A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time

American options in discrete time can be priced by solving optimal stopping problems. This can be done by computing so-called continuation values, which we represent as regression functions defined recursively by using the continuation values of the next time step. We use Monte Carlo to generate data, and then we apply smoothing spline regression estimates to estimate the continuation values from these data. All parameters of the estimate are chosen data dependent. We present results concerning consistency and the estimates’ rate of convergence.     

审判委员会制度的理论架构

对审委会制度的改革,有人主张废除审委会制度为其核心内容;也有人主张目前应在保留的基础上予以改革和完善。废改之争,焦点是研究方法之争。主废和主改各有其弊,应通过立法程序按照“不审不判”的思路重塑审委会制度,明确审委会审判组织的地位,赋予其合议、陪审、咨询、调研四大职能及案件实体决定权和指导权,并建立和完善相应的程序。     

罗默社会公正思想的方法论意义

当代美国著名经济学家和政治哲学家罗默的阶级—剥削对应理论是通过使用了理性选择的个人主义方法论原则中的"合作博弈"理论阐述了其社会公正思想。其独特研究方法的运用,丰富和发展了马克思主义剥削与阶级理论,对于我国现阶段社会公正理论的确立具有一定的借鉴意义。     

On Rates of Convergence for Bayesian Density Estimation

Abstract.  We consider the problem of estimating a compactly supported density taking a Bayesian nonparametric approach. We define a Dirichlet mixture prior that, while selecting piecewise constant densities, has full support on the Hellinger metric space of all commonly dominated probability measures on a known bounded interval. We derive pointwise rates of convergence for the posterior expected density by studying the speed at which the posterior mass accumulates on shrinking Hellinger neighbourhoods of the sampling density. If the data are sampled from a strictly positive, α -Hölderian density, with α  ∈ ( 0,1] , then the optimal convergence rate n^{− α / (2 α +1)} is obtained up to a logarithmic factor. Smoothing histograms by polygons, a continuous piecewise linear estimator is obtained that for twice continuously differentiable, strictly positive densities satisfying boundary conditions attains a rate comparable up to a logarithmic factor to the convergence rate n ^−4/5 for integrated mean squared error of kernel type density estimators.     

Optimal scaling of Metropolis algorithms: Heading toward general target distributions

The authors provide an overview of optimal scaling results for the Metropolis algorithm with Gaussian proposal distribution. They address in more depth the case of high‐dimensional target distributions formed of independent, but not identically distributed components. They attempt to give an intuitive explanation as to why the well‐known optimal acceptance rate of 0.234 is not always suitable. They show how to find the asymptotically optimal acceptance rate when needed, and they explain why it is sometimes necessary to turn to inhomogeneous proposal distributions. Their results are illustrated with a simple example.     

Almost Consistent Estimation of Panel Probit Models with “Small” Fixed Effects

We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel probit models with fixed effects for the case of small Tand large N. The moments used are derived for each period from a first order approximation of the mean of the dependent variable conditional on explanatory variables and on the fixed effect. The estimators differ w.r.t. the choice of instruments and whether they use trimming to reduce the bias or not. In a Monte Carlo study, we compare these estimators with pooled probit and conditional logit estimators for different data generating processes. The results show that the proposed estimators outperform these competitors in several situations.     

Intertemporal choice under timing risk: An experimental approach

This paper investigates how individuals evaluate delayed outcomes with risky realization times. Under the discounted expected utility (DEU) model, such evaluations depend only on intertemporal preferences. We obtain several testable hypotheses using the DEU model as a benchmark and test these hypotheses in three experiments. In general, our results show that the DEU model is a poor predictor of intertemporal choice behavior under timing risk. We found that individuals are averse to timing risk and that they evaluate timing lotteries in a rank-dependent fashion. The main driver of timing risk aversion is nothing but probabilistic risk aversion that stems from the nonlinear treatment of probabilities.     

社会化改革后高校后勤运行模式的理性选择

高校后勤社会化改革是一个复杂的系统工程,需经历一个发展的过程.辩证地分析高校后勤现行运行模式的优缺点,探讨社会化改革后高校后勤运行模式选择的基本原则和理性选择的思路,提出高校深化后勤社会化改革的参考模式.     

Partner Choice and the Differential Retreat From Marriage

The contemporary retreat from marriage in the United States has had a differential impact across socioeconomic and racial groups. Here, 1990 marriage rates and propensities for Virginia, North Carolina, and Wisconsin are analyzed regarding (a) the likelihood that persons in different groups ever marry and (b) patterns of partner choice with respect to race and educational level. Marriage remains strong in most race‐education groups but is substantially lower among Blacks and among those with less than 12 years of education. Patterns of partner choice have shifted to show greater symmetry between the educational levels of brides and grooms. Changes have been modest with regard to the level and pattern of interracial (Black‐White) marriage. Marriage is increasingly a union of equals, but a union chosen more by Whites than by Blacks and more by the well educated than by the poorly educated.     

东盟政策机制中的政策网络

政策网络是政策机制的重要组成部分,东盟政策网络的结构和运作是其政治精英理性选择的结果,目的是使这个地区政策网络能满足一体化政策领域扩展的需要,并实现区域一体化进程中各成员国的利益最大化。