差研究的深入,方差持续性也日益受到人们的 重视. 文章首先介绍了条件均值、条件方差以及在自回归条件异方差的基础上介绍了方差持续 性的有关概念和性质,并将之用于资本资产定价模型的研究,讨论了条件方差持续性对资本资 产定价模型的影响,并且进一步讨论了在多资产条件下向量GARCH 模型持续性对组合投资 的影响.     

同类产品多品牌的最优定价模型

针对同一家企业生产多种品牌的同类产品这种商务实践中的产品最优定价问题,提出 了同类产品多品牌的最优定价模型,刻画了各种品牌的价格对销量、销量对单位成本的错综复 杂的影响,以及因此而产生的对企业利润的影响;应用最新提出的一种神经网络方法建立了求 解多品牌最优定价模型所需要的神经网络,对该神经网络建模方法的性能进行了评价,给出了 一个评价实例;最后给出了多品牌最优定价的案例,建立了该案例的最优定价模型,用神经网 络方法获得了该案例中多品牌的最优定价结果. 对于单阶段的多品牌最优定价具有理论和实 际价值.     

关联企业转移定价研究综述

分别从考虑税收因素和不考虑税收因素两方面出发,对国内外关于关联企业内部交易 转移定价的研究现状作了比较详细的综述,论述了每一种转移定价策略的缺陷和不足,并结合 现实企业的实际情况,提出了进一步的研究方向。最后就转移定价的最新研究动态及今后的 发展趋势进行了分析     

收入管理理论的研究现状及发展前景

收入管理作为管理科学一个飞速发展的分支,是对服务业中易逝性产品进行管理的有 效工具. 对收入管理理论的三个主要部分———价格策略、存量控制和超订的研究文献加以综 述、评价,介绍收入管理理论最新发展动态及其在中国的研究现状. 强调对于加入WTO 后的中 国服务业,收入管理是一项亟待促进的商业策略.     

碳税政策下制造商竞争的供应链定价策略和社会福利研究

本文在考虑消费者环境意识下，探讨了制造商竞争情形下基于碳税政策的供应链成员定价策略和社会福利问题。研究表明，碳税政策的实施均会使得普通产品和低碳产品的批发价格和零售价格上升，且普通产品的价格变化总是较低碳产品更加明显；实施碳税政策前后，清洁型制造商面临的产品需求和利润变化总是较普通制造商更具有相对优势；制造商竞争有利于碳税政策引导制造商降低单位产品的碳排放量，实现绿色转型；碳税政策下，不论是清洁型制造商还是普通制造商，他们降低自身产品的单位碳排放量对提升自身产品在需求上的优势或减少自身产品在需求上的劣势都是有益的。当制造商之间的竞争性较小时，实施最优的碳税政策可以显著改善社会福利；特别是当消费者环境意识水平较低时，实施最优的碳税政策更为必要。当制造商之间的竞争强度较大时，不论消费者环境意识高低，直观税率值1可以作为一个近似最优的碳税政策，用以改善社会福利。     

基于甲方的武器装备采购费用控制研究

本文根据武器装备采购的现状,基于装备采购与一般采购项目的区别,提出以五种新的采购方式和三种定价模式代替现行的采购定价方式,并从成本计划的制定、生产成本的监督和生产成本的审核三个方面阐述了工程研制阶段费用控制的方法。     

随机期限结构与国债定价模型

假设债价扩散函数v(t,T)为时间t的二次函数,是利用风险中性方法建立随机期限结构模型的关键;而随机期限结构模型又是建立债券定价模型的基础。本文不但介绍了有关的理论模型,而且利用我国国债市场的价格数据进行实证研究,建立了具体的瞬态年利率随机期限和国债961的定价模型。     

Static and Dynamic Pricing of Excess Capacity in a Make‐to‐Order Environment

We consider a make‐to‐order manufacturer that serves two customer classes: core customers who pay a fixed negotiated price, and “fill‐in” customers who make submittal decisions based on the current price set by the firm. Using a Markovian queueing model, we determine how much the firm can gain by explicitly accounting for the status of its production facility in making pricing decisions. Specifically, we examine three pricing policies: (1) static, state‐independent pricing, (2) constant pricing up to a cutoff state, and (3) general state‐dependent pricing. We determine properties of each policy, and illustrate numerically the financial gains that the firm can achieve by following each policy as compared with simpler policies. Our main result is that constant pricing up to a cutoff state can dramatically outperform a state‐independent policy, while at the same time achieving most of the increase in revenue achievable from general state‐dependent pricing. Thus, we find that constant pricing up to a cutoff state presents an attractive tradeoff between ease of implementation and revenue gain. When the costs of policy design and implementation are taken into account, this simple heuristic may actually out‐perform general state‐dependent pricing in some settings.     

Demand Forecast Sharing in Supply Chains

This paper examines the incentives of a manufacturer and a retailer to share their demand forecasts. The demand at the retailer is a linearly decreasing function of price. The manufacturer sets the wholesale price first, and the retailer sets the retail price after observing the wholesale price. Both players set their prices based on their forecasts of demand. In the make‐to‐order scenario, the manufacturer sets the production quantity after observing the actual demand; in the make‐to‐stock scenario, the manufacturer sets the production quantity before the demand is realized. In the make‐to‐order scenario, we show that sharing the forecast unconditionally by the retailer with the manufacturer benefits the manufacturer but hurts the retailer. We also demonstrate that a side payment contract cannot induce Pareto‐optimal information sharing equilibrium, but a discount based wholesale price contract can. The social welfare as well as consumer surplus is higher under the discount contract, compared with under no information sharing. In the make‐to‐stock scenario, the manufacturer realizes additional benefits in the form of savings in inventory holding and shortage costs when forecasts are shared. If the savings from inventory holding and shortage costs because of information sharing are sufficiently high, then a side payment contract that induces Pareto‐optimal information sharing is feasible in the make‐to‐stock scenario. We also provide additional managerial insights with the help of a computational study.     

Search,Obfuscation, and Price Elasticities on the Internet

We examine the competition between a group of Internet retailers who operate in an environment where a price search engine plays a dominant role. We show that for some products in this environment, the easy price search makes demand tremendously price‐sensitive. Retailers, though, engage in obfuscation—practices that frustrate consumer search or make it less damaging to firms—resulting in much less price sensitivity on some other products. We discuss several models of obfuscation and examine its effects on demand and markups empirically.