Abstract This paper analyses the general equilibrium existence problem in a (finite) discrete time economy with infinite dimensional commodity space and incomplete financial markets.It is assumed that the trading take...Abstract This paper analyses the general equilibrium existence problem in a (finite) discrete time economy with infinite dimensional commodity space and incomplete financial markets.It is assumed that the trading takes place in the sequence of spot markets and futures markets for securities payable in units of account.Unlimited short selling in securities is allowed.The existence of such an equilibrium is proved under the following conditions:Mackey continuous,weakly convex,strictly monotone,complete preferences and strictly positive endowments.展开更多
This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This pa...This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.展开更多
本文研究市场环境中的暧昧性如何影响风险资产的价格,市场的流动性和参与者的福利,并探讨暧昧环境下风险资产价格与流动性之间的关系.本文在Vayanos and Wang(2012)的三期模型的基础上进行拓展,假设市场参与者对于风险资产偿付的期望存...本文研究市场环境中的暧昧性如何影响风险资产的价格,市场的流动性和参与者的福利,并探讨暧昧环境下风险资产价格与流动性之间的关系.本文在Vayanos and Wang(2012)的三期模型的基础上进行拓展,假设市场参与者对于风险资产偿付的期望存在暧昧性,并且采用最大最小期望效用模型(MEU)进行决策.在该模型框架下,本文计算出风险资产在暧昧环境下的价格,并推导出两种流动性度量指标——价格冲击和价格反转.通过数值分析,本文发现暧昧环境增加了风险资产价格和流动性关系的复杂性:在一般情况下,暧昧性的存在会降低风险资产在第0期的价格,增加价格冲击;对于价格反转,当流动性需求者的比例较低时,暧昧性的存在会降低价格反转,而当流动性需求者的比例较高时,则会增加价格反转,导致流动性的降低.此外,本文关于流动性冲击的波动对风险资产价格以及流动性的影响进行了比较静态分析,发现在流动性需求者的比例较高时,随着流动性冲击的波动增加,暧昧环境下风险资产价格会降低,价格冲击和价格反转则会上升.最后,本文发现暧昧性存在总会降低参与者的福利.展开更多
在一般人群中,尽可能减少受试者负担,且最大限度地正确评估日常膳食营养状态是构建营养流行病学队列研究的前提条件。本文介绍主要膳食营养评估方法的同时,着重说明食物频率问卷(food frequency questionnaire)开发的基本内容及其原则,...在一般人群中,尽可能减少受试者负担,且最大限度地正确评估日常膳食营养状态是构建营养流行病学队列研究的前提条件。本文介绍主要膳食营养评估方法的同时,着重说明食物频率问卷(food frequency questionnaire)开发的基本内容及其原则,并以天津营养流行病学队列研究(TCLSIH队列研究)调查为例,简单说明地区性食物频率问卷开发的问题点和解决策略。在此基础上,初步讨论全国版食物频率问卷开发的必要性和可能性。展开更多
文摘Abstract This paper analyses the general equilibrium existence problem in a (finite) discrete time economy with infinite dimensional commodity space and incomplete financial markets.It is assumed that the trading takes place in the sequence of spot markets and futures markets for securities payable in units of account.Unlimited short selling in securities is allowed.The existence of such an equilibrium is proved under the following conditions:Mackey continuous,weakly convex,strictly monotone,complete preferences and strictly positive endowments.
文摘This paper analyzes the aritrage free security markets and the general equilibrium existence problem for a stochastic economy with incomplete financial markets. Information structure is given by an event tree. This paper restricts attention to purely financial securities. It is assume that trading takes place in the sequence of spot markets and futures markets for securities payable in units of account. Unlimited short selling in securities is allowed. Financial markets may be incomplete: some consumption streams may be impossible to obtain by any trading strategy. Securities may be individually precluded from trade at arbitrary states and dates. The security price process is arbitrage free the dividend process if and only if there exists a stochstic state price (present value) process: the present value of the security prices at every vertex is the present value of their dividend and capital values over the set of immediate successors; the current value of each security at every vertex is the present value of its future dividend stream over all succeeding vertices. The existence of such an equilibrium is proved under the following condition: continuous, weakly convex, strictly monotone and complete preferences, strictly positive endowments and dividends processes.
文摘本文研究市场环境中的暧昧性如何影响风险资产的价格,市场的流动性和参与者的福利,并探讨暧昧环境下风险资产价格与流动性之间的关系.本文在Vayanos and Wang(2012)的三期模型的基础上进行拓展,假设市场参与者对于风险资产偿付的期望存在暧昧性,并且采用最大最小期望效用模型(MEU)进行决策.在该模型框架下,本文计算出风险资产在暧昧环境下的价格,并推导出两种流动性度量指标——价格冲击和价格反转.通过数值分析,本文发现暧昧环境增加了风险资产价格和流动性关系的复杂性:在一般情况下,暧昧性的存在会降低风险资产在第0期的价格,增加价格冲击;对于价格反转,当流动性需求者的比例较低时,暧昧性的存在会降低价格反转,而当流动性需求者的比例较高时,则会增加价格反转,导致流动性的降低.此外,本文关于流动性冲击的波动对风险资产价格以及流动性的影响进行了比较静态分析,发现在流动性需求者的比例较高时,随着流动性冲击的波动增加,暧昧环境下风险资产价格会降低,价格冲击和价格反转则会上升.最后,本文发现暧昧性存在总会降低参与者的福利.
文摘在一般人群中,尽可能减少受试者负担,且最大限度地正确评估日常膳食营养状态是构建营养流行病学队列研究的前提条件。本文介绍主要膳食营养评估方法的同时,着重说明食物频率问卷(food frequency questionnaire)开发的基本内容及其原则,并以天津营养流行病学队列研究(TCLSIH队列研究)调查为例,简单说明地区性食物频率问卷开发的问题点和解决策略。在此基础上,初步讨论全国版食物频率问卷开发的必要性和可能性。
