美国企业现行股票期权计划存在的问题与争论

90年代以后,由于美国的股票市场、税收政策以及会计准则等都有力地促进了股票期权计划的发展,使股票期权在激励经理人员以及协调经营者与股东之间的利益关系等方面都发挥了良好的作用。但是,这一计划的实施并不完美,在实践中也暴露出许多不可忽视的问题,如经理人员的报酬与公司业绩脱节、激励作用弱化、股东利益受到损害等等,这些问题在西方引起广泛的关注与争论,同时对我国的公司治理也有一定借鉴与启示。     

基于期权原理的企业战略投资决策

基于期权原理的企业投资决策方法,作为一种现代企业金融工程管理技术,能够有效地提高决策的科学性和准确性,本文分析和探讨了企业战略投资的期权性质及期权的种类,并对投资决策中的期权价进行了案例分析.     

Comparing Decision Rules that Incorporate Customer Diversion in Perishable Asset Revenue Management Situations

Most of the initial work on perishable asset revenue management (PARM) situations assumed no possibility of customer diversion from one product class to another when the former is made unavailable. In this paper, an evaluation is made of the few published decision rules that incorporate the realistic and common behavior of customer diversion (or sell-up). We present a new heuristic approach that incorporates diversion and could be used by airlines and other relevant industries to achieve improvements in expected contribution of 0.25 to 2.5% over the approach currently used. The sensitivity of the difference in expected contribution between these rules is tested relative to changes in the input parameters, and managerial insights are presented.     

A UNIFIED APPROACH TO THE PRICE-BREAK ECONOMIC ORDER QUANTITY (EOQ) PROBLEM*

In many developing countries where supply is limited, a premium rather than a discounted price is paid for buying in larger amounts. In order for management science/operations research solutions to be relevant to developing economies, such realities need to be explicitly recognized and any decisions evaluated from that perspective. To illustrate this point, a typical inventory-purchasing problem is solved. In the process, formulae are developed that introduce simultaneous price and quantity sensitivity into the inventory equation. A systematic procedure is suggested to locate the optimal order quantity for a given schedule of discounts or premiums.     

Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime

In this paper, we propose an extension of the Merton short rate model, which reflects the subdiffusive nature of the short rate dynamics. The subdiffusive property is manifested by the random periods of time, during which the asset price does not change. We derive explicit formulas for European call and put options and present some simulation results for the case of α stable. Moreover, we discuss the implied volatility of this model.     

A Contingent Claims Model of Corporate Pension Obligations*

This study develops a contingent claims model for valuing the implicit market value of the pension claim associated with defined benefit pension plans. In this model, the firm issues pension, debt, and equity claims. These claims have joint access to two underlying portfolios: corporate and pension. The changes in the market values of these two portfolios are assumed to follow a joint lognormal diffusion process. By imposing terminal boundary conditions implied by Employment Retirement Income Security Act (ERISA) rules and the pension insurance provisions of the Pension Benefit Guaranty Corporation (PBGC) on the partial differential equation, a solution for the pension value is obtained. This quasi-market measure of the value of the pension claim may be represented by a portfolio consisting of four components: (1) a risk-free discount bond with face value equal to promised pension benefits; (2) a short put on pension assets with exercise price equal to pension benefits; (3) a long call on 30 percent of corporate assets with exercise price equal to the face value of secured corporate debt; and (4) a short call on 30 percent of corporate assets with a stochastic exercise price which depends on the terminal value of the pension fund. A numerical example using 1992 and 1993 financial statement data from six major U.S. corporations is provided. This example illustrates the usefulness of the model's prediction and the potential effect of theoretical pension values on corporate debt-equity ratios.     

BARGAINING WITH SHARED INFORMATION*

This paper formulates and analyzes models of two-party bargaining behavior where each side possesses private information about its preferences that is unavailable to the other. We examine the strategic behavior that bargainers might exhibit when disclosing information either to an arbitrator or to each other. Our results show that when bargaining is over one issue, it is relatively uncomplicated analytically to calculate the optimal strategy, but, despite this, even sophisticated bargainers tend to make wrong assumptions about the behavior of others and to use strategies that are far from optimal. When the bargaining encompasses several factors, computation of optimal strategies becomes very cumbersome and the use of an optimal strategy does not gain a bargainer much over what he could have achieved with truthful revelation. Thus, in theory, truthful revelation is not the best course of action to adopt for a bargainer interested in maximizing individual gain, but in practice the alternatives may involve mistaken assumptions about the behavior of others and may therefore turn out to be inferior to truthful revelation.     

TRANSFER-PRICING AND OUTPUT DECISIONS: THE DYNAMIC INTERACTION

This paper is concerned with the dynamic interactions between output and transferprice decisions in a three-country model for a multinational firm when profits taxation and ad valorem tariffs are applied simultaneously. A numerical example is used to illustrate that the three-country model modifies considerably conclusions reached in the traditional two-country, two-goods framework.     

Decentralization in Linear Programming Models

This paper proposes a decomposition of a linear programming problem based on the structure of the optimal basis matrix. If this matrix contains a zero matrix of appropriate dimensions, the problem may be decomposed into a price-setting problem and a quantity-setting problem. This decomposition is valid for a set of coefficients of the problem to be determined by parametric programming. It can be applied to problems with common constraints or common variables. An application to dairy production planning is discussed and a comparison with the Dantzig-Wolfe decomposition principle is given.     

人力资本要素的二次定价与企业剩余的分割

人力资本交易契约的不完备性决定了人力资本要素具有二次定价的特征,人力资本所有者对企业剩余的分割不应理解为"间接定价"或"激励".普通生产者也具有剩余控制权.二次定价决定了所有生产者对企业剩余的分割隐含规定于交易契约中.而人力资本的产权特征制约了企业在第二次定价过程中的违约行为,为人力资本要素的第二次定价提供了保证.