The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probabili...The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.展开更多
In this paper, the theory of stochastic differential utility is studied. Sufficient conditions for existence, uniqueness, continuity, monotonicity, time consistency, risk aversion and concavity are gived under non-Li...In this paper, the theory of stochastic differential utility is studied. Sufficient conditions for existence, uniqueness, continuity, monotonicity, time consistency, risk aversion and concavity are gived under non-Lipschtz assumptions.展开更多
Expected utility theory of Von Neumann-Morgenstern assumes that a preference order is defined for all lotteries (c1, p; c2, 1 -p) (of with probability p, c2 with probability 1 - p) for all real p, 0≤p≤1. But when th...Expected utility theory of Von Neumann-Morgenstern assumes that a preference order is defined for all lotteries (c1, p; c2, 1 -p) (of with probability p, c2 with probability 1 - p) for all real p, 0≤p≤1. But when the probability p is irrational, it is hard to interpret the lottery intuitively. The utility theory of J. C. Shepherdson is introduced based on rational probabilities in this paper. And then, this paper studies the axioms proposed by J. C. Shepherdson, and puts forward a set of alternative axioms. At last, it is shown that both sets of axioms are equivalent.展开更多
This paper addresses the power con- trol problems of Cognitive Radio （CR） trader transmission power and interference tempera- ture constraints. First, we propose the interfer- ence constraint which ensures that the ...This paper addresses the power con- trol problems of Cognitive Radio （CR） trader transmission power and interference tempera- ture constraints. First, we propose the interfer- ence constraint which ensures that the Quality of Service （QoS） standards for primary users is considered and a non-cooperative game power control model. Based on the proposed model, we developed a logical utility function based on the Signal-to-Interference-Noise Ratio （S/NR） and a novel algorithm network power control. that is suitable for CR Then, the existence and uniqueness of the Nash Equilibrium （NE） in our utility function are proved by the principle of game theory and the corresponding optimi- zations. Compared to traditional algorithms, the proposed one could converge to an NE in 3-5 iterative operations by setting an appropriate pricing factor. Finally, simulation results ver- ified the stability and superiority of the novel algorithm in flat-fading channel environments.展开更多
Forests produce several types of benefits to both forest landowners and society.The social benefit of private forestry is equal to private benefit plus positive externalities minus negative externalities.This study de...Forests produce several types of benefits to both forest landowners and society.The social benefit of private forestry is equal to private benefit plus positive externalities minus negative externalities.This study developed alternative metrics for the evaluation of the social benefit of forest management.Forest management was assessed in terms of five criteria:economic,socio-cultural,environmental and ecological performance and the resilience of the forest ecosystem.Each criterion was described with three numerical indicators.Alternative performance indices were calculated from the indicator values using methods developed for multi-criteria decision making.It was concluded that indices based on the multiplicative Cobb-Douglas utility function might be the most recommendable when forestry should produce a balanced combination of different ecosystem services.When the indices were used to compare alternative silvicultural systems in terms of their social performance,continuous cover management was ranked better than even-aged management.The performance of even-aged management improved when it aimed at increasing the share of mixed stands and broadleaf species.Maximizing net present value(NPV) with a 1 % discount rate led to better social performance than maximizing NPV with a 4% discount rate.展开更多
In this paper, the balanced economic growth path was considered in a new growth model with endogenous technical progress. It is not only obtained the optimal allocation about capital and labor between a goods-producin...In this paper, the balanced economic growth path was considered in a new growth model with endogenous technical progress. It is not only obtained the optimal allocation about capital and labor between a goods-producing sector and a R&D Sector, but also the optimal value of saving rates. By discussing the effect of parameters, it are also got the following results: When the rate of time preference (discount factor) rising, the fractions of Capital and labor in the goods-producing sector will increase, the fractions in R&D sector and the saving rates will decrease; When the population grows rapidly, the result will be contrary.展开更多
To meet the booming development of diversified services and new applications in the future, the fifth-generation mobile conmmnication system （5G） has arisen. Resources are increasingly scarce in the @namic time-vary...To meet the booming development of diversified services and new applications in the future, the fifth-generation mobile conmmnication system （5G） has arisen. Resources are increasingly scarce in the @namic time-varying of 5G networks. Allocating resources effectively and ensuring quality of service （QoS） requirements of multi-seiwices come to be a research focus. In this paper, we utilize effective capacity to build a utility function with multi-QoS metrics, including rate, delay bound and packet loss ratio. Taking advantage of opportunity cost （OC）, we also propose a multi-QoS guaranteed resource allocation algm＇ithm for multi-services to consider the future condition of system. In the algorithm, according to different business characteristics and the theory of OC, we propose different selection conditions for QoS users and best effort （BE） users to choose more reasonable resources. Finally, simulation results show that our proposed algorithm achieves superior system utility and relatively better fairness in multi-service scenarios.展开更多
This paper explores the existence of multiple equilibria for symmetric 3 indi- vidual, 2 good CES / LES pure exchange economies. Analytically, we show that there are no more than 5 equilibria in such economies. The nu...This paper explores the existence of multiple equilibria for symmetric 3 indi- vidual, 2 good CES / LES pure exchange economies. Analytically, we show that there are no more than 5 equilibria in such economies. The number of equilibria varies from 5 to 3 then to 1. We generalize our analytical results of existence of 1, 3, 5 equilibria for a wide range of parametrizations. We also provide concrete examples of 1, 3, 5 equilibria with parameter zones specified.展开更多
文摘The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.
文摘In this paper, the theory of stochastic differential utility is studied. Sufficient conditions for existence, uniqueness, continuity, monotonicity, time consistency, risk aversion and concavity are gived under non-Lipschtz assumptions.
基金Supported by the National Natural Science Foundation of China(No.79870034).
文摘Expected utility theory of Von Neumann-Morgenstern assumes that a preference order is defined for all lotteries (c1, p; c2, 1 -p) (of with probability p, c2 with probability 1 - p) for all real p, 0≤p≤1. But when the probability p is irrational, it is hard to interpret the lottery intuitively. The utility theory of J. C. Shepherdson is introduced based on rational probabilities in this paper. And then, this paper studies the axioms proposed by J. C. Shepherdson, and puts forward a set of alternative axioms. At last, it is shown that both sets of axioms are equivalent.
基金partially supported by the National Natural Science Foundation of China under Grant No.61172073the Open Research Fund of National Mobile Communications Research Laboratory,Southeast University under Grant No.2012D19+1 种基金the Fundamental Research Funds for the Central Universities,Beijing Jiaotong University under Grant No.2013JBZ01the Program for New Century Excellent Talents in University of Ministry of Education of China under Grant No.NCET-12-0766
文摘This paper addresses the power con- trol problems of Cognitive Radio （CR） trader transmission power and interference tempera- ture constraints. First, we propose the interfer- ence constraint which ensures that the Quality of Service （QoS） standards for primary users is considered and a non-cooperative game power control model. Based on the proposed model, we developed a logical utility function based on the Signal-to-Interference-Noise Ratio （S/NR） and a novel algorithm network power control. that is suitable for CR Then, the existence and uniqueness of the Nash Equilibrium （NE） in our utility function are proved by the principle of game theory and the corresponding optimi- zations. Compared to traditional algorithms, the proposed one could converge to an NE in 3-5 iterative operations by setting an appropriate pricing factor. Finally, simulation results ver- ified the stability and superiority of the novel algorithm in flat-fading channel environments.
文摘Forests produce several types of benefits to both forest landowners and society.The social benefit of private forestry is equal to private benefit plus positive externalities minus negative externalities.This study developed alternative metrics for the evaluation of the social benefit of forest management.Forest management was assessed in terms of five criteria:economic,socio-cultural,environmental and ecological performance and the resilience of the forest ecosystem.Each criterion was described with three numerical indicators.Alternative performance indices were calculated from the indicator values using methods developed for multi-criteria decision making.It was concluded that indices based on the multiplicative Cobb-Douglas utility function might be the most recommendable when forestry should produce a balanced combination of different ecosystem services.When the indices were used to compare alternative silvicultural systems in terms of their social performance,continuous cover management was ranked better than even-aged management.The performance of even-aged management improved when it aimed at increasing the share of mixed stands and broadleaf species.Maximizing net present value(NPV) with a 1 % discount rate led to better social performance than maximizing NPV with a 4% discount rate.
文摘In this paper, the balanced economic growth path was considered in a new growth model with endogenous technical progress. It is not only obtained the optimal allocation about capital and labor between a goods-producing sector and a R&D Sector, but also the optimal value of saving rates. By discussing the effect of parameters, it are also got the following results: When the rate of time preference (discount factor) rising, the fractions of Capital and labor in the goods-producing sector will increase, the fractions in R&D sector and the saving rates will decrease; When the population grows rapidly, the result will be contrary.
基金supported by the National Science and Technology Major Project under Grant No.2016ZX03001009-003the Nature and Science Foundation of China under Grants Nos.61471068111 Project of China B16006
文摘To meet the booming development of diversified services and new applications in the future, the fifth-generation mobile conmmnication system （5G） has arisen. Resources are increasingly scarce in the @namic time-varying of 5G networks. Allocating resources effectively and ensuring quality of service （QoS） requirements of multi-seiwices come to be a research focus. In this paper, we utilize effective capacity to build a utility function with multi-QoS metrics, including rate, delay bound and packet loss ratio. Taking advantage of opportunity cost （OC）, we also propose a multi-QoS guaranteed resource allocation algm＇ithm for multi-services to consider the future condition of system. In the algorithm, according to different business characteristics and the theory of OC, we propose different selection conditions for QoS users and best effort （BE） users to choose more reasonable resources. Finally, simulation results show that our proposed algorithm achieves superior system utility and relatively better fairness in multi-service scenarios.
基金supported by National Natural Science Foundation of China(70825003 and 70972001)National Social Science Foundation of China(07AJL002)Arts and Humanities Program of Essential Research Foundation of Beihang University(YWF-11-06-007)
文摘This paper explores the existence of multiple equilibria for symmetric 3 indi- vidual, 2 good CES / LES pure exchange economies. Analytically, we show that there are no more than 5 equilibria in such economies. The number of equilibria varies from 5 to 3 then to 1. We generalize our analytical results of existence of 1, 3, 5 equilibria for a wide range of parametrizations. We also provide concrete examples of 1, 3, 5 equilibria with parameter zones specified.
