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,(,610054):.,.,(),,.,,.,,,,.:;;;:F224.1;F224.9:A:1007-9807(2003)06-0034-060(marketpower),(),,:1),,.2).,[1],,,.,[24],,,.3).,([1]).,[57].,[810].,().,.,,.,,,,,.,.,,,.,[11],,.,66200312JOURNALOFMANAGEMENTSCIENCESINCHINAVol.6No.6Dec.,2003:2002-07-23;:2003-04-04.:(79725002);.:(1973),,,.,,,.1,().,,,,,.,,Q=f(P)+,,Q0P0,f(P)0,,,d=dt+bdz:dz;.,0,.,(000).CP(,),R=Q(P-C)=(f(P)+)(P-C)(1)(),T(0)PP(,PP),,T(,,).S1,=E{T0R1e-tdt+e-T[TR2e-(t-T)dt-S1]}=E{0R1e-tdt+e-T[T(f(P)+)(P-C)e-(t-T)dt-TR1e-(t-T)dt-S1]}=E{0R1e-tdt+e-T[T(P-P)e-(t-T)dt+0(f(P)(P-C)-f(P)(P-C))e-tdt-S1]}(2):E();R1=(f(P)+)(P-C);R2=(f(P)+)(P-C);,(,).(2)2,T(0)PP,tTP,P,P().(2),T,E[TR1e-(t-T)dt].R3(P-P),R3,(2)=E{0R1e-tdt+e-T[TR3e-(t-T)dt+(f(P)(P-C)-f(P)(P-C))-S1]}(3)I=-(f(P)(P-C)-f(P)(P-C))+S1,1().,,I0.,IR3,,.[11],.(3)1,,P,T2,,[11]F(R3)=mxT{e-TE[TR3e-(t-T)dt-I]}dt,(),E{dF(R3)};,F(R3),F(R3)dt.E{dF(R3)}=F(R3)dt(4)536:dF=9F9tdt+9F9R3dR3+1292F9(R3)2(dR3)2=(12b2(R3)2F+R3F)dt+bR3Fdz+o(dt)Edz=0E{dF(R3)}=(12b2(R3)2F+R3F)dt(4)12b2(R3)2F+R3F-F=0(5)(5)F(R3)=A1(R3)1+A2(R3)2:A1A2;12(5)12b2(-1)+-=0.,,11.(),TE{0R3e-tdt}-I=R3(T)--I()R3T3=int{T|R3(T)=R3},F(R3)=A1(R3)1+A2(R3)2R3R3R3--IR3R3(6)F(0)=0A1(R3)1+A2(R3)2=R3--IF(R3)=1-(6)R3=1(-)1-1I,A1=(R3)1-11(-)A2=0,.2Q=f(P)+0,,V0=E[0R1e-tdt]=0(P-C)-+f(P)(P-C)(7),PP,F(P,P)=(R3)1-11(-)(0(P-P))10(P-P)R30(P-P)--I0(P-P)R3(8)3=(T3),R3(P-P)PP,R3R33,03.03,,.,,mxP{0(P-C)-+f(P)(P-C)+(R3)1-11(-)(0(P-P))1}[0-+f(P)(P-C)+f(P)]+11(-)[1(-)1-1]1-1I-1R1-10[(1-1)f(P)(P-C)+f(P)((P-P)0)-01I]=0(9),R0=0(P-P).(9)1,,2(P).(9)0-+f(P)(P-C)+f(P)0(10)(9)-1(-)[1(-)1-1]1-1I1-1R1-1000,0-+f(P)(P-C)+f(P)=0.63200312,(10)11(-)[1(-)1-1]1-1I-1R1-10[(1-1)f(P)(P-C)+f(P)((P-P)0)-01I]0,,,.3,(),,V0+0(P-P)--I=0(P-C)-+f(P)(P-C)+0(P-P)-+(f(P)(P-C)-f(P)(P-C))-S1=0(P-C)-+f(P)(P-C)-S1P,mxP{0(P-C)-+f(P)(P-C)-S1}0-+f(P)(P-C)+f(P)=0(11)(11),3,,Q=f(P)+3S1,.,,3,3.(11),,,,,.,,,,,.,,,,,.,,,,,R3,V0+0(P-P)--IV0+(R3)1-11(-)(0(P-P))1,.1.3,,;,.3().MR=dPdQQ+P=f(P)+0f(P)+PMC=Cf(P)+0f(P)+P-C=0(12).(9),(12),[0(-)]+11(-)[1(-)1-1]1-1I-1R1-10[(1-1)0((P-P)0)-01I]=0(13),.,(10)736:,0-+f(P)(P-C)+f(P)=0.,0,(9)0,0-+f(P)(P-C)+f(P)0,,0-+f(P)(P-C)+f(P)0(14)(14):0,(9).,(11),f(P)0,f(P)+0f(P)+P-C=-0-0,,.,.2,,;,(13),,.2,((13)),.:,.,,.,,,.,,,S1,,,.,,.,,,,,,.,S1,.,3.3,.,,.4,(),(),.,,000.,,,,,,[12].:[1].[M].:,1997.166200[2],.[J].,1996,25(2):200205[3].[J].,1997,26(2):194198[4].[J].,1999,13(1):3741[5]OiWY.Adisneylanddilemma:Two-parttariffsforMickeymousemonopoly[J].QuarterlyJournalofEconomics,1971,85:7790[6]SchmslenseeR.Monopolistictwo-partpricingarrangements[J].BellJournalofEconomics,1982,(12):445466[7],.[J].,1999,28(6):632634[8]MaskinE,RileyJ.Monopolypricingwithincompleteinformation[J].RandJournalofEconomics,1984,15:17119683200312[9]LaffantJJ,MaskinE,RochetJ-C.Optimalnonlinearpricingwithtwo-dimensionalcharacteristics[A].In:RadnerR,HurwitzL,GrovesT,etal.eds.Information,Incentive,andEconomicMechanism[M].Rochester:UniversityofMinnesotaPress,1987.256266[10]RochetJ2C,StoleLA.Nonlinearpricingwithrandomparticipation[J].ReviewofEconomicStudies,2002,69(1):277311[11]DixitAK,PindyckRS.InvestmentunderUncertainty[M].Princeton:PrincetonUniversityPress,1996.93131[12],.[J].,2001,4(1):3843RealoptionapproachtomonopolisticpricinginanincreasingmarketNIDe2bing,TANGXiao2woSchoolofManagement,UniversityofElectronicScienceandTechnologyofChina,Chengdu610054,ChinaAbstract:Themonopolistsrightofadjustingthepriceofitsproductsisignoredbymanylecturesstudyingmonopo2listicpricing.Therightisactuallyequivalenttoarealoption.Basedonthis,weapplyrealoptionapproachtode2terminethevalueofprice2adjustingoptioninanincreasingmarket.Furthermore,monopolisticpricingisstudied;theconditionoffirmvaluemaximizationisalsogiven.Theresultsshowthat,whethertheprice2adjustingoptioncanbeignoredisdecidedbythedemandofmonopolisticproducts;marginalrevenueisnolongerequaltomarginalcostexceptsomespecialcaseswhenpricing2adjustingoptionisconsidered.Keywords:realoption;pricingdiscrimination;nonlinearpricing;price-adjustingoption(27)[16],,.?[J].,2003,(6):6571[17]ConnorG,KorajzcykR.Theattributes,behaviorandperformanceofU.S.mutualfunds[J].RevQuantFinanceAccount,1991,(1):526[18]GrinblattM,TitmanS.Performanceevaluation[A].In:JarrowR,etal,eds.HandbooksinOR&MS[M].1995.581609[19]FamaEF,FrenchK.Commonriskfactorsinthereturnsonstocksandbonds[J].JFinanceEcons,1993,33:356NewmodeltodetecttendencytimingabilityofmutualfundmanagersWEIXian2hua1,ZHUShi2wu2,LIANGHeng2yi11.AcademyofMathematicsandSystemSciences,CAS,Beijing100080,China;2.SchoolofEconomicsandManagement,TsinghuaUniversity,Beijing100084,ChinaAbstracts:Wepresentsomeshortcomingsaboutthetraditionalmodelsevaluatingthetimingabilityofmutualfundmanagersandproposeanewmodeltoevaluatethemutualfundmanagerstimingabilitytotendancychange.Usingthismodelandnetassetvaluedata,wecanperceivewhetherthemutualfundmanagerscanpredictthefuturemov2ingdirectionofthemarketwhenitexperiencesasignificanttendancychange.MonteCarlosimulationsindicatethatourmodeldoesfulfillitstaskwhileothertraditionalmodelssuchasTreynor-MazuymodelandHenrikson2Mertonmodelfail.Applying