For the capital market satisfying standard assumptions that are widely adopted in the equilibrium analysis,a necessary and sufficient condition for the existence and uniqueness of a nonnegative equilibrium price vecto...For the capital market satisfying standard assumptions that are widely adopted in the equilibrium analysis,a necessary and sufficient condition for the existence and uniqueness of a nonnegative equilibrium price vector that clears the mean-variance capital market with short sale allowed is derived.Moreover,the given explicit formula for the equilibrium price shows clearly the relationship between prices of assets and statistical properties of the rate of return on assets,the desired rates of return of individual investors as well as other economic quantities.The economic implication of the derived condition is briefly discussed.These results improve the available results about the equilibrium analysis of the mean-variance market.展开更多
This paper develops the CIR model. In this model, labor is introduced in the production function and leisure in the direct utility function. We examine how the trade-off between labor and leisure would affect asset pr...This paper develops the CIR model. In this model, labor is introduced in the production function and leisure in the direct utility function. We examine how the trade-off between labor and leisure would affect asset prices and derive a familiar principal partial differential equation which asset prices must satisfy. The solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in economy.展开更多
Most studies concerning OPEC's behavior assumptions about oil market structure are either very were based on traditional market microstructure. However, the rigorous or rather fuzzy. This paper demonstrates the ratio...Most studies concerning OPEC's behavior assumptions about oil market structure are either very were based on traditional market microstructure. However, the rigorous or rather fuzzy. This paper demonstrates the rationality and necessity of OPEC's price band policy by using the game theory. We conclude that OPEC has the incentive to limit its price within a specific range if the game period is sufficiently long. This incentive comes either from preference for long-term interest or from future expectations. In such a way, OPEC tries its best to maximize its profit with the quota-price dual policy and plays a price stabilizing role in the future world oil market.展开更多
基金the Natural Science Foundation of Shaanxi Province(2 0 0 1 SL0 9)
文摘For the capital market satisfying standard assumptions that are widely adopted in the equilibrium analysis,a necessary and sufficient condition for the existence and uniqueness of a nonnegative equilibrium price vector that clears the mean-variance capital market with short sale allowed is derived.Moreover,the given explicit formula for the equilibrium price shows clearly the relationship between prices of assets and statistical properties of the rate of return on assets,the desired rates of return of individual investors as well as other economic quantities.The economic implication of the derived condition is briefly discussed.These results improve the available results about the equilibrium analysis of the mean-variance market.
文摘This paper develops the CIR model. In this model, labor is introduced in the production function and leisure in the direct utility function. We examine how the trade-off between labor and leisure would affect asset prices and derive a familiar principal partial differential equation which asset prices must satisfy. The solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in economy.
文摘Most studies concerning OPEC's behavior assumptions about oil market structure are either very were based on traditional market microstructure. However, the rigorous or rather fuzzy. This paper demonstrates the rationality and necessity of OPEC's price band policy by using the game theory. We conclude that OPEC has the incentive to limit its price within a specific range if the game period is sufficiently long. This incentive comes either from preference for long-term interest or from future expectations. In such a way, OPEC tries its best to maximize its profit with the quota-price dual policy and plays a price stabilizing role in the future world oil market.