Optimizing Natural Gas Flows with Linear Programming and Scenarios

Recently, we developed a linear programming model to aid an electric utility company in evaluating several long-term operating decisions. Variations of this model provide insights into daily operations and valuation of supply contracts. This paper outlines the important characteristics of this class of network models including the usage of a gas storage facility, the use of market forecasts of gas prices, and the accommodation of gas contract structures. In addition, we develop a scenario optimization procedure in which demand forecasts provide scenarios. We also describe ways in which these models were automated to drive a decision support system.     

基于多目标优化和效用理论的高阶矩动态组合投资

 存在高阶矩风险偏好条件下,组合投资选择必须考虑最大化收益、偏度和最小化方差、峰度四个相互冲突的目标。同时,考虑到高阶矩风险的时变特征,应建立高阶矩动态组合投资模型。基于多目标优化技术和效用理论,讨论了高阶矩动态组合投资模型的构建,并利用MATLAB软件中的非线性优化函数fmincon对模型进行了求解,从理论和实证两个层面对两类模型进行对比。     

前景理論及其在博彩研究中的應用

賭徒在博彩中的下注行為,本質上是一個在不確定性的環境中進行決策的行為。經濟學最初在研究這種現象的時候,採用的是期望效用模型。然而,這一模型對很多事實上偏離經濟學理性假設的現象卻解釋不清。另外,赌博行為也並不是一個純粹的經濟學問题,所以期望效用模型對此更加無能為力。上個世紀80年代以來由Kahneman和Tversky發展出的前景理論,為我們認識包括博彩在內的不確定世界提供了一個全新的視角。本文首先回顧了長期在不確定經濟學研究中佔據统治地位的期望效用理論及其存在的主要缺陷,然後介紹了前景理論的基本觀點和有關發展。最後,筆者嘗試用前景理論的框架對賭徒的一些行為進行分析。     

马恩价值理论全相:宏观"效用/劳动价值论"--从方法论角度再探马恩价值理论

马恩共识于“价值是对效用和劳动花费的衡量” ,“价值”与“生产力”同义。这种价值理论在《资本论》各卷中的展述是按照“从抽象上升到具体”的方法 ,从抽象的“劳动价值论”出发 ,一步一步上升为“具体”的。马恩的价值理论是由抽象劳动价值论上升为具体的宏观“效用 /劳动价值论”的理论体系。     

Between a rock and a hard place: The evaluation of demographic forecasts

Forecasting, in general, has been described as an unavoidable yet impossible task. This irony, which comprises the ‘rock’ and the ‘hard place’ in the title, creates a high level of cognitive dissonance, which, in turn, generates stress for those both making and using forecasts that have non-trivial impacts. Why? Because the forecasted numbers that are invariably accorded a high degree of precision inexorably reveal their inevitable imprecision when the numbers forming the actuality finally take place and the numbers comprising the forecast's errors are precisely measured. The current state of the art in demography for dealing with the ‘rock’ and the ‘hard place’ is a less-than-successful strategy because it is based on an acceptance of accuracy as the primary evaluation criterion, which is the source of cognitive dissonance. One way to reduce cognitive dissonance is to change the relationship of the very cognitive elements creating it. We argue that forecast evaluations currently focused on accuracy and based on measures like RMSE and MAPE be refocused to include utility and propose for this purpose the ‘Proportionate Reduction in Error’ (PRE) measure. We illustrate our proposal with examples and discuss its advantages. We conclude that including PRE as an evaluation criterion can reduce stress by reducing cognitive dissonance without, at the same time, either trivializing the evaluation process or substantively altering how forecasts are done and presented.     

A Comparison of Nonparametric Tests of Weak Separability for Annual and Quarterly Data on Consumption,Leisure, and Money

Among the most fundamental assumptions made in economics are utility maximization and the separability of the arguments in the representative consumer's utility function. These assumptions are important for theoretical and empirical applications of economics. In this article, we present results from nonparametric tests of these assumptions of consumer behavior. We find that utility maximization generally obtains with either annual or quarterly per capita data on consumption goods, leisure, and relatively liquid monetary assets. Annual data on consumption goods, leisure, and all monetary assets are consistent with utility maximization. There is some evidence in support of using partial adjustment models when estimating quarterly data models of the demand for monetary assets. Further, annual data on consumption goods and leisure and on liquid monetary assets meet the necessary and sufficient conditions for weak separability. These results support the notion of a monetary aggregate more broadly based than currency plus demand deposits. Separability of monetary assets does not obtain for quarterly data.     

关于我国利用外资原则的考察与思考

我国利用外资原则的提出和发展经过了一个过程,考察这些原则的提出与发展,结合我国利用外资的实际,给我们留下了诸多思考。     

Measuring the Precision of Statistical Cost Allocations

This article examines the use of regression analysis for allocating indirect costs. When multiple regression is used to estimate the weights of several allocation factors, conventional standard errors and correlation coefficients can be misleading with respect to the statistical precision of the cost allocations. This article develops alternative allocation approaches and measures of precision that use linear prediction theory and Bayesian inference. The proposed methods are illustrated using a university indirect cost study.     

On Ordinal Utility,Cardinal Utility and Random Utility

Though the Random Utility Model (RUM) was conceived entirely in terms of ordinal utility, the apparatus through which it is widely practised exhibits properties of cardinal utility. The adoption of cardinal utility as a working operation of ordinal is perfectly valid, provided interpretations drawn from that operation remain faithful to ordinal utility. The article considers whether the latter requirement holds true for several measurements commonly derived from RUM. In particular it is found that measurements of consumer surplus change may depart from ordinal utility, and exploit the cardinality inherent in the practical apparatus.