带有习惯形成的最优消费-投资与闲暇选择问题

研究了在带有习惯形成,随机机会集,随机工资和劳动供给弹性的生命周期模型下的消费-投资和闲暇选择问题.在股票支付红利情形下,利用随机微分方程,建立了带有红利情形的证券市场模型.在投资者偏好由不可分离的冯诺依曼·摩根斯坦指数刻画下,给出了投资者最优消费-投资与闲暇选择策略的显式表达式.     

基于模糊值损益证券的期望效用优化分析

对由具有模糊值损益证券所构成市场中的期望效用优化问题进行了分析.在分析中使用了加权期望效用模型度量模糊值财富对应的期望效用,提出了模糊意义下的套利概念,证明了最优投资组合存在当且仅当市场不存在模糊意义下的套利机会,重点讨论了最优投资组合的性质,并利用最优组合描述了资产的当前价格.     

损失厌恶投资者最优消费和投资组合选择理论的研究进展

自Markowitz投资组合理论问世以来,投资组合选择问题就受到了国内外很多学者的关注,并对其进行了大量研究.本文首先阐述了现代投资组合的理论框架,然后介绍了不同时期国内外学者的研究成果和方法,接着较为详细地介绍了带有行为投资的最优消费和投资组合问题并给出了含损失厌恶的投资组合模型,最后在通胀、跳扩散以及Knight不确定环境下对含有损失厌恶的最优消费和投资组合模型进行了拓展.     

带有劳动收入的最优消费和投资问题研究进展

现代投资组合理论一直是金融工程中活跃的研究方向.首先阐述了消费-投资组合问题的研究现状,介绍了不同时期国内外学者的研究成果和方法,接着较为详细地论述了带有劳动收入的最优消费和投资组合问题并给出了所要研究的模型,即含有时变的投资机会和动态劳动收入的模型,最后给出所要研究模型在通胀环境和Knight不确定下的拓展框架.     

基于不完备信息的投资组合风险管理:随机控制方法

随着倒向随机微分方程理论的不断发展和完善,其在数理金融中的应用越来越广泛,随机控制也逐渐成为研究投资组合风险管理问题的重要方法.本文侧重于展示基于不完备信息的随机控制方法在研究期权定价、均值-方差、期望效用最大化这三类投资组合问题中的简单应用.     

风海流方程低谱模式的多态解问题(一)

本文研究一个带强迫、耗散的非线性准地转海流方程四系数谱模式的定常解及其稳定性问题。指出当风应力项充分强且摩擦系数足够小时,该定常方程有多态解存在,而在其它情形下只存在唯一的稳定解。文中还指出,对于有三个解出现的情形,其中有一个解总是不稳定的;另一个是带有大振幅第一分量的解,由于非线性项起着很大的控制作用,使得该解总是稳定的;第三个是Sverdrup解,它可能是稳定的,也可能是不稳定的。此外,通过对方程进行数值计算还揭示了稳定解对参数R和ε的依赖状况。     

中国制造业碳排放相关制约要素研究和政策思考

<正>制造业企业中,私营、集体企业的固定资产投资可以降低二氧化碳的排放,外资企业的固定资产投资会增加二氧化碳的排放,国有企业固定资产投资与二氧化碳排放没有相关性。1 问题的提出经典经济学理论常常把投资、消费、出口比喻为经济增长的三驾马车。随着气候变化问题的出现及其对人类单纯追求经济增长的质疑,抑制碳排放的增     

基于权重曼哈顿非负矩阵分解的图像修复和聚类方法

当数据中存在大量椒盐噪声时,传统的鲁棒非负矩阵分解方法无法获得更具有鲁棒性的低维特征.为了解决该问题,本文提出了一种更具有鲁棒性的权重曼哈顿非负矩阵分解来修复被污染的数据点以及通过曼哈顿矩阵分解获得鲁棒的特征表示.本文提出的模型可以被看作为非凸非光滑的优化问题,可以通过加速梯优化理论和最小一乘法求其局部最优解.通过对人脸图像ORL数据集加入椒盐噪声,实验结果表明本文提出的算法在图像修复和学习特征表示方面更有效、更鲁棒.     

基于博弈模型的中美气候谈判策略模拟

中美在气候谈判中的共识和分歧已成为影响未来气候谈判走向的重要因素。基于效用和博弈理论,考虑温升幅度及其对GDP影响等因素的不确定性,以及气候变化相关投资对各国净现值效用的负面、正面和外溢影响,对中美气候谈判进行博弈策略模拟及敏感性分析。结果表明,中美气候谈判博弈存在先动劣势,且中美在非合作博弈下的气候变化投资远远无法实现全球2℃控温目标;在合作博弈情景下,为确保实现全球温升控制目标的合作框架的稳定和双赢,未来的气候制度框架需要关注对中国的技术、资金支持和补偿。     

地气图预测全国月降水的实践总结

根据地热涡的移动规律和地热释放的持续性,我们设计了两种月降水的预测方法:(1)外推法,依据过去2~3个月地热涡和多雨区的移向、移速,外推下个月多雨区的位置;(2)"正多负少"规则,利用地热释放的持续性,对3.2 m地温月际变温为正的地区,预测下月多雨,月际变温为负的地区预测下月少雨("正多负少"规则)。此规则的历史拟合率约为65%。指出了5种不符合"正多负少"规则的情形及其可能原因。利用上述2种方法,从2005年9月开始进行全国降水预测试验,按全国统一评分方法,2年多来平均得分为67.5分,2007年12个月的平均得到70.5分。     

基于观测器的多智能体系统的自适应一致性控制

针对带有非线性动态的高阶多智能系统,本文提出了基于观测器的一致性和自适应控制算法.在一致性算法中加入了历史信息,并且参数增益采用自适应律控制的策略.利用Lyapunov函数、稳定性理论、图论和线性矩阵不等式技巧,得到多智能体系统一致性的充分条件.最后通过数值仿真结果验证该算法的有效性.     

Forest law enforcement in the Brazilian Amazon: Costs and income effects

Despite recent success in reducing forest loss in the Brazilian Amazon, additional forest conservation efforts, for example, through ‘Reducing Emissions from Deforestation and Forest Degradation’ (REDD+), could significantly contribute to global climate-change mitigation. Economic incentives, such as payments for environmental services could promote conservation, but deforestation often occurs on land without crucial tenure-security prerequisites. Improving the enforcement of existing regulatory disincentives thus represents an important element of Brazil's anti-deforestation action plan. However, conservation law enforcement costs and benefits have been much less studied than for conditional payments. We develop a conceptual framework and a spatially explicit model to analyze field-based regulatory enforcement in the Brazilian Amazon. We validate our model, based on historical deforestation and enforcement mission data from 2003 to 2008. By simulating the current conservation law enforcement practice, we analyze the costs of liability establishment and legal coercion for alternative conservation targets, and evaluate corresponding income impacts. Our findings suggest that spatial patterns of both deforestation and inspection costs markedly influence enforcement patterns and their income effects. Field-based enforcement is a highly cost-effective forest conservation instrument from a regulator's point of view, but comes at high opportunity costs for land users. Payments for environmental services could compensate costs, but will increase budget outlays vis-à-vis a command-and-control dominated strategy. Both legal and institutional challenges have to be overcome to make conservation payments work at a larger scale. Decision-makers may have to innovatively combine incentive and disincentive-based policy instruments in order to make tropical forest conservation both financially viable and socially compatible.     

社交媒体在“21世纪海上丝绸之路”沿线国家海洋防灾减灾中的应用及借鉴

以Twitter、Facebook为代表的社交媒体在防灾减灾方面的作用越来越受到关注.中国是世界上海洋灾害最为严重的国家之一,海洋防灾减灾是目前我国面临的十分紧迫的问题.近年来,智能手机和网络的普及让中国的社交媒体进入了人们的日常生活.借鉴国外社交媒体在防灾减灾方面的经验,我们认为中国的社交媒体在海洋防灾减灾中同样拥有巨大潜力.本文首先介绍了"21世纪海上丝绸之路"沿线的几个国家利用社交媒体开展海洋防灾减灾工作的情况,随后总结了当前中国在海洋灾害预警、灾害信息传播及灾害管理等方面的实际情况.最后,借鉴国外先进的经验和做法,为进一步提升中国社交媒体在海洋防灾减灾工作中的作用提出了启示性的对策建议.     

一种面向位置数据隐私保护的离线地磁定位模型

基于位置服务给人们的生活带来极大的便利,而目前定位系统特别是室内定位普遍依赖于无线网络信号.很多情况下,用户有位置隐私保护的需求,然而,在目前的大数据时代,基于网络的室内定位服务要求用户将个人位置信息实时提供给服务提供商,这导致用户隐私的泄露.如何有效实现室内的基于位置服务,并且保护用户的个人位置信息就成了大数据时代的一个关键问题.本文介绍了一种面向位置数据隐私保护的离线地磁定位模型,利用加速度传感器和微机电磁力计检测行人步态和地球磁场来实现室内定位.本模型利用加速度计检测行人的步态信息,配合磁力计检测的磁场信息与指纹地图进行匹配,实现了室内定位需求的同时又解决了用户位置信息泄露的问题,为大数据时代如何保护用户的位置信息提供了一个有效的解决办法.     

Consumption tradeoff vs. catastrophes avoidance: implications of some recent results in happiness studies on the economics of climate change

Recent discussion of climate change focuses on the trade-off between present and future consumption and hence correctly emphasizes the discount rate. Stern (2007) favours immediate and strong actions of environmental protection, but this has been questioned as the discount rate used is much lower than the market or commonly used rates. Focussed only on consumption trade-off, the use of these higher discount rates completely reverses the need for strong actions. However, an even more important problem has been largely neglected. This is the avoidance of catastrophes that may threaten the extinction of the human species. But ??we lack a usable economic framework for dealing with these kinds of ... extreme disasters?? (Weitzman, J Econ Lit 45(3):703?C724, 2007, p. 723). To analyse this, the comparison of marginal utility with total utility is needed. As happiness studies suggest a low ratio of marginal to total utility and as scientific and technological advances (especially in brain stimulation and genetic engineering) may dramatically increase future welfare, immediate and actions stronger than proposed by Stern may be justified despite high discount rates on future consumption, as discount rates on future utility/welfare should be much lower.     

The political economy of natural disaster damage

Economic damage from natural hazards can sometimes be prevented and always mitigated. However, private individuals tend to underinvest in such measures due to problems of collective action, information asymmetry and myopic behavior. Governments, which can in principle correct these market failures, themselves face incentives to underinvest in costly disaster prevention policies and damage mitigation regulations. Yet, disaster damage varies greatly across countries. We argue that rational actors will invest more in trying to prevent and mitigate damage the larger a country's propensity to experience frequent and strong natural hazards. Accordingly, economic loss from an actually occurring disaster will be smaller the larger a country's disaster propensity – holding everything else equal, such as hazard magnitude, the country's total wealth and per capita income. At the same time, damage is not entirely preventable and smaller losses tend to be random. Disaster propensity will therefore have a larger marginal effect on larger predicted damages than on smaller ones. We employ quantile regression analysis in a global sample to test these predictions, focusing on the three disaster types causing the vast majority of damage worldwide: earthquakes, floods and tropical cyclones.     

我国留学生人数的预测及其对居民消费的影响

采用1985-2012年数据,利用时间序列分析方法,建立了刻画我国出国留学人数变动的模型ARIMA（2,2,2）,得到较好的预测效果.同时研究了出国留学人数与我国城镇居民人均消费性支出之间的关系,建立了相应的模型,并进行了Granger 因果关系检验.结果表明：出国留学生数的对数每增加1%,城镇居民人均消费性支出的对数将增加近0.06%.