基于概率影响图的项目期权风险分析

投资项目期权评价方法的运用受到众多风险因素的影响。为评估各风险因素对项目期权评价方法准确性的影响程度并识别出关键风险因素,进而为风险控制提供依据,将这些风险因素概括为3大类14个风险指标,运用概率影响图的方法进行模型化简和概率推理,最终确定各风险因素的变动对项目期权评价的影响程度。这对于项目期权评价方法的完善和推广以及对投资项目价值的准确评估具有重要的理论和实践意义。     

A simple evolutionary model of dormancy and dispersal in heterogeneous patches with special reference to phytophagous lady beetles: I. Stable environments

Summary A simple evolutionary model of dormancy and dispersal is presented with special reference to phytophagous lady beetles. In order to investigate spatially heterogeneous environments, we assume the simplest patch structure, that is, there are only two patches, main and sub. Environments are also assumed to be temporally constant. The main patch is superior to the sub patch, but density effect at the main patch is higher than at the sub patch. Optimal dormancy and dispersal are obtained at the same time by the method of evolutionarily stable strategy (ESS). In the univoltine life cycle, dormancy strategy vanishes because dormant individuals do not reproduce at all but suffer from a certain mortality rate during winter hibernation. In the bivoltine life cycle, the dormancy and dispersal rates constitute a trade-off: the rates change together with a negative correlation when the mortality rate during dispersal or during winter hibernation changes. When suitability of the main patch gradually deteriorates, the optimal strategy changes as follows: neither dormancy nor dispersal is adopted at the most suitable condition, the dispersal rate is increased without dormancy in the intermediate condition, and then the dormancy rate is increased with a constant dispersal rate. We discuss the field observation data of lady beetles in the light of results of our model.     

Package Auctions and Exchanges

We report recent advances concerning the package allocation problem, in which traders seek to buy or sell combinations of goods. The problems are most difficult when some goods are not substitutes. In that case, competitive equilibrium typically fail to exist but the core is non‐empty and comprises the competitive solutions. Also in that case, the Vickrey auction fails to select core allocations and yield revenues that are less than competitive. The Ausubel‐Milgrom auction generally selects core allocations and, when goods are substitutes, prescribes the Vickrey allocation. We also evaluate the problems and promise of mechanisms for the package exchange problem.     

政府动态奖惩机制下绿色建筑供给侧演化博弈研究

从绿色建筑供给侧角度出发,构建消费者效用函数、开发商利润函数和政府与开发商的演化博弈模型,分析消费者绿色偏好、建筑绿色度、成本等因素对建筑价格、需求和利润的影响以及政府动态奖惩政策下系统的演化稳定策略。结果表明：消费者绿色偏好支付系数和建筑绿色度的增大有利于绿色建筑价格、需求和利润的提高,但高成本却使需求和利润降低;政府采用静态补贴与静态税收政策时,博弈系统不存在演化稳定策略,采用动态补贴与静态税收、静态补贴与动态税收、动态补贴与动态税收三种政策组合时,系统存在演化稳定策略;动态补贴与静态税收的政策组合在推动绿色建筑发展方面优于其他政策;开发商开发绿色建筑的概率与补贴上限值呈负相关,与税收上限值呈正相关。     

Why Frequency is Not Well Defined for Engineering Systems with Nonexponential Failure Times

Dr. Yellman proposes to define frequency as “a time‐rate of events of a specified type over a particular time interval.” We review why no definition of frequency, including this one, can satisfy both of two conditions: (1) the definition should agree with the ordinary meaning of frequency, such as that less frequent events are less likely to occur than more frequent events, over any particular time interval for which the frequencies of both are defined; and (2) the definition should be applicable not only to exponentially distributed times between (or until) events, but also to some nonexponential (e.g., uniformly distributed) times. We make the simple point that no definition can satisfy (1) and (2) by showing that any definition that determines which of any two uniformly distributed times has the higher “frequency” (or that determines that they have the same “frequency,” if neither is higher) must assign a higher frequency number to the distribution with the lower probability of occurrence over some time intervals. Dr. Yellman's proposed phrase, “time‐rate of events … over a particular time interval” is profoundly ambiguous in such cases, as the instantaneous failure rates vary over an infinitely wide range (e.g., from one to infinity), making it unclear which value is denoted by the phrase “time‐rate of events.”     

A Continuous Representation of the Family of Stable Law Distributions

Conventional parametric representations of stable law distributions do not allow all members of the family to be obtained as continuous limits of the parameters. Model building (or simulation) using such representations will be numerically unstable near such limits in consequence. Existing tables are not satisfactory near such limits as interpolation cannot be carried out. We show that these difficulties are overcome by using a new shifted Cartesian representation which characterizes the entire stable law family in a completely continuous way. Standardization is still possible with this representation so that tabulation, using just two bounded parameters, can be carried out. Its use is illustrated in a non-regular threshold estimation problem involving stable distributions which are discontinuous limits in conventional representations.     

On Robust Analysis of a Normal Location Parameter

Pericchi and Smith considered a normal location parameter problem with double-exponential and Student t prior distributions. These two prior distributions both belong to the class of scale mixtures of normal distributions and are useful in providing a robust analysis of the normal location parameter problem. In this paper we extend the analysis to other scale mixtures of normal distributions, such as the exponential power and the symmetric stable distributions.     

Some theory and practical uses of trimmed L-moments

Trimmed L-moments, defined by Elamir and Seheult [2003. Trimmed L-moments. Comput. Statist. Data Anal. 43, 299–314], summarize the shape of probability distributions or data samples in a way that remains viable for heavy-tailed distributions, even those for which the mean may not exist. We derive some further theoretical results concerning trimmed L-moments: a relation with the expansion of the quantile function as a weighted sum of Jacobi polynomials; the bounds that must be satisfied by trimmed L-moments; recurrences between trimmed L-moments with different degrees of trimming; and the asymptotic distributions of sample estimators of trimmed L-moments. We also give examples of how trimmed L-moments can be used, analogously to L-moments, in the analysis of heavy-tailed data. Examples include identification of distributions using a trimmed L-moment ratio diagram, shape parameter estimation for the generalized Pareto distribution, and fitting generalized Pareto distributions to a heavy-tailed data sample of computer network traffic.     

论稳健的财政政策与稳健的货币政策

中国经济在2002年底走出通货紧缩的阴影后,又从2003年8月起进入了温和的通货膨胀时期,如何保持国民经济的平稳较快发展,是宏观经济管理需要解决的重大课题。2004年12月3日中央经济工作会议决定在2005年及其以后相当长一段时间内实行稳健的财政政策和稳健的货币政策,是消除当前经济运行中不稳定不健康因素、巩固改革开放成果、推动经济社会持续发展而作出的重大决策。只有认真分析这个决策产生的时代背景,科学地认识这个政策的深刻内涵,创造性地探索出实施这个政策的具体办法,才能达到预期的宏观调控的目的。     

Multi-modal tempered stable distributions and prosses with applications to finance

Abstract

The assumption of underlying return distribution plays an important role in asset pricing models. While the return distribution used in the traditional theories of asset pricing is the unimodal distribution, numerous studies which have investigated the empirical behavior of asset returns in financial markets use multi-modal distribution. We introduce a new parsimonious multi-modal distribution, referred to as the multi-modal tempered stable (MMTS) distribution. In this article we also generate the exponential Lévy market models and derive the value-at-risk (VaR) induced from them. To demonstrate the advantages, we will present the results of the parameter estimation and the VaRs for financial data.