限价订单信息含量分布：理论模型及中国市场实证研究

投资者订单决策过程是研究不完全市场信息释放的逻辑起点。订单的信息分布对市场结构设计有重要的作用。构建非对称环境中投资者订单选择策略模型,并利用高频误差修正模型对理论研究结论进行检验。研究发现中国证券市场订单具有递减信息分布。     

含有违约风险的利率风险管理

旨在解决含有违约风险的利率风险管理问题,指出了在商业银行资产负债管理中含有违约风险债券利率风险管理问题研究的必要性,获得了违约风险债券久期的一般公式,建立了含有对违约风险的控制、平均绝对离差约束、平衡表其它相关约束以及目标约束等在内的商业银行利率风险管理的目标规划模型;并在给出数值实例的基础上,讨论了违约风险的存在对银行利率风险管理的影响.     

柏格森生命哲学美学的历史归宿

柏格森的学说可以归纳为三个基本方面:1、知:“绵延—直觉—同情”是其哲学体系的核心;2、意:自由是对绵延的直觉,指“自由意志”而非“道德自由”;3、情:美是对绵延的同情,美在同情。他的思想最终归宿是宣扬“自由”、“平等”与“博爱”,并且赋予这三个名词以全新的涵义。     

Do Life-Saving Regulations Save Lives?

Life-saving regulations may be counter-productive since they have an indirect mortality effect through the reduction in disposable income. This paper estimates the effect of income on mortality, controlling for the initial health status and a host of personal characteristics. The analysis is based on a random sample of the adult Swedish population of over 40,000 individuals followed up for 10–17 years. The income loss that will induce an expected fatality is estimated to be $6.8 million when the costs are borne equally among all adults, $8.4 million when the costs are borne proportionally to income and $9.8 million when the costs are borne progressively to income.     

Effects of relationship duration,cohabitation, and marriage on the frequency of intercourse in couples: Findings from German panel data

Research into the changes in the frequency of sexual intercourse is (with few exceptions) limited to cross-sectional analyses of marital duration. We investigate the frequency of intercourse while taking into account relationship duration as well as the duration of cohabitation and marriage, effects of parenthood, and relationship quality. For the analysis we apply fixed effects regression models using data from the German Family Panel (pairfam), a nationwide randomly sampled German panel survey. Our findings imply that the drop in sex frequency occurs early in the relationship, whereas neither cohabitation nor marriage affects the frequency of intercourse to a significant extent. Sex frequency is reduced during pregnancy and as long as the couple has small children, but becomes revived later on. Relationship quality is found to play a role as well. These results are contrary to the honeymoon effect found in earlier research, but indicate that in times of postponed marriage an analogous effect may be at work in the initial period of the relationship.     

Understanding how corporate social responsibility partnership factors influence nonprofit supportive intentions

Public relations literature on corporate social responsibility (CSR) has long detailed the impact of CSR outcomes for corporations. This study seeks to understand how CSR influences the nonprofit partners involved in these initiatives and what types of CSR partnerships lead to nonprofit supportive intentions. This study merges perspectives on organization-public relationships (OPR) with nonprofit management literature. An online 2 (NPO reputation: low vs high) x 2 (partnership duration: short vs. long) x 2 (CSR fit: low vs. high) experiment was conducted. A few key factors emerged in the analysis: Positive nonprofit reputation strongly predicted all OPR outcomes and mission accomplishment. Unexpectedly, the short-duration condition led to more positive outcomes and intentions. Fit did not seem to have a direct effect on outcomes, but the high-fit, short-duration partnership led to increased levels of all outcomes. For mediation, satisfaction and commitment had the strongest indirect effects on nonprofit supportive intentions (donation, volunteer, and word-of-mouth). This study expands the understanding of CSR effects on nonprofit partners, specifically by showing how different CSR partnership types play a role in the relationship-building efforts of nonprofits. Additionally, demonstrating how mission accomplishment can strengthen these relationships helps to disentangle the unique position of nonprofits in CSR, whose reputation and mission are at stake.     

基于VaR控制预留缺口的资产负债管理优化模型

以利率变化后的VaR风险限额约束条件,以资产组合的利息收入最大为目标函数,建立资产负债组合优化模型。本文的创新与特色一是通过预设持续期缺口使银行的资产组合在利率变动的有利条件下增加银行净值。这弥补了现有的零缺口免疫条件的资产组合不能使银行股东权益在利率变化中增加的缺陷。二是利用VaR技术建立约束条件控制预设的持续期缺口。在利率变动的不利条件下,通过在一定置信水平下的最大损失限额控制资本损失,把银行可能面临的利率风险限定在银行的净利息收入范围内。这种优化配给控制了资本损失,保护了股东权益,开辟了资产优化配置研究的新思路。三是利用银行间市场7天回购利率(R07D)的历史数据,估计了未来的市场利率波动量的概率分布,解决了由于影响因素多而难以刻画市场利率变动情况的问题。     

轻轨列车用缓冲器动态阻抗特性研究

目前国内是参考铁道客车的标准提出轻轨用列车缓冲器的性能指标,并据此选择轻轨列车缓冲器容量和动态阻抗特性。由于城轨车辆采用动力分散的模式,且编组很少,在正常工况下所受车钩力很小,所以参照铁道客车标准选择的缓冲器容量和动态阻抗力往往过高。采用动力学的分析方法确定了动态阻抗特性改变前后的列车纵向冲动量,提出在满足性能和安全要求的前提下,可以降低缓冲器的动态阻抗力和容量,不仅可以改善列车的纵向冲动、提高缓冲器的使用寿命,而且能够降低制造成本。     

Dynamics of social assistance: the Norwegian experience in comparative perspective

In the article we ask how long Norwegian recipients of social assistance stay on aid over an eight‐year period? We focus on the populations selected, the design of the study and how spells are recorded and measured. The data set includes nearly the entire 1995 cohort of social assistance claimants (n = 155,000), and contains individual information over eight years (1992–1999), which is the maximum length of a single continuous spell. The study combines a retrospective and a prospective multiple cohort design. The data analysis shows that there is no simple answer to our question; the answer depends on the sample selected, the design, number of spells counted and the chosen measure of central tendency. We find that median duration times vary from two months to 40 months. The conclusion is that a point‐in‐time sample has clearly the longest duration. It makes a big difference whether one measures one or more spells. Because cycling is a common phenomenon, the sum of all spell durations is much higher than that of the first continuous spell. A retrospective design severely underestimates spell durations since many spells are right‐hand censored. As there is no single, adequate answer to our initial question, it is recommended that analysts of social assistance dynamics carefully specify their sample, design and spells counted.     

Heuristic approach to some laws for Brownian motion

Csàki and Vincze have shown that for an elementary tied-down random walk, the pair (maximum, instant of maximum) has the same law as (time spent in (0, 1/2), time spent above 1/2). Formal passage to the limit indicates that the former pair has for a Brownian bridge the same law as (local time at 0, duration of positivity). A quadrivariate density of Karatzas and Shreve and an equivalence for Brownian motion with drift follow.