Prospect theory for continuous distributions

We extend the original form of prospect theory by Kahneman and Tversky from finite lotteries to arbitrary probability distributions, using an approximation method based on weak-⋆ convergence. The resulting formula is computationally easier than the corresponding formula for cumulative prospect theory and makes it possible to use prospect theory in future applications in economics and finance. Moreover, we suggest a method how to incorporate a crucial step of the “editing phase” into prospect theory and to remove in this way the discontinuity of the original model.

政党现代性视域下推进全面从严治党的发展理路

在当代中国社会迅速发展的转型期,伴随着经济全球化、政治民主化以及文化多元化的冲击,中国共产党在加强政党现代性的进程中推进全面从严治党,必须深刻认识到无产阶级政党现代性的独特内涵,准确把握推进全面从严治党在新的时代背景下面临的新的问题和新挑战.文章在阐明政党现代性的基本内涵的过程中,厘清了无产阶级政党现代性的特殊意义;指明了推进全面从严治党是无产阶级政党现代性的内在意蕴;阐述了在政党现代性视域下推进全面从严治党的基本遵循,即坚持政党治理的法治性、政党活动的民主性、政党意识形态的主导性以及政党活动方式的灵活性.只有把全面从严治党置于政党现代性视域之中,才能不断提高党治国理政的能力,推动政党的现代化,从而实现政党自身肩负的历史使命.     

从出口导向到内需主导——中国外向型经济发展战略的反思及转变

出口导向战略作为一个国家或地区在经济起飞阶段的指导战略是行之有效的,但具有一定的时代性和阶段性。中国作为一个正在成长中的世界性经济大国,必须具有自己自主性较强的经济发展战略。当前,中国所实施的外向型经济发展战略正面临着越来越大的国内外阻力,付出越来越高昂的发展成本。中国要保持经济的长期快速健康增长,就必须改变当前以出口为主导的外向型经济发展战略,把经济发展的增长动力由国外转移到国内,建立以内需主导为本、外需出口为辅的经济发展战略。     

Stochastic Spanning

ABSTRACT

This study develops and implements methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for all risk averse investors. We develop a test procedure for “stochastic spanning” for two nested portfolio sets based on subsampling and linear programming. The test is statistically consistent and asymptotically exact for a class of weakly dependent processes. A Monte Carlo simulation experiment shows good statistical size and power properties in finite samples of realistic dimensions. In an application to standard datasets of historical stock market returns, we accept market portfolio efficiency but reject two-fund separation, which suggests an important role for higher-order moment risk in portfolio theory and asset pricing. Supplementary materials for this article are available online.     

Data-Driven Tests for Trend

This article proposes a new nonparametric test for the ordered alternatives problem in the k-sample setting for null hypothesis of lack of trend. This article further elaborates upon and extends the results of Ledwina and Wy?upek (2012a Ledwina , T. , Wy?upek , G. ( 2012a ). Two-sample test against one-sided alternatives . Scand. J. Statist. 39 : 358 – 381 .[Crossref], [Web of Science ®] , [Google Scholar]) obtained for k = 2. Simulations show that the new test has high and stable power and is able to control the Type I error to satisfactory extent, thus solving the problem posed in Terpstra and Magel (2003 Terpstra , J. T. , Magel , R. C. ( 2003 ). A new nonparametric test for the ordered alternative problem . J. Nonparametr. Statist. 15 : 289 – 301 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]). Our theoretical results say that asymptotic errors of both kinds do not exceed significance level, thus implying that the test is asymptotically unbiased.     

非线性价格调整模型及其迭代解法的收敛性

以Leontief投入产出模型为基础,建立了一个非线性价格调整模型,利用压缩算子和不动点方法,给出了均衡价格的存在性和迭代程序的收敛性证明.     

Information and capacities

Most economists consider that the cases of negative information value that non-Bayesian decision makers seem to exhibit, clearly show that these models are not models representing rational behaviour. We consider this issue for Choquet Expected Utility maximizers in a simple framework, that is the problem of choosing on which event to bet. First, we find a necessary condition to prevent negative information vlaue that we call Separative Monotonicity. This is a weaker condition than Savage Sure thing Principle and it appears that necessity and possibility measures satisfy it and that we cand find conditioning rules such that the information value is always positive. In a second part, we question the way information value is usually measured and suggest that negative information values are merely resulting from an inadequate formula. Yet, we suggest to impose what appears as a weaker requirement, that is, the betting strategy should not be Statistically Dominated. We show for classical updating rules applied to belief functions that this requirement is violated. We consider a class of conditioning rules and exhibit a necessary and sufficient condition in order to satisfy the Statistical Dominance criterion in the case of belief functions. Received: November 2000; revised version: July 2001     

Can good news lead to a more pessimistic choice of action?

Adapting a definition introduced by Milgrom (1981) we say that a signal about the environment is good news relative to some initial beliefs if the posterior beliefs dominate the initial beliefs in the sense of first-order stochastic dominance (the assumption being that higher values of the parameter representing the environment mean better environments). We give an example where good news leads to the adoption of a more pessimistic course of action (we say that action a ₁, reveals greater pessimism than action a ₂, if it gives higher payoff in bad environments and lower payoff in good environments). We then give sufficient conditions for a signal not to induce a more pessimistic choice of action.A first version of this paper was written when the author was Heyworth Research Fellow at Nuffield College, Oxford, and presented at the Second Annual Congress of the European Economic Association (Copenhagen, August 1987). The author is grateful to an anonymous referee for helpful comments.     

Ranking Income Distributions According to Equality of Opportunity

According to the opportunity egalitarian ethics, economic inequalities due to factors beyond the individual responsibility are inequitable and to be compensated by society, whereas inequalities due to personal responsibility are equitable and not to be compensated. In this paper we derive welfare and inequality criteria that respect this principle of justice. We characterize axiomatically classes of opportunity egalitarian social evaluation functions. Then, by requiring unanimous agreement among such classes, we provide simple distributional conditions to rank income distributions. These criteria extend the Lorenz and generalized Lorenz partial orderings, commonly used in the unidimensional case of income distributions, to the current context of equality of opportunity.