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Conflict Policy and Advertising Agency-Client Relations:The Problem of Competing Clients Sharing a Common Agency
Advertising Service Delivery Competition Conflict of Interests Policy Practice Advertising Industry
2015/4/27
What restrictions should be placed on advertising agencies with respect to serving accounts or clients that are competitors of one another in order to avoid conflicts in interest? In recent decades, t...
Unobserved State Fragility and the Political Transfer Problem
International Finance Non-Renewable Energy International Relations Economics
2015/4/27
Autocrats experiencing a windfall in unearned income may find it optimal to donate to other countries some of the windfall in order to make the state a less attractive prize to potential insurgents. W...
Lawful but Corrupt:Gaming and the Problem of Institutional Corruption in the Private Sector
Crime and Corruption Civil Society or Community Competitive Advantage Earnings Management
2015/4/23
This paper describes how the gaming of society's rules by corporations contributes to the problem of institutional corruption in the world of business. "Gaming" in its various forms involves the use o...
Parallel Search, Incentives and Problem Type: Revisiting the Competition and Innovation Link
Investment Independent Innovation and Invention Motivation and Incentives Competition
2015/4/22
This paper presents econometric evidence of two independent effects of adding more competitors on innovation: 1) a competition effect whereby increasing rivalry shapes, and often decreases, incentives...
The Value of Openness in Scientific Problem Solving
Scientific information sharing amongst scientists
2015/4/21
Openness and free information sharing amongst scientists are supposed to be core norms of the scientific community. However, many studies have shown that these norms are not universally followed. Lack...
Macaulay's problem
economic man “as if” explanations apriorism rational choice methodology of economics empirical content of theories
2013/6/23
The model of economic man is either empirically testable and false, or it is non-testable and always true. The fact that neither position is entirely satisfactory is called Macaulay’s problem. This pa...
Dynamic Portfolio Analysis and Its Application to the Problem of Export Diversification
Dynamic Portfolio Analysis Its Application to the Problem of Export Diversification
2013/3/24
Dynamic Portfolio Analysis and Its Application to the Problem of Export Diversification。
A control problem with fuel constraint and Dawson-Watanabe superprocesses
Dawson-Watanabe superprocess J-functional log-Laplace equation optimal sto-chastic control with fuel constraint optimal order execution
2012/7/28
We solve a class of control problems with fuel constraint by means of the log-Laplace trans-forms of J-functionals of Dawson–Watanabe superprocesses. This solution is related to the superprocess solut...
Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting
Funding cost cost of funding funding and discounting self-financing strategy trading strategies hedging.
2012/7/17
We illustrate a problem in the self-financing condition used in the papers “Fund-ing beyond discounting: collateral agreements and derivatives pricing” (Risk Magazine,February 2010) and “Partial Diffe...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/7/4
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
multi-period asset allocation quadratic utility function closed-form solution tan-gency portfolio
2012/7/4
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under we...
Numerical methods for the quadratic hedging problem in Markov models with jumps
Quadratic hedging Hamilton-Jacobi-Bellman equation Markov jump processes Par-tial integro-di erential equation Holder spaces electricity markets discretization schemes for PIDE.
2012/6/26
We develop algorithms for the numerical computation of the quadratic hedging strategy in incomplete markets modeled by pure jump Markov process. Using the Hamilton-Jacobi-Bellman approach, the value f...
Stability of the exponential utility maximization problem with respect to preferences
utility maximization exponential utility stability semimartingales utility-based prices
2012/5/28
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility. Two settings are studied. First, in a general semimartingale model where random...
Toehold Purchase Problem: A comparative analysis of two strategies
Toehold tender offer mixed strategy takeover beta function
2012/4/10
Toehold purchase, defined here as purchase of one share in a firm by an investor preparing a tender offer to acquire majority of shares in it, reduces by one the number of shares this investor needs f...
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Shadow prices well-posedness the problem of optimal investment consumption transaction costs Portfolio Management
2012/4/2
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Mak...