基于声誉理论的我国经理人动态激励模型研究

本文基于声誉理论,建立了一个关于经理人声誉机制与显性机制相结合的最优动态契约模型,以形成长期激励与短期激励相结合的激励模式,根据分析得出了实现声誉有效激励的条件和提高声誉激励效应的途径,并与没有引入声誉机制的契约模型进行了比较,通过实例验证了声誉机制与显性机制相结合的最优动态契约模型的合理性,对于如何有效地发挥声誉机制对我国经理人的激励作用提出了一些建议。     

在有效前沿上集中投资回报的分配

基于均值-方差模型对在有效前沿上集中投资回报提出一个既能增加单个投资者的期望回报,又能减少风险的分配方式,而且此种分配使得投资经理可获得正的期望回报。     

internet网上旱地农业土壤灌溉和需水管理决策支持系统

本文通过对因特网旱地农业土壤灌溉和需水管理决策支持的设计和分析的介绍,较具体地阐明了internet技术在旱地农业土壤灌溉研究的应用,讲述了系统所提供的各种功能,深入浅出地阐明了该系统提供的决策分析模型。说明该系统是旱地水资源可持续利用的重要辅助决策工具。     

市场预测支持系统的预测模型研究

本文运用模糊数学和统计相关的理论,预测支持系统确定预测量的相关因子,分析了建造预测模型的过程,给出了待预测量的预测模型,并验证之。     

投资组合均值-方差模型和极小极大模型的实证比较

本文针对传统的Markowitz均值-方差(MV)模型和Young(1998)提出的极小极大(Minimax)模型进行了实证比较研究。我们将2001年上证30指数的实际数据分成两部分,一部分作为样本数据进行优化组合分析,另一部分作为非样本数据进行模拟投资,检验绩效。结果发现:在同样的样本数据下,由两种模型的解描绘的风险-收益率有效前沿图非常相似;将两组模型的最优解分别进行模拟投资,Minimax模型的结果明显优于MV模型。本文的实证结果检验了Minimax模型的理论结论,表明其在实际投资中具有良好的可操作性和实用价值。     

我国股票市场指数及指数证券投资组合

运用主成分分析法分析我国上海和深圳两个交易所几个市场指数对市场变化的反应情 况, 结果表明两个股票市场的综合指数和A 股指数可以反应市场的变化, 而其他指数不能反 映各自代表的股票市场变化. 由于这4 个指数都不是一个好的投资组合, 要得到与指数一致的 投资收益需要构造指数投资组合. 本文利用多因子定价模型, 结合统计分析和优化方法, 从每 个股票市场上选取20 余支股票, 经过适当的组合就可以得到与指数一致的收益.     

Nonparametric Tests for Stratum Effects in the Cox Model

Thispaper considers the stratified proportional hazards model witha focus on the assessment of stratum effects. The assessmentof such effects is often of interest, for example, in clinicaltrials. In this case, two relevant tests are the test of stratuminteraction with covariates and the test of stratum interactionwith baseline hazard functions. For the test of stratum interactionwith covariates, one can use the partial likelihood method (Kalbfleischand Prentice, 1980; Lin, 1994). For the test of stratum interactionwith baseline hazard functions, however, there seems to be noformal test available. We consider this problem and propose aclass of nonparametric tests. The asymptotic distributions ofthe tests are derived using the martingale theory. The proposedtests can also be used for survival comparisons which need tobe adjusted for covariate effects. The method is illustratedwith data from a lung cancer clinical trial.     

试析辛提卡的语言博弈论

辛提卡提出语言博弈理论旨在建立一种能用于系统分析或摹拟人的认识活动的过程及其结果的理论。这一理论以可能世界理论为基础 ,它把形式逻辑的模型集合建构看做一种特殊的博弈活动 ,用“寻找且找到博弈”描述以现实为对象的语言活动 ,并刻画了两种博弈之间的联系。“寻找且找到博弈”不同于运算 ,它的结局不是预先可断定的 ;而这一博弈规则是制约着语句F的整个证实过程的规则。     

Social mobility and personal satisfaction: evidence from ten countries

This paper examines survey data relating class mobility to satisfaction and dissatisfaction with seven different domains of everyday life among nationally representative samples of men and women living in ten industrialized nations. The evidence is set against competing pessimistic and optimistic accounts of the mobility experience found in earlier literature. Results show that individuals who move from working-class origins to middle-class destinations are no more likely to be systematically satisfied or dissatisfied with life than are the socially immobile or even those downwardly mobile from advantaged backgrounds into the working class. Indeed, in all nations, the overall association between class experience and satisfaction with life is both weak and uneven across the different life-domains. The study also serves to illustrate an important principle of research methodology more generally.     

Mixed Levels of Uncertainty in Complex Policy Models

The characterization and treatment of uncertainty poses special challenges when modeling indeterminate or complex coupled systems such as those involved in the interactions between human activity, climate and the ecosystem. Uncertainty about model structure may become as, or more important than, uncertainty about parameter values. When uncertainty grows so large that prediction or optimization no longer makes sense, it may still be possible to use the model as a behavioral test bed to examine the relative robustness of alternative observational and behavioral strategies. When models must be run into portions of their phase space that are not well understood, different submodels may become unreliable at different rates. A common example involves running a time stepped model far into the future. Several strategies can be used to deal with such situations. The probability of model failure can be reported as a function of time. Possible alternative surprises can be assigned probabilities, modeled separately, and combined. Finally, through the use of subjective judgments, one may be able to combine, and over time shift between models, moving from more detailed to progressively simpler order-of-magnitude models, and perhaps ultimately, on to simple bounding analysis.