Cross‐Section Regression with Common Shocks

This paper considers regression models for cross‐section data that exhibit cross‐section dependence due to common shocks, such as macroeconomic shocks. The paper analyzes the properties of least squares (LS) estimators in this context. The results of the paper allow for any form of cross‐section dependence and heterogeneity across population units. The probability limits of the LS estimators are determined, and necessary and sufficient conditions are given for consistency. The asymptotic distributions of the estimators are found to be mixed normal after recentering and scaling. The t, Wald, and F statistics are found to have asymptotic standard normal, χ², and scaled χ² distributions, respectively, under the null hypothesis when the conditions required for consistency of the parameter under test hold. However, the absolute values of t, Wald, and F statistics are found to diverge to infinity under the null hypothesis when these conditions fail. Confidence intervals exhibit similarly dichotomous behavior. Hence, common shocks are found to be innocuous in some circumstances, but quite problematic in others. Models with factor structures for errors and regressors are considered. Using the general results, conditions are determined under which consistency of the LS estimators holds and fails in models with factor structures. The results are extended to cover heterogeneous and functional factor structures in which common factors have different impacts on different population units.     

现货价格和需求关联时期权组合合约模式下采购风险管理策略

在现货价格和客户端需求关联的情形下,本文引用期权组合合约建立现货市场供应量有限时的两阶段采购风险管理模型,以期最大化零售商的期望收益。文中先用逆向归纳法列出零售商第二阶段的最优策略,采用标准扰动定理得出有效合约应满足的最优性条件,并将原模型转化为单调的最短路径问题,应用动态规划求解最优的采购策略。最后用算例分析了现货价格与需求的相关系数及现货市场的供应量对最优策略的影响,发现当供应量一定时,各有效合约的最优预订量及有效合约的总预订量都随着相关系数的增大而提高,并且有效合约受相关系数的影响大小取决于合约的灵活性;并且,当相关系数一定时,有效合约的总预订量及执行价格最低的有效合约的最优预订量都随着供应量的增加而单调减少。     

基于非线性理论的企业市场价值取向战略研究

针对传统企业对市场价值的线性思维模式,利用非线性理论建立了基于Logistic方程的市场价值模型,以及企业内部市场领先战略与技术领先战略模型;通过模型分析了实施单一市场领先战略或技术领先战略企业的发展前景;提出了企业市场价值取向的双绞线均衡战略及战略动态控制要求.     

Overall Successful Aging: Its Factorial Structure and Predictive Factors

As the concept of successful ageing (SA) tends to take different meanings among researchers, there is a lack of consensus on how to measure SA. In order to address this gap, the present study aims to explore the factor structure of SA involving SA indicators presented in the literature. Using Americans' Changing Lives study (ACL), a second-order confirmatory factor analysis on factors constituting an overall SA measure and a SEM regression model to examine the predictive factors of the overall SA measure were estimated. A second-order confirmatory factor model including three latent constructs of SA – Physical Domain (diseases, functional health, and physical activity), Mental Domain (depression, self-efficacy, and cognitive impairment), and Social Domain (formal social integration, informal social integration, and social support) – fits the data properly. The findings of a SEM regression model replicates the findings of previous SA research, suggesting the overall SA latent construct is a valid measure for SA.     

机会约束下的含有资本结构因子和交易成本的均值-VaR投资组合模型

本文在均值-方差模型和机会约束模型的基础上,提出了在允许卖空时的一类机会约束下含有资本结构因子和交易成本的均值-VaR证券投资组合模型,以期望收益率与置信水平为导向,在假设收益率服从正态分布的条件下,建立了其数学模型,并讨论了最优解的存在性和唯一性,以及最优解的解析表达式。     

上市公司股权变更与公司产出效率的研究

该文以1999～2003年间沪、深两市发生的699起股权转让超过5％的并购事件为有效样本事件,利用生产函数计算出公司并购前后的全要素生产率,并分析了不同并购活动对产出效率的影响。实证研究表明,整体上看,公司股权转让后产出效率得到提高,但对长期产出效率改善缺乏持续性;混合并购使股权转让公司的效率提高,而横向和纵向并购却降低了目标公司的效率。另外,研究还表明,在不同的所有权结构下,公司的产出效率并不存在显著性的差异。     

Customer Behavior Modeling in Revenue Management and Auctions: A Review and New Research Opportunities

Customer behavior modeling has been gaining increasing attention in the operations management community. In this paper we review current models of customer behavior in the revenue management and auction literatures and suggest several future research directions.     

供应链物流运作能力计划模型与分析

考察了某种产品供应链系统的一次性物流运作过程,建立了这个系统的物流能力动态规划模型。针对供应链中物流运作能力的流通量指标进行了较为深入的理论分析,探讨了使得系统成本最小化的最优物流能力及系统各阶段需配置的流通量。最优物流能力策略体现为两个关键量,即下界和上界。如果可得输入量小于下界则选择不开展物流;如果可得输入超出了下界,物流能力可以足够大但不超过上界。运用数学归纳法对优化结果进行了证明,并结合算例检验了模型的效果。     

A Supply Chain with a Service Requirement for Each Market Signal

We study a single‐period two‐stage service‐constrained supply chain with an information update. The buyer has two procurement opportunities with the second one after observing a market signal, which updates the demand forecast. He also commits to a service level after observing the market signal. We derive his optimal ordering decisions and show that the critical market signal, the optimal first‐stage order quantity, and the optimal expected profit are monotone with respect to the target service level. We also discuss the impact of the forecast quality on the optimal decisions. We show that the optimal first‐stage order quantity may not be monotone with respect to information accuracy, as is in the case without the service constraint. In addition, we extend our analysis to the situation when an order cancellation is allowed upon the observation of the market signal. We also compare the results obtained for the problems with and without an order cancelation. Finally, we discuss the supply chain coordination issue and find that a buyback contract can also coordinate the supply chain in the presence of the service constraint.