基于信息更新的报童模型理性预期均衡分析

杜 宾; 邱菀华

基于信息更新的报童模型理性预期均衡分析

杜宾¹,
邱菀华²

1.
江西财经大学信息管理学院, 江西南昌 330013
2. 北京航空航天大学经济管理学院, 北京 100191

基金项目: 国家自然科学基金项目(70840004,70871002);江西省教育厅科技项目(赣教技字(2007)278号)

详细信息

中图分类号: F274
计量
- 文章访问数: 1653
- HTML全文浏览量: 3
- PDF下载量: 1023
出版历程
- 收稿日期: 2009-03-01
- 发布日期: 2010-07-24

Rational Expectations Equilibrium Analysis to Newsvendor Model with Updating Information

DU Bin¹,
QIU Wan-hua²

1.
School of Information Management, Jiangxi University of Finance and Economics, Nanchang 330013, China

Funds: 国家自然科学基金项目(70840004,70871002);江西省教育厅科技项目(赣教技字(2007)278号)

摘要

摘要: 交易行为既是买卖双方博弈的随机过程,同时又体现了均衡的存在性和一致性。基于报童模型设计构造了信息不对称的商品交易市场,依据更新的信息属性,定义了两阶段的理性预期均衡,并分析了均衡条件下的性质,发现理性预期均衡下扩大的库存水平的收益大于非均衡条件下的收益。最后运用正态需求函数实例进行数值分析,计算信息更新产生的信息价值,验证了理性预期均衡分析报童模型的有效性。
- 理性预期均衡 /
- 报童模型 /
- 贝叶斯预测 /
- 努力水平
Abstract: Trading behavior in a game of buyers and sellers is not only a stochastic proces s, but also reflects the equilibrium of the existence and consistency. Based on a newsvendor model, the structure of information asymmetry commodity trading mar ket is designed and constructed. According to updating values of information, de finitions of two-stage rational expectation equilibrium are presented and prope rties on the equilibrium condition are analyzed. These findings reveal that payo ff of inventory level in rational expectations equilibrium is larger than in non equilibrium. Finally, a numerical example with normal demand function is analyze d to compute information value with updating information and verify the validity of the rational expectations equilibrium.
- rational expectation equilibrium /
- newsvendor model /
- Bayesian forecasting /
- effort level

HTML全文

参考文献(16)

[1]	Muth J F. Rational expectations and the theory of price move ment[J]. Econometrica, 1961,29: 315-335.
[2]	Radner R. Rational expectations equilibrium: generic existence and t he information revealed by price[J]. Econometrica, 1979, 47:655-678.
[3]	Lucas D E. Expectations and the neutrality of money[J]. Journal o f Economic Theory, 1972,4(2):103-124.
[4]	Admati A. A noisy rational expectations equilibrium for multi-asset securities markets[J]. Econometrica, 1985,53(3):629-658.
[5]	Grossman Sanford J. An introduction to the theory of rational expect ations under asymmetric information[J]. Review of Economic Studies, 1981,48:5 41-559.
[6]	Grossman Sanford J. Dynamic asset allocation and the informational e fficiency of markets[J]. Journal of Finance, 1995,50(3): 773-787.
[7]	Mahajan S, Van Ryzin G J. Inventory competition under dynamic consum er choice[J]. Operations Research, 2001,49(5):646-657.
[8]	Parlar M. Game theoretic analysis of the substitutable product inven t ory problem with random demands[J]. Naval Research Logistics, 1988,35: 397-40 9.
[9]	Dasgupta P, Maskin E. The existence of equilibrium in discontinuous economic games: theory[J]. Review of Economics Studies, 1986,53:1-26.
[10]	Netessine S, Rudi N. Centralized and competitive inventory mode ls with demand substitution[J]. Operations Research, 2003,53: 329-335.
[11]	Cachon G P. Stock wars: inventory competition in a two-echelon sup ply chain[J]. Operations Research, 2001,49:658-674.
[12]	Wu S D. Supply chain intermediation: a bargaining theoretic framewo r k. handbook of quantitative. supply chain analysis: modeling in the e-busines s era[M]. New York: Kluwer Academic Publishers, 2004: 67-115.
[13]	Rudi N, Netessine S. Centralized and competitive inventory models w ith demand substitution[J]. Operations Research, 2003,51(2): 329-335.
[14]	Wang H, Guo M, Efstathiou J. A game-theoretical cooperative mechan ism design for a two-echelon decentralized supply chain[J]. European Journal of Operational Research, 2004,157: 372-388.
[15]	Sun D, Ryan J K, Shin H. Why do we observe stockless operations on the internet? Stockless operations under competition[J]. Production & Operations Management, 2008,17(2): 139-149.
[16]	Su X. Intertemporal pricing with strategic customer behavior[J]. Management Science, 2007,53(5): 726-741.

施引文献

资源附件(0)

计量

文章访问数: 1653
HTML全文浏览量: 3
PDF下载量: 1023
被引次数: 0

基于信息更新的报童模型理性预期均衡分析

计量

出版历程

Rational Expectations Equilibrium Analysis to Newsvendor Model with Updating Information

计量

出版历程

目录