您好,欢迎访问三七文档
当前位置:首页 > 商业/管理/HR > 市场营销 > 090306类型相关情形下具有套利的非线性定价模型
9320104()ChinaEconomicQuarterlyVol19,No13April,20103,;,:,,200062;E2mail:devinmeng@yahoo.com.cn,(NSFC270773073)(09YJC790184)1,3,,n3,CheandKim(2006)n=2,:,,,,LaffontandMartimort(2000)JeonandManicucci(2005),,,,,(revelationprinciple),1,,,,,,,910()9,,,,,,223,(grandcontract),,CrmerandMcLean(CM)(1985,1988)(fullrentextractiontheorem),,,,,,,,,,,CMLaffontandMortimort(LM)(2000),,(uninformedthirdparty)(asidecontract)3,(ICconstraint)(IRconstraint),,,;,,:,,;,,;,,,,,3:911,,JeonandMenicucci(JM)(2005)LM(1997,2000),,,,LM(2000),JM(2005)4n3,CK(2006),n=325MooreandRepullo(1990):Webelievethatthisisimportant,sincethetwo2agentmodelistheleadingcaseforapplicationstocontractingorbargaining.6n=2n3,,Maskin(1999)MooreandRepullo(1990)DuttaandSen(1991)SjÊstrÊm(1991)n3,(NVP)(MaskinMonoto2nicity),,HurwiczandWeinberger(1984)Reichelstein(1984)KwanandNakamura(1987)7CK(2006)M=(t,q)^M=(^t,q):^tD,,,D;^tC,,^MM,^MMn=2,DC,,n,,n3,DmC,CheandKim(2006)(CK(2006)),n3,CM:,;,,,,CM(1985,1988)4,n3n=2,5Hurwicz(1979)HurwiczandWeinberger(1984)Reichelstein(1984)KwanandNakamura(1987)Maskin(1999)MooreandRepullo(1990)DuttaandSen(1991)Nakamura(1991)SjÊstrÊm(1991)de.Trenqualye(1992)BusettoandCodognato(2009)n=2(NashImplementation)n=2n36,,n=2,,:,n=2,CK(2006),CK(2006)n3,,7n=2912()9,,LM(2000),LM(2000),,;,,,,,LM(2000),,,JM(2005)JM(2005),,,,JM(2005):,,,,,()c,qi,i{1,2},qi,ti,iV(qi)-tiV(),V()0,V()0ii={,},-p(1,2)(1,2)2,,,p11=p(,),p12=p(,)=p(,),p22=p(,).,p11p22-p212M,,(^1,^2):3:913M={q1(^1,^2),q2(^1,^2),t1(^1,^2),t2(^1,^2)},(^1,^2)2.,,(anonymousmechanism),,:q11=q1(,)=q2(,),q12=q1(,)=q2(,),q21=q1(,)=q2(,),q22=q1(,)=q2(,).tij,q=(q11,q12,q21,q22)4+,t=(t11,t12,t21,t22)4()LM(1997,2000),S:1:2:M,,3:(sidemechanism)S,S,,(sidetransfers)4:M,S(),S:S={(1,2),x1(1,2,),x2(1,2,),y1(1,2),y2(1,2)},(1,1)2,,2i()yi(1,2)ixi(1,2,),i,,:62i=1yi(1,2)=0;:914()962i=1xi(1,2,)=0.8,(reservationutility)9,CrmerandMcLean(1988)(1,1)22UM(i)iMUM(i)(),CM(1985,1988),(t,q)2p11(t11-cq11)+2p12(t12+t21-cq12-cq21)+2p22(t22-cq22).(Bayesianincentivecompatibleconstraint):BIC():p11[V(q11)-t11]+p12[V(q12)-t12]p11[V(q21)-t21]+p12[V(q22)-t22];(1)BIC():p12[V(q21)-t21]+p22[V(q22)-t22]p12[V(q11)-t11]+p22[V(q12)-t12].(2)(interimparticipationconstraints),:BIR():p11[V(q11)-t11]+p12[V(q12)-t12]0,(3)BIR():p12[V(q21)-t21]+p22[V(q22)-t22]0.8(4)t,,90,(1)(4):t11=(p11p22-p212)V(q11)-p12p22V(q12),(5)t12=(p11p22-p212)V(q12)+p11p12V(q11),(6)t21=(p11p22-p212)V(q21)-p12p22V(q22),(7)3:915t22=(p11p22-p212)V(q22)+p11p12V(q21).(8)(t,q),qijqsb()=(qsb11(),qsb12(),qsb21(),qsb22()),V[qsb11()]=V[qsb12()]=V[qsb21()]=V[qsb22()].(9)10,;,,:,(t110);,(t120),,,,,:,(cross2checking),,10,,(),v=Pr(i=),i=1,2,p11=v2,p12=p21=v(1-v),p22=(1-v)2.,(1)(4),(2)(3),,qsb(0),-1-vvV[qsb11(0)]=-1-vvV[qsb12(0)]=V[qsb21(0)]=V[qsb22(0)]=c.(10),,,,916()9,,,,1(sidemechanism)S={(1,2),x1(1,2,),x2(1,2,),y1(1,2),y2(1,2)},(1,2)2(PT),{UM(),UM()}M(coalition2interim2efficient),(PT):max(),xi(),yi()6(1,2)2p(1,2)[U1(1)+U2(2)],:Ui(i)=6jjp(j|i)[iV(xi(i,j,(i,j))+qi((i,j)))+yi(i,j)-ti((i,j))],Pi,i,j=1,2,ij;(BICSi):Ui(i)Ui(i|i),Ui(i|i)=6jip(j|i)[iV(xi(i,j,(i,j))+qi((i,j)))+yi(i,j)-ti((i,j))],P(i,i)2,i,j=1,2,ij;(BIRSi):Ui(i)UM(i),Pi,i=1,2;(BB:y):62i=1yi(1,2)=0,(BB:x):62i=1xi(1,2,)=0,P(1,2)2,P2S0{()=Id(),x1()=x2()=0,y1()=y2()=0}3:917(nullcontract),,,S0,M2M(weaklycollusion2proof),(atruth2tellingdirectmecha2nism)S01(),LM(2000)3,:,,(coali2tionincentiveconstraints)2,[0,1),M::(,),CIC(,;,):2-p212p11p12+V(q11)-2t112-p212p11p12+Vq12+q212-t12-t21,(11)CIC(,;,):2-p212p11p12+V(q11)-2t112-p212p11p12+V(q22)-2t22;(12)(,)CIC(,;,):-p22p12V(1(q12+q21))+V(2(q12+q21))-t12-t21-p22p12V(1(2q11))+V(2(2q11))-2t11,(13)CIC(,;,):-p22p12V(1(q12+q21))+V(2(q12+q21))-t12-t21-p22p12V(1(2q22))+V(2(2q22))-2t22;(14)918()9(,)CIC(,;,):2V(q22)-2t222V(q11)-2t11,(15)CIC(,;,):2V(q22)-2t222Vq12+q212-t12-t21,(16)(1(x),2(x))=argmaxx1,x2:x1+x2=x-p22p12V(x1)+V(x2)(17)(no2arbitrage2constraint):-p22p12V(q12)=V(q21).(18)0;=0,,CIC(,;,),(,)(,)(18),;(,)(,),:q1(,)=q2(,),q1(,)=q2(,),,(11)(18),(realval2uation)(virtualvaluations):v=:v(,),v=-p212p11p12+;(,),v=-p22p12,=0,,0,=0,,,,,(11)3:919(18)=0,(11)(16),1,[0,1),M:(,)CIC(,;,):2-P212p11p12+V(q11)-2t11-p212p11p12+[V(q12)+V(q21)]-t12-t21,(19)CIC(,;,):2-p212p11p12+V(q11)-2t112-p212p11p12+V(q22)-2t22;(20)(,)CIC(,;,):-p22p12V(q12)+V(q21)-t12-t21-p22p12V(q11)+V(q11)-2t11,(21)CIC(,;,):-p22p12V(q12)+V(q21)-t12-t21-p22p12V(q22)+V(q22)-2t22;(22)(,)CIC(,;,):2V(q22)-2t222V(q11)-2t11,(23)CIC(,;,):2V(q22)-2t22[V(q12)+V(q21)]-t12-t21.(24),fb()=max{t,q}(t,q|),s.t.(3),(4),(25)sb()=max{t,q}(t,q|),s.t.(1),(2),(3),(4),(26)tb()=max{t,q[0,1)}(t,q,|),s.t.(1),(2),(3),(4),(19)(24),(27)fob()=max{t,q[0,1)}(t,q,|),s.t.(1),(2),(3),(4),(11)(18),(28)920()9fb(),sb(),tb(),fob(),,,Mi()=(ti(),qi()),i=fb,sb,tb,fob1111fbsbtbfobfirst2bestsecond2bestthird2bestfourth2best12013q q-p22p12V(q)=cV( q)=cV()(11)(18)(19)(24)3:fb()sb()tb()fob(),0,(),(27),LM(2000)412V(q)-V( q)-CV( q)22V( q)
本文标题:090306类型相关情形下具有套利的非线性定价模型
链接地址:https://www.777doc.com/doc-1450902 .html