Joint Initial Stocking and Transshipment—Asymptotics and Bounds

A common problem faced by many firms in their supply chains can be abstracted as follows. Periodically, or at the beginning of some selling season, the firm needs to distribute finished goods to a set of stocking locations, which, in turn, supply customer demands. Over the selling season, if and when there is a supply‐demand mismatch somewhere, a re‐distribution or transshipment will be needed. Hence, there are two decisions involved: the one‐time stocking decision at the beginning of the season and the supply/transshipment decision throughout the season. Applying a stochastic dynamic programming formulation to a two‐location model with compound Poisson demand processes, we identify the optimal supply/transshipment policy and show that the optimal initial stocking quantities can be obtained via maximizing a concave function whereas the contribution of transshipment is of order square‐root‐of T. Hence, in the context of high‐volume, fast‐moving products, the initial stocking quantity decision is a much more important contributor to the overall profit. The bounds also lead to a heuristic policy, which exhibits excellent performance in our numerical study; and we further prove both the bounds and the heuristic policy are asymptotically optimal when T approaches infinity. Extension to multiple locations is also discussed.     

软件和信息技术服务业创新效率研究

对中国27个省、自治区、直辖市的软件和信息技术服务业创新效率及其影响因素进行了测度。在2009—2012年,软件和信息技术服务业创新效率的提升主要依靠增加研发人员的数量,中国东部地区该产业的创新效率高于中西部,并且产业开放度对其创新产出有负向影响,市场结构和企业规模对其具有正向影响。研究结果表明,该产业的创新效率还具有很大提升空间。     

基于随机前沿生产模型的IPO抑价分解与滞后效应研究

为了探究我国A股市场IPO抑价现象的原因,在随机前沿生产模型的基础上对IPO抑价进行了分解,得到IPO发行价格的边界值.实证结果表明,IPO定价效率为99.14％,证实了样本期间的发行人故意抑价行为,但并不显著.进一步对二级市场进行研究,构建得到GARCH(1,1)是IPO首日抑价率的最优拟合,证实了新股抑价滞后效应的存在性.最后,根据新股发行改革时间点划分样本区间,得到了滞后性逐渐减弱的实证结论,这对IPO发行制度向市场化的注册制改革方向提供了支持.     

On drift parameter estimation in models with fractional Brownian motion

We consider a stochastic differential equation involving standard and fractional Brownian motion with unknown drift parameter to be estimated. We investigate the standard maximum likelihood estimate of the drift parameter, two non-standard estimates and three estimates for the sequential estimation. Model strong consistency and some other properties are proved. The linear model and Ornstein–Uhlenbeck model are studied in detail. As an auxiliary result, an asymptotic behaviour of the fractional derivative of the fractional Brownian motion is established.     

基金发行潮与管理公司绩效

区别于传统以基金作为独立个体的研究,本文以基金的母体——基金家族作为研究对象,重点考察以下问题:为何基金家族纷纷发行新基金?基金家族的迅速繁衍是否损害了其投资绩效?文章从理论上探讨了基金家族热衷于发行新基金的原因。并运用随机前沿分析(SFA)方法,以测算基金家族投资绩效为切入点,重点检验了新基金发行对家族业绩的影响。发现基金家族总体业绩偏低,新基金发行在短期能提高家族业绩,在长期会损害家族业绩。为此,文章进一步探讨了新基金发行对家族业绩的门槛效应。发现要有效促进基金家族业绩,单个基金家族半年内新发行基金数不能超过3只,其旗下基金总数不能超过11只。根据研究成果,文章提出了相关政策建议。     

Stochastic dominance in multicriterion analysis under risk

Traditionally, in the literature on the modelling of decision aids one notes the propensity to treat expected utility models and outranking relation models as rivals. It may be possible, however, to benefit from the use of both approaches in a risky decision context. Stochastic dominance conditions can be used to establish, for each criterion, the preferences of a decision maker and to characterise them by a concave or convex utility function.Two levels of complexity in preference elicitation, designated as clear and unclear, are distinguished. Only in the case of unclear preferences is it potentially interesting to attempt to estimate the value function of the decision maker, thus obtaining his (her) preferences with a reduced number of questions. The number of questions that must be asked of the decision maker depends upon the level of the concordance threshold that he(she) requires in the construction of the outranking relations using the ELECTRE method.     

半参数空间ZISF的估计、分类与蒙特卡罗模拟

零无效率随机前沿模型（ZISF）包含随机前沿模型和回归模型,两模型各有一定的发生概率,适用于技术无效生产单元和技术有效生产单元同时存在的情形。本文在ZISF的生产函数中引入空间效应和非参函数,并假设回归模型的发生概率为非参函数,构建了半参数空间ZISF。该模型可有效避免忽略空间效应导致的有偏且不一致估计量,也避免了线性模型的拟合不足。本文对非参函数采用B样条逼近,使用极大似然方法和JLMS法分别估计参数和技术效率。蒙特卡罗结果表明：①本文方法的估计精度和分类精度均较高。随着样本容量的增大,精度增加。②忽略空间效应或者非参数效应,估计精度和分类精度降低,文中模型有存在必要性。③忽略发生概率的非参数效应会严重降低估计和分类精度,远大于忽略生产函数的非参数效应的影响。     

交通信息条件下道路和停车选择SUE模型及算法

考虑交通信息系统(advanced traveler information system,ATIS)对出行者道路和停车选择行为的影响,并将出行者分成两类:一类出行者使用ATIS,另一类不使用ATIS.在此基础上,构造了一个基于概率的随机用户均衡模型来描述ATIS条件下的道路和停车选择问题,并给出了相应的求解算法.最后,通过一个算例分析了模型及算法的使用效果.     

北京高技术产业研发转化效率实证研究——基于随机前沿生产函数的分析

应用随机前沿生产函数模型,对北京高技术产业研发转化效率进行实证分析。研究表明,北京高技术产业研发经费的产出效率较为理想,而研发人员的产出效率存在较大的提升空间;高技术产业研发转化效率总体呈稳步上升态势,但各行业间差距明显;从影响北京高技术产业研发转化效率的因素看,产业利润和政府扶持对北京高技术产业研发转化效率都具有正向效应,市场结构对研发转化效率的影响不显著。针对上述研究结论,本文针对性提出提升北京高技术产业研发转化效率的若干建议。