regret and feedback information in first price sealed bid auctions we investigate the effect of regret related feedback information on bidding behavior in sealed bid first price auctions two types of regret are possible in this auction format a winner of the auction may regret paying too much relative to the second highest bid and a loser may regret missing an opportunity to win at a favorable price in theory under very general conditions being sensitive to winning and paying too much should result in lower average bids and being sensitive to missing opportunities to win at a favorable price should result in higher bids for example the u s government s policy of revealing losing bids may cause regret sensitive bidders to anticipate regret and bid conservatively decreasing the government s revenue we test these predictions in the laboratory and find strong support for both

social influence and mne strategic response to political risk a global network approach abstract according to the conventional view of mne host country relations mnes faced with political risk condition their strategic responses on each party s relative power positions or bargaining influence drawing insight from network theory institutional theory and international relations research i argue that firm sensitivity to political risk is contingent upon a complementary concept social influence social influence arises through the mutual embeddedness of mne and host government in a complex global network of nations to test my hypotheses i construct a global network of trade relations that i combine with a unique transaction level dataset from the global petroleum industry my results demonstrate that social influence as modeled by home host structural equivalence moderates the effects of political risk further my findings provide support for a conceptual and empirical distinction between social influence and the traditional bargaining influence examined in the literature

finding a maximum skewness portfolio a general solution to three moments portfolio choice considering the three first moments and allowing short sales the efficient portfolios set for n risky assets and a riskless one is found supposing that agents like odd moments and dislike even ones analytical formulas for the solution surface are obtained and important geometric properties provide insights on its shape in the three dimensional space defined by the moments a special duality result is needed and proved the methodology is general comprising situations in which for instance the investor trades a negative skewness for a higher expected return computation of the optimum portfolio weights is feasible in most cases

cluster or capture manufacturing foreign direct investment external economies and agglomeration phelps n a cluster or capture manufacturing foreign direct investment external economies and agglomeration regional studies this paper reviews the nature and significance of external economies associated with multinational enterprise mne participation in the manufacturing industries of host economies it argues that the balance of forces of internalization and externalization is currently skewed towards the former and the interests of mnes rather than the latter and the interests of local and national communities and governments a stylized comparison of developmental and competition state interventions in relation to mnes and their foreign direct investment fdi suggests that in the absence of co ordinated interventions by governments there will commonly be a failure of the logic of internalization to permit localized processes of externalization indeed the experiences of the competition states of the uk and the usa highlight the potential for the partial internalization or capture of loc

buyer collusion and efficiency of government intervention in wheat markets in northern india an asymmetric structural auctions analysis this paper uses auction theory to analyze wholesale markets for wheat in northern india this approach enables us not only to characterize the market in terms of buyer asymmetries but also to detect the existence of collusion and to quantify its impact on market prices we show that buyer asymmetries exacerbate the downward impact of collusion on prices the paper also demonstrates the use of auction theory to analyze questions of government efficiency it considers whether the government paid too much for the wheat it procured at the minimum support price and shows that for our sample it did not the paper is based on a primary survey of two wholesale markets in north india

firm level determinants of political csr in emerging economies evidence from india multinational companies mncs frequently adopt corporate social responsibility csr activities that are aimed at providing public goods and influencing the government in policymaking such political csr pcsr activities have been determined to increase mncs socio political legitimacy and to be useful in building relationships with the state and other key external stakeholders although research on mncs pcsr within the context of emerging economies is gaining momentum only a limited number of studies have examined the firm level variables that affect the extent to which mncs subsidiaries in emerging economies pursue pcsr using insights from resource dependence theory institutional theory and the social capital literature we argue that mncs subsidiaries that are critically dependent on local resources have greater ties to managers of related businesses and to policymakers and that those that are interdependent on the mncs headquarters and other foreign subsidiaries are more likely to be involved in pcsr we obtain support for our hypotheses using a sample of 105 subsidiaries of foreign firms that operate in india our findings enhance our understanding of the factors that determine mncs political csr in emerging economies

comonotonic approximation to periodic investment problems under stochastic drift abstract we investigate periodic investment problems under a black scholes market with stochastic drift the decision maker invests a series of positive amounts at finitely predetermined time spots to maximize the expected terminal wealth while controlling its downside risk as measured by the condition value at risk cvar it turns out that the increment for unit wealth on the whole path can be divided into two parts the increment corresponding to the stochastic drift and that corresponding to the brownian motion a comonotonic approximation is proposed for the second part and an upper bound is provided for the cvar of the first part which construct together a closed form approximation of the terminal wealth under the risk measure of cvar we further decompose the problem into a sequence of sub problems whose optimal solutions are explicit and follow fractional kelly strategy numerical and empirical results illustrate the performance of our methodology

residual state ownership policy stability and financial performance following strategic decisions by privatizing telecoms we question previous research assuming that privatizing firm performance generally benefits from decreasing state ownership and the passage of time both of which purportedly align principal agent incentives promoting organizational decision making that increases shareholder value when state ownership shifts from majority and controlling to minority and non controlling the performance impact may be positive in the short run particularly where there is instability in the local investment policy environment consistent with this proposition we develop and test hypotheses derived from a minority and non controlling or residual state ownership framework grounded in credible privatization and institutional theory we propose that 1 residual state ownership positively affects shareholder returns after strategic decisions by privatizing firms because it signals state support for managerial initiatives 2 the passage of time since initial privatization negatively affects shareholder returns after strategic decisions by privatizing firms because initial undertakings in support of the privatizing firm are reversed and 3 home country investment policy stability moderates these two effects greater stability obviates the need for residual state ownership and slows policy reversals over time we find empirical support for our residual state ownership framework in event study analyses of cumulative abnormal returns cars associated with 196 major investments announced from 1986 to 2001 by 15 privatizing telecoms from around the world cars are positive at 5 25 state ownership levels but turn negative at higher state ownership levels cars turn sharply negative within 1 2 years from initial privatization dates increasing policy stability diminishes positive ownership and negative time effects on cars results confirm the potential supporting role that residual state ownership can play in enhancing strategic decision making and financial performance by privatizing firms particularly where there is instability in the home country investment policy environment

a bit is better than a lot bilateral investment treaties and preferential trade agreements the landscape of the global economy is dotted with institutions that regulate investment and trade in recent years the number of bilateral investment treaties bit s and preferential trade agreements pta s in particular has grown at a torrid pace practically every country is a member of at least one if not many of these institutions for all the scholarly attention that these institutions have received however there is little research tying bit s and pta s together this is surprising since both aim to increase commerce by making it more predictable the authors seek to fill this gap in the literature they argue that a bit between a developed and a developing country should make it more likely that this pair of states will subsequently form a pta that said the wrinkle in the story is that more is not better in this regard the authors further argue that a developing country that has many bit s is less likely to conclude a pta with a wealthy state the authors test these hypotheses using annual data on pairs of developing and developed countries between 1960 and 2004 and find strong evidence in support of their argument

bargaining power ownership and profitability of transnational corporations in developing countries as the bargaining power of the transnational corporations tncs in the sample increased relative to the bargaining power of the host country and as the desire of the tncs for a high level of equity ownership increased the percent equity ownership of the tncs in their subsidiaries increased the relationship between percent equity ownership and subsidiary success from the tncs viewpoint however was j shaped high and low levels of equity ownership were associated with high levels of success control of critical operational variables by the tnc was directly related to success

mean var portfolio optimization a nonparametric approach portfolio optimization involves the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade off between profit and risk we consider an alternative markowitz s mean variance model in which the variance is replaced with an industry standard risk measure value at risk var in order to better assess market risk exposure associated with financial and commodity asset price fluctuations realistic portfolio optimization in the mean var framework is a challenging problem since optimizing var leads to a non convex np hard problem which is computationally intractable in this work an efficient learning guided hybrid multi objective evolutionary algorithm mode gl is proposed to solve mean var portfolio optimization problems with real world constraints such as cardinality quantity pre assignment round lot and class constraints a learning guided solution generation strategy is incorporated into the multi objective optimization process to promote efficient convergence by guiding the evolutionary search towards promising regions of the search space the proposed algorithm is compared against the non dominated sorting genetic algorithm nsga ii and the strength pareto evolutionary algorithm spea2 experimental results using historical daily financial market data from s p 100 and s p 500 indices are presented experimental results shows that mode gl outperforms two existing techniques for this important class of portfolio investment problems in terms of solution quality and computational time the results highlight that the proposed algorithm is able to solve the complex portfolio optimization without simplifications while obtaining good solutions in reasonable time and has significant potential for use in practice

robust optimization models for managing callable bond portfolios abstract a major sector of the bond markets is currently represented by instruments with embedded call options the complexity of bonds with call features coupled with the recent increase in volatility has raised the risks as well as the potential rewards for bond holders these complexities however make it difficult for the portfolio manager to evaluate individual securities and their associated risks in order to successfully construct bond portfolios traditional bond portfolio management methods are inadequate particularly when interest rate dependent cashflows are involved in this paper we integrate traditional simulation models for bond pricing with recent developments in robust optimization to develop tools for the management of portfolios of callable bonds two models are developed a single period model that imposes robustness by penalizing downside tracking error and a multi stage stochastic program with recourse both models are applied to create a portfolio to track a callable bond index the models are backtested using ex poste market data over the period from january 1992 to march 1993 and they perform constistently well

mnc strategy and social adaptation in emerging markets emerging markets experience institutional and social changes over time that present different stakeholder expectations for multinational corporations mncs mncs are often accused of social misdeeds and experience public crises during the changes leaving questions on how they adapt to the local social transition to sustain operations conventional adaptation strategies put too much emphasis on maximizing economic returns by arbitraging national differences and catering to local market and consumer characteristics the economic orientation may fail to address evolving and diverse stakeholder expectations easily leading to public crises this study conceptualizes economic adaptation and social adaptation as two sets of knowledge and capabilities that would have equally important impacts on mncs sustainable operations in emerging markets the empirical testing examines consumer rights related public crises experienced by 180 mncs in china the results suggest that mncs social adaptation activities have significantly positive effects in mitigating public crises while certain aspects of economic adaption such as early entry into china reliance on local leadership and speedy expansion of local employees lead to public crises the significant interaction effects confirm that mncs need to follow a balanced approach paying attention to both economic and social components to avoid public crises and sustain growth in emerging markets

on the sensitivity of mean variance efficient portfolios to changes in asset means some analytical and computational results tbis paper investigates the sensitivity of meanvariance mv efficientportfolios to changes in the means of individual assets when only a budget constraint is imposed on the investment problem the analytical results indicate that an mv efficient portfolio s weights mean and variance can be extremely sensitive to cbanges in asset means when nonnegativity constraints are also imposed on the problem the computational results confirm that a positively weigbted mv efficient portfolio s weigbts are extremely sensitive to cbanges in asset means but the portfolio s returns are not a surprisingly small increase in the mean of just one asset drives balf the securities from the portfolio yet the portfolio s expected return and standard deviation are virtually uncbanged this paper supersedes should investors hold well diversified portfolios financial support from the natural science and engineering research council of canada is gratefully acknowledged we also acknowledge the most capable assistance of ruth cornale simon ng jean marc potier and frederick shen the paper was presented at simon fraser university and the western finance association meetings in san diego we thank the participants especially stephen brown john herzog john heaney ray koopman and bruce lehmann and the editors jon ingersoll and chester spatt for

whose greed whose grievance and whose opportunity effects of foreign direct investments fdi on internal conflict abstract this paper investigates the influence of foreign direct investments on the probability of civil conflict onset contributing to the debate on globalization and civil conflict i relax the common assumption that all forms of globalization are equivalent in their effects on civil conflict i also incorporate the cross sectoral heterogeneity of investments in existing arguments about the socioeconomic externalities of foreign direct investments as determinants of conflict with long time horizons and managerial control of their foreign affiliates foreign direct investors are strategic players aiming to maximize profits and uniquely able to alter their environment through socio political channels this distinguishes fdi from trade and foreign portfolio investments through a combination of political agency and socio economic influences on grievance and greed among domestic groups some types of fdi are likely to alleviate the risk of civil conflict service sector fdi while others exacerbate it primary sector fdi analyses using a new data set of sector specific fdi stock 1980 2013 lend empirical support to the argument showing that economic globalization can have simultaneous positive and negative externalities these findings are informative for the current dialogue on the role of global markets in sustainable development

a co ordination model combining incentive scheme and co ordination policy for a single vendor multi buyer supply chain abstract incentive scheme and co ordination policy are substantial components for the co ordination of a decentralized supply chain system but there is little work combining the two components as a single decision model li and wang 2007 this paper proposes a model which incorporates both incentive and co ordination issues into a single co ordination model for a single vendor multi buyer supply chain in the proposed model the co ordination is achieved by synchronizing ordering and production cycles while price discount which is based on the buyers order intervals is used as the incentive to motivate buyers to participate in the co ordination while the vendor is benefited from the co ordination by synchronized cycles the proposed price discount scheme can guarantee that a buyer s total relevant cost of co ordination will be reduced when compared with independent optimization more importantly the proposed price discount scheme does not require any cost information from the buyers

bayes stein estimation for portfolio analysis in portfolio analysis uncertainty about parameter values leads to suboptimal portfolio choices the resulting loss in the investor s utility is a function of the particular estimator chosen for expected returns so this is a problem of simultaneous estimation of normal means under a well specified loss function in this situation as stein has shown the clas sical sample mean is inadmissible this paper presents a simple empirical bayes estimator that should outperform the sample mean in the context of a portfolio simulation analysis shows that these bayes stein estimators provide significant gains in portfolio selection problems

middlemen and peasants in rice marketing in the philippines abstract this paper reports the results of a field survey covering all links in the channel of rice marketing from farmers to consumers in laguna province philippines the survey revealed a highly competitive nature of rice marketing in this area where the countless number of middlemen compete in the procurement of paddy from farmers for rice mills leaving little room for monopoly monopsony exercises intense competition was also found in wholesaling by mills to retailers as well as retailing to consumers

marketing margins and the welfare analysis of food price shocks abstract following the surge in world food prices of 2007 2008 there has been a revival of short run household welfare analysis that seeks to understand whether food price increases are beneficial or detrimental for households for a number of reasons including lack of data in some instances the short run analytical approach has embedded an assumption of equal percentage price changes for consumers and producers this assumption implies that food marketing costs change by the same percentage because an x percent change in both farm prices and consumer prices implies that there must also be an x percent change in their difference but this paper shows that most marketing costs are fixed not proportional and further that assuming proportional marketing costs leads to a bias towards finding negative impacts of higher food prices the magnitude of the bias is shown to be greater than that from failing to incorporate supply and demand responses to price changes and can be substantial relative to the effect estimated without incorporating the bias in addition the bias is not necessarily uniform across income classes thus failure to explicitly consider marketing margins has the potential to reverse the relative magnitudes of the impact on rich and poor

probing theoretically into central and eastern europe transactions resources and institutions since the 1990s central and eastern europe cee has provided unique societal quasi experiments which represent opportunities to test the applicability of existing theories in international business and management studies and to develop new ones specifically three lines of theorising have been advanced 1 organisational economics theories 2 resource based theories and 3 institutional theories for each of these theories we discuss how they contribute to the understanding of key issues such as entry strategies of foreign investors restructuring strategies of local incumbents and entry and growth strategies of entrepreneurs on this basis we assess how cee research has influenced the overall trajectories of theory development cee research has in particular highlighted the importance of contextual influences such as institutions thus scholars have aimed at incorporating institutions into theories such as organisational economics theories and resource based theories and advancing an institution based view of business strategy as a complementary perspective we outline how future research in cee and other emerging economies may advance this research agenda further

extending the bargaining power model explaining bargaining outcomes among nations mnes and ngos participants in international bargaining include different types nation states mnes ngos and multilateral organizations and different numbers of these actors our theoretical contribution is to extend the bargaining power paradigm with a framework that models bargaining in this complex environment as a network the configuration of supports and constraints among all participating actors in the bargaining environment is captured in the structure of the network antecedents of an actor s bargaining influence in the network include the actor s basis of power network position bargaining outcome preferences and motivation to influence bargaining the network bargaining power nbp model uses network theory to build upon and integrate insights from previous literature in a way that allows us to simultaneously apply these different insights to explain bargaining outcomes these insights include effects of coalitions strategies of less powerful actors leveraging more powerful allies integration of international and domestic politics and applicability to mne related issues beyond fdi finally we illustrate nbp in a scenario of privatized utilities in the dominican republic in which the bargaining power outcome predicted by nbp differs from that of the canonical bargaining power perspective

the survival of international new ventures international new ventures invs are a popular mode of entry into foreign markets invs those companies that enter foreign markets at inception often suffer the two liabilities of newness and foreignness which may increase the odds of their failure this paper empirically examines the survival of invs by comparing them with other sequential modes of international operations e g acquisitions data from 275 british firms show that invs have lower unconditional survival probabilities than other modes of foreign market entry our analyses also show that differences in survival probabilities disappear when the firms competitive strategies are considered

the importance of nongovernmental organizations ngos in global governance and value creation an international business research agenda the emergence of organized civil society and of nongovernmental organizations ngos as organizational manifestations of broader social movements has dramatically altered the global political economic landscape the increasing global reach of ngos challenges established international business ib research and highlights opportunities for broadening and adapting extant paradigms in the field in this article we introduce the concept of ngos and contrast them with their private sector firm and public sector government counterparts within the context of ib we discuss factors giving rise to ngos as important organizational entities that participate in global value creation and governance and identify limits to their efficacy and viability we identify important questions raised by incorporating ngos into our conceptualization of global context and we challenge three basic tenets of ib theory the definition and dynamics of an institutional field the relevance centrality of a firm government i e two sector bargaining model and the pre eminence of the firm as the global organization of interest within the field we conclude by offering suggested research directions that should serve as catalysts for this new and potentially rich area of future ib research

institutions sans frontieres international agreements and foreign investment we examine whether the presence of international investment agreements iias negotiated among countries for foreign investor protection lowers political risk faced by multinational enterprises mnes drawing on research from international business political science and international law we argue that iias increase expected future cash flows and hence the value of foreign assets by limiting the ability of host governments to make discriminatory policy changes however the need for iia protection and the ability to benefit from it varies with firm characteristics using detailed transaction level data for sale of petroleum assets in 45 countries we find that mnes pay significantly higher amounts for those protected by iias than similar but unprotected assets an effect moderated by the firm s reserve size and state ownership

contract preferences and performance for the loss averse supplier buyback vs revenue sharing prior theory claims that buyback and revenue sharing contracts achieve equivalent channel coordinating solutions when applied in a dyadic supplier retailer setting this suggests that a supplier should be indifferent between the two contracts however the sequence and magnitude of costs and revenues i e losses and gains vary significantly between the contracts suggesting the supplier s preference of contract type and associated contract parameter values may vary with the level of loss aversion we investigate this phenomenon through two studies the first is a preliminary study investigating whether human suppliers are indeed indifferent between these two contracts using a controlled laboratory experiment with human subjects taking on the role of the supplier having to choose between contracts we find that contract preferences change with the ratio of overage and underage costs for the channel i e the newsvendor critical ratio in particular a buyback contract is preferred for products wit

a one factor model of interest rates and its application to treasury bond options 1990 a one factor model of interest rates and its application to treasury bond options financial analysts journal vol 46 no 1 pp 33 39

closed loop supply chain network equilibrium under legislation this paper expands previous work dealing with oligopolistic supply chains to the field of closed loop supply chains the model presented has been formulated with the intent of examining issues surrounding the recent european union directive regarding waste of electric and electronic equipment weee the network modelled consists of manufacturers and consumer markets engaged in a cournot pricing game with perfect information closed loop supply chain network equilibrium occurs when all players agree on volumes shipped and prices charged certain properties of the model are examined analytically numeric examples are included and have been solved using an extragradient method with constant step size the equilibrium solution obtained provide interesting insights that lead into a number of areas for future research

60 years of portfolio optimization practical challenges and current trends abstract the concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision making in light of the 60 year anniversary of harry markowitz s paper portfolio selection we review some of the approaches developed to address the challenges encountered when using portfolio optimization in practice including the inclusion of transaction costs portfolio management constraints and the sensitivity to the estimates of expected returns and covariances in addition we selectively highlight some of the new trends and developments in the area such as diversification methods risk parity portfolios the mixing of different sources of alpha and practical multi period portfolio optimization

a linearized value at risk model with transaction costs and short selling abstract though value at risk var has been widely applied by finance industry a possibility of multiple optimums that is caused by the nonlinearity in modeling can challenge its application to deal with this technical issue we propose a linearized var model that employs the mixed 0 1 programing in lin 2009 p4 model we further advance the previous models with considering various transaction costs and the optimization of short selling weights we compare the performance of buy and hold bh strategy the mean variance mv model the original p4 model and our linearized p4 lp4 model by rebalancing a wide scale of international and alternative investments during a period between 2001 and 2012 the results of numerical tests show the superior performance of the var models to the bh and the mv portfolios the lp4 model yields the global optimum and outperforms the corresponding p4 model in both return and risk the stability of portfolio value generated from the lp4 model supports its higher effectiveness in risk management than the p4 model

asset allocation with correlation a composite trade off abstract we assess the ability of minimum variance portfolio allocation strategies accounting for time varying correlation between assets to provide performance benefits relative to an equally weighted portfolio prior to transaction costs correlation based strategies emphatically outperform the equally weighted benchmark this finding is strongest for short horizon correlation forecasts and attributed to dynamic correlation as opposed to variance forecasts thus estimation error is not found to be the primary obstacle to successful portfolio optimization rather frequent rebalancing and associated transaction costs pose a significant challenge limiting portfolio turnover through short selling restrictions and greater rebalancing error tolerance results in regular outperformance of the correlation based strategies even for large transaction costs taken together these findings provide evidence of a trade off between optimal portfolio performance forecasting horizon rebalancing frequency and transaction costs

separable but not equal the location determinants of discrete services offshoring activities in this paper we explore the question of why firms offshore particular services to specific geographic locations we draw on research related to the unique characteristics of services in trade and commerce and more recent analyses of the transnational unbundling and spatial dispersion of business processes we move beyond a simple assessment of the cost sensitivity or relative sophistication of offshoring services and develop a typology emphasizing the degree to which offshoring services activities are interactive repetitive or innovative we suggest that the location of offshoring projects will depend on the particular mix of these attributes and test this assertion using a data set of 595 export oriented offshore services projects initiated from 2002 to 2005 by us and uk company parents in 45 developed and developing countries we find that offshore location choices greatly depend on these services characteristics and in sometimes surprising ways and draw implications from our findings for international business theory policy and practice

testing the bargaining hypothesis in the manufacturing sector in developing countries the bargaining power model of hc mnc host country multinational corporation interaction conceives of economic nationalism in terms of rational self interest and assumes both inherent conflict and convergent objectives in extractive industries there is strong evidence that outcomes are a function of relative bargaining power and that as power shifts to developing hcs over time the bargain obsolesces a cross national study of the bargaining model using data from 563 subsidiaries of u s manufacturing firms in forty nine developing countries indicates that while the bargaining framework is an accurate model of mnc host country relationships manufacturing is not characterized by the inherent structurally based and secular obsolescence that is found in the natural resource industries shifts in bargaining power to hcs may take place when technology is mature and global integration limited in industries characterized by changing technologies and the spread of global integration the bargain will obsolesce very slowly and the relative power of mncs may even increase over time

the structure of indigenous food crop markets in sub saharan africa the rice market in uganda abstractusing data obtained from a series of nation wide market surveys in uganda this article attempts to document and assess the domestic rice market at all stages in the post harvest marketing chain from the farm gate to metropolitan area retail outlets the criteria used are quantities marketed prices marketing margins marketing costs and net returns to traders the results show that the regional rice markets are integrated into the national market and that on average little surplus is left for rice traders at all market stages if marketing costs are accounted for the spontaneously developed indigenous crop market works reasonably well

bayesian and capm estimators of the means implications for portfolio selection abstract this paper compares active investment policies under three alternative models for estimating expected stock returns the historical sample mean a shrinkage or bayesian estimator and a capm based estimator the out of sample performance of actively managed u s industry portfolios is analyzed for these three estimators over the period 1931 to 1987 it is found that the classical method based on historical means and covariances leads to the worst forecasts and out of sample performance and is generally outperformed by shrinkage estimators an active portfolio with expected returns based on the capm produced the best results among all actively managed portfolios this strategy as we show closely matches a simple buy and hold the market rule

bargaining power of multinationals and host governments one of the outcomes of negotiation between multinationals and host governments in developing countries the extent of foreign ownership of subsidiaries is influenced by the bargaining power of the two parties foreign ownership measured in various ways appears to be affected by the level of technology of the multinational the degree to which a multinational attempts to differentiate its products the extent to which a subsidiary s output is exported to other parts of the multinational the diversity of products offered by the multinational and the extent of competition by other multinationals the relationship between some of these variables and ownership is not a simple one one variable that others have mentioned as probably affecting bargaining power size of the investment in question appears not to play a significant role in government policies toward ownership but many large projects tend to be located in countries that have lenient ownership policies

supply chain networks electronic commerce and supply side and demand side risk in this paper we develop a supply chain network model in which both physical and electronic transactions are allowed and in which supply side risk as well as demand side risk are included in the formulation the model consists of three tiers of decision makers the manufacturers the distributors and the retailers with the demands associated with the retail outlets being random we model the optimizing behavior of the various decision makers with the manufacturers and the distributors being multicriteria decision makers and concerned with both profit maximization and risk minimization we derive the equilibrium conditions and establish the finite dimensional variational inequality formulation we provide qualitative properties of the equilibrium pattern in terms of existence and uniqueness results and also establish conditions under which the proposed computational procedure is guaranteed to converge we illustrate the supply chain network model through several numerical examples for which the equilibrium prices and product shipments are computed this is the first multitiered supply chain network equilibrium model with electronic commerce and with supply side and demand side risk for which modeling qualitative analysis and computational results have been obtained

does oligopsony power matter in price support policy design empirical evidence from the thai jasmine rice market in the oligopsony market farmers may receive low prices and policy analysis assuming perfect competition can yield serious bias results in this paper we estimate oligopsony power between processors and farmers and evaluate the welfare impact of the paddy pledging program ppp a generous price support program in the thai jasmine rice market with an imperfect competition model we develop a model that consists of rice supply equation and derived demand equation we then simultaneously estimate these equations using system estimation methods to recover oligopsony power parameters finally we use these parameters to assess the welfare impact of the price support program using annual panel data running from crop marketing year 2001 2002 2015 2016 and exploiting the institutional feature of the ppp we find strong evidence of some oligopsony power a moderate level of oligopsony price distortion and a negative relationship between price support and oligopsony power we also find that the ppp is inefficient but effective in income redistribution moreover the program benefits both farmers and consumers with better policymaking decisions the ppp can be efficient by setting a suitable support price therefore our results show that in the case of the thai jasmine rice market the generally accepted wisdom about agricultural price support policy does not necessarily hold and price support can be designed to improve the efficiency of the market

multivariate dependence and portfolio optimization algorithms under illiquid market scenarios we propose a model for optimizing structured portfolios with liquidity adjusted value at risk lvar constraints whereby linear correlations between assets are replaced by the multivariate nonlinear dependence structure based on dynamic conditional correlation t copula modeling our portfolio optimization algorithm minimizes the lvar function under adverse market circumstances and multiple operational and financial constraints when we consider a diversified portfolio of international stock and commodity market indices under multiple realistic portfolio optimization scenarios the obtained results consistently show the superiority of our approach relative to other competing portfolio strategies including the minimum variance risk parity and equally weighted portfolio allocations

feeding africa s cities the case of the supply chain of teff to addis ababa abstracturbanization is quickly increasing in africa raising important questions on how food value chains to cities function and what the implications of urban growth are for the local food trade and farm sector we study the rural urban value chain of teff in ethiopia by value its most important staple value chain relying on unique large scale surveys at different levels in this value chain we find in contrast to conventional wisdom that value chains are relatively short and that average farmers obtain a high share about 80 of the final consumer price in the major terminal market addis ababa we further find that producer prices decline in line with transportation costs the farther farmers live from the city that seasonal price movements are rather small and that average stock release by farmers is smooth over the year

a note on robustness in merton s model of intertemporal consumption and portfolio choice abstract the paper presents a robust version of a simple two assets merton 1969 review of economics and statistics 51 247 57 model where the optimal choices and the implied shadow market prices of risk for a representative robust decision maker rdm can be easily described with the exception of the log utility case precautionary behaviour is induced in the optimal consumption investment rules through a substitution of investment in risky assets with both current consumption and riskless saving for the log utility case precautionary behaviour arises only through a substitution between risky and riskless assets on the financial side the decomposition of the market price of risk in a standard consumption based component and a further price for model uncertainty risk which is positively related to the robustness parameter is independent of the underlying risk aversion parameter

international investment agreements and services markets locking in market failure summary bilateral investment treaties bits and investment chapters in preferential trade agreements have become popular measures to guarantee investor friendly policies while they reassure multinational firms they also constrain host country authorities in regulating markets to stimulate competition these problems are widespread in service industries characterized by significant economies of scale this paper presents case studies of the difficulties the chilean regulatory authorities faced in regulating the financial services telecom and energy industries it concludes that able regulators are necessary but that international agreements need to also leave enough policy space

perspectives on multinational enterprises in emerging economies multinational enterprises mnes play a pivotal role in the development of many emerging economies in consequence they became the focus of scholarly research by economists and policy analysts in contrast international business scholars have been comparatively uninterested in analysing this role of mnes yet they could make important contributions to these debates first studies taking the individual firms as starting point would enhance understanding of the interaction between mnes and the local environment second theories and research methodologies developed in international business research could provide new insights into the dynamics of mnes in emerging economies the objective of this paper is to motivate more international business scholars to engage in research on positive and negative spillovers from foreign direct investment fdi in emerging economy societies to advance this research agenda scholars need to analyse the specific activities and capabilities of the firms involved and the impact of fdi on the broader social and environmental context for management this agenda raises the ethical question to what extent ought businesses to care about their local stakeholders

integrated simulation and optimization models for tracking indices of fixed income securities increasing performance pressures on fixed income managers have led to a search for new and creative ways to add to portfolio returns the largest pension plan sponsors insurance companies foundations and money management firms are using indexed portfolios as their fixed income assets management strategies since the late 1970s tracking a fixed income index is a difficult task due to transaction costs portfolio size and diversification restrictions liquidity requirements bid ask spreads etc this paper develops an integrated simulation and optimization approach for tracking fixed income indices the model was implemented at metropolitan life insurance company we introduce a simulation model for generating scenarios of holding period returns of the securities in the index then we develop optimization models to select a portfolio that tracks the index the models penalize downside deviations of the portfolio return from the index the developed framework is used to track the salomon brothers mortgag

dynamic portfolio optimization with transaction costs heuristics and dual bounds we consider the problem of dynamic portfolio optimization in a discrete time finite horizon setting our general model considers risk aversion portfolio constraints e g no short positions return predictability and transaction costs this problem is naturally formulated as a stochastic dynamic program unfortunately with nonzero transaction costs the dimension of the state space is at least as large as the number of assets and the problem is very difficult to solve with more than one or two assets in this paper we consider several easy to compute heuristic trading strategies that are based on optimizing simpler models we complement these heuristics with upper bounds on the performance with an optimal trading strategy these bounds are based on the dual approach developed in brown et al brown d b j e smith p sun 2009 information relaxations and duality in stochastic dynamic programs oper res 58 4 785 801 in this context these bounds are given by considering an investor who has access to perfect information about future returns but is penalized for using this advance information these heuristic strategies and bounds can be evaluated using monte carlo simulation we evaluate these heuristics and bounds in numerical experiments with a risk free asset and 3 or 10 risky assets in many cases the performance of the heuristic strategy is very close to the upper bound indicating that the heuristic strategies are very nearly optimal this paper was accepted by dimitris bertsimas optimization

globalization and ngos transforming business government and society journal of international business studies 2004 35 564 566 doi 10 1057 palgrave jibs 8400114 it is both easy and hard to define something by what it is not ngos by their title are non governmental organizations in other words all organizations that are not governments that is the easy definition the problem is that ngos by this definition include everything but the proverbial kitchen sink that is private firms religious and charitable organizations universities advocacy groups newspapers and other media and so on doh and teegen s book globalization and ngos transforming business government and society is designed to reduce this open endedness by focusing on what ngos are rather than what they are not the book has three cross cutting themes what are ngos how and why they differ from governments and firms and how they operate in the global economy fit within societies and influence other organizations there are 10 chapters in the book which explore the rise of ngos and their impacts on governments and firms several nice case studies are included global climate change world wildlife fund genetically modified organisms trade policy and forestry the conclusions chapter sums up and provides a research agenda jone pearce in her forward to the book defines ngos as the name given to those nonprofit associations focused on social change via political influence or to those providing social and humanitarian services in highly politicized cross national contexts p xi doh and teegen in their conclusion chapter define ngos as organizations of individuals and donors committed to the promotion of a particular set of issue s through advocacy work and or through operational activities whereby services are delivered pp 206 207 ngos are seen as one of three key actors in the global economy together with governments and firms ngos not only have their own dyadic relationships with the other two actors but also mediate and moderate the business government dyad doh and teegen argue that ngos are agents for change in the global economy therefore scholars and practitioners need to focus more on understanding which ngos matter how firms and governments should best engage ngos and how ngos can play a more definitive role on supranational issues that the public and private sectors have failed to address journal of international business studies 2004 35 564 566 2004 palgrave macmillan ltd all rights reserved 0047 2506 30 00

rice marketing systems in the philippines and thailand do large numbers of competitive traders ensure good performance abstract rice marketing margins are substantially greater in the philippines than in thailand despite many similarities between the two systems and despite the fact that philippine rice marketing has a competitive structure we found that rice marketing costs in the philippines are higher than in thailand mainly due to higher interest rates in the financial system other fundamental factors that also result in higher costs include endowments of water and land rice price and trade policy road quality and lack of non farm job growth however the greater costs can only account for about a fourth of the difference in gross margins implying much higher returns to management in the philippines despite similar levels of risk and no evidence of collusion the excess profits in the philippine marketing system suggest there is much to learn about how developing country commodity markets with competitive structures function in actual practice

firm ownership preferences and host government restrictions an integrated approach two approaches may explain how multinational enterprises mnes select ownership structures for subsidiaries the first argues that mnes prefer structures that minimize that transaction costs of doing business abroad the second argues that ownership structures are determined by negotiations with host governments whose outcomes depend on the bargaining power of the firm this paper presents a framework integrating these two approaches and uses statistical methods to separate their effects empirically

developing countries and mnes extending and enriching the research agenda foreign direct investment fdi through multinational enterprises mnes has emerged in the last decade as the principal source of foreign capital for developing countries meyer this issue underlines the need for international business ib scholars to understand the impact of these investments on host developing countries he offers a useful assessment of the literature and proposes a rich set of questions for further research however his research agenda can be extended and enriched in two ways first ib scholars must study as they always have causation in the opposite direction namely the impact of developing country context on mne behavior and the co evolution of these two variables over time in doing so they must incorporate into their models contemporary issues such as the continued inadequacy of rules for fdi in infrastructure sectors or the clever means by which mnes are rewriting the global rules under which they operate in developing countries e g on intellectual property rights second ib scholars must pay more attention to topics that are not mainstream within the field but are of great importance to developing countries examples include the behavior and performance of a new generation of home grown mnes the role of diaspora in homeland fdi in countries like china and india and the implications of global outsourcing of services

an equilibrium model of the supply chain network under multi attribute behaviors analysis abstract this paper studies a supply chain network scn equilibrium model considering decision makers multi attribute behaviors from the perspective of behavioral finance in this paper an equilibrium model of an uncertain snc is constructed in which retailers choose their decisions according to their risk averse behavior loss averse behavior and regret averse behavior by using different weights to represent retailers attitudes to these three behaviors the retailers multi attribute utility functions are developed the equilibrium conditions of the manufacturers the retailers together with the network are established by the finite dimensional variational inequality formulation three numerical examples are solved in the first numerical example we illustrate the effect of each of these three behaviors on the equilibrium decisions the profits and the utilities of the decision makers in the other two numerical examples we explore the effects of changes in attitudes to these three behaviors on the equilibrium decisions profits and utilities of the decision makers the numerical results show that the equilibrium decisions are affected by each of these three behaviors very much moreover they are sensitive to the changes in attitudes to these behaviors

international experience and fdi location choices of chinese firms the moderating effects of home country government support and host country institutions we examine the extent to which chinese government support of foreign direct investment fdi projects and host country institutional environments interact with prior entry experience by chinese firms and how this interrelationship affects fdi undertaken by chinese firms we hypothesize that home country government support and well established host country institutions enhance organizational capabilities to take risks in fdi as such they reduce the need to accumulate experiential knowledge and capabilities relating to entering host countries based on prior entry experience in a particular country when undertaking follow up investment projects using a unique hand collected panel data set of chinese publicly listed firms during 2002 2009 we find that home government support and well developed host country institutions reduce the importance of prior entry experience and significantly increase the likelihood of fdi entry into a host country further from our subsample analyses we identify differences between entering developed and developing host countries in terms of the impact of home country government support and quality of host country institutions our findings help explain the puzzle concerning why emerging economy firms have rapidly internationalized in a short period of time and do not follow the pattern predicted by classical ib theories

the obsolescing bargaining model mnc host developing country relations revisited the traditional bargaining model of mnc host developing country relations has become obsolete today those relations are better understood as the result of a two tier multi party bargaining process tier 1 bargaining between the governments of host and home countries occurs bilaterally or through multilateral institutions it produces macro rules on fdi that affect micro negotiations in tier 2 per the traditional bargaining model the extent of fdi liberalization resulting from tier 1 bargaining varies predictably across home host country pairs and industries suggestions for testing the two tier bargaining model are also presented

environmental performance impacts of vendor buyer coordination abstract effective coordination is a hallmark of successful supply chain management without such coordination vendors and buyers will act independently to make decisions that optimize their own objectives e g maximize their respective profits or minimize their costs this non coordinated approach is unlikely to be optimal when one considers the supply chain as a whole most vendor buyer coordination research concentrates only on an objective of minimizing total system costs but with the increasing environmental awareness in business and the general public many organizations acknowledge that strategies and practices which incorporate environmental considerations are essential to acquire a competitive advantage the objectives of this research are concerned not only with the economic impact of vendor buyer coordination on the organizations involved but also with the wider effects on society such as the effects of pollution on the environment this research demonstrates how to effectively incorporate environmental issues into vendor buyer coordination first we study the impacts of cost minimizing vendor buyer coordination models on environmental performance when compared with independent non coordinated optimization second we develop a single vendor multi buyer coordination model that includes both costs and environmental performance measures in its objective function a numerical example and a real case study show how both the total system cost and the environmental performance can be simultaneously improved

portfolio optimization under loss aversion abstract we present an integrated methodological approach for selecting portfolios the proposed methodology is focused on incorporation of investor s preferences in the mean risk framework we propose a risk measure calculated with the downside part of the portfolio return distribution which we argue captures better the practical behavior of the loss averse investor we establish its properties study the link with stochastic dominance criteria point out the relations with conditional value at risk and lower partial moment of first order and give the explicit formula for the case of scenario based portfolio optimization the proposed methodology involves two stages firstly the investment opportunity set efficient frontier is determined and secondly one single preferred efficient portfolio is selected namely the one having the highest expected utility value three classes of utility functions with loss aversion corresponding to three types of investors are considered the empirical study is targeted on assessing the differences between the efficient frontier of the proposed model and the classical mean variance mean cvar and mean lpm1 frontiers we firstly analyze the loss of welfare incurred by using another model instead of the proposed one and measure the corresponding gain loss of utility secondly we assess how much the portfolios really differ in terms of their compositions using a dissimilarity index based on the 1 norm we describe and interpret the optimal solutions obtained and emphasize the role and influence of loss aversion parameters values and of constraints three types of constraints are studied no short selling allowed a certain degree of diversification imposed and short selling allowed

international portfolio diversification with estimation risk international portfolio diversification has long been advocated as a way of enhancing average returns while reducing portfolio risk for the investor who considers diversifying into foreign securities this proposition however relies on the assumption that the required inputs to the classical mean variance analysis are known with certainty typically expected returns variances and covariances are simply replaced by their ex post sample values and the optimal portfolio is derived without mentioning the uncertainty inherent in these parameter values but the rational investor should take this uncertainty into account when forming expectations and probably will consider estimators that are less subject to estimation error than the classical sample mean this paper investigates alternative estimators of expected returns and their implications for the alleged gains from diversification an important observation is the crucial influence that errors in estimating expected returns have on portfolio analysis a closer examiprevious studies of international portfolio diversification have relied on ex post meanvariance analysis without considering the problem of estimation risk typically past averages are substituted for expected returns and no allowance is made for the uncertainty inherent in these parameter values first i demonstrate the shortcomings of such an approach and second i investigate another method of estimating expected returns initially proposed by stein by shrinking the sample averages toward a common mean i find that the out of sample performance of the optimal portfolio is substantially increased one of the implications of this method is that the classical conclusions vastly overestimate the possible gains in average returns instead benefits from diversification are more likely to accrue from a reduction in risk this paper draws on part of my dissertation at the university of chicago i am grateful to arnold zellner michael mussa george constantinides and especially john bilson for useful discussions and comments numerous improvements were also suggested by the referee this research received the generous financial support of the college interuniversitaire d etudes doctorales dans les sciences du management

partnering with leviathan the politics of innovation in foreign host state joint ventures forming international joint ventures ijvs with political institutions in emerging economies involves both benefits and risks for multinational enterprises mnes while political partners can provide ijvs with various resources their political status equips them with a strong position to appropriate rents in ijvs we address this tension by examining how host state ownership affects both innovation inputs and outputs in china based ijvs over 2008 2013 despite the potential government opportunism we find more r d investment innovation inputs made in ijvs with state partners than in those with private ones thus r d investment can be politically motivated and symbolically managed to ensure continued resource exchanges with the host state this political pressure is mitigated when foreign parents directly transfer home country based technology to ijvs when the host market dependence of ijv is weak and when ijvs are located in a deregulated region moreover we find foreign host state jvs deliver fewer innovation outputs measured by patent data than foreign private jvs which implies the failure of state partners to adequately absorb foreign technologies these findings highlight both the state partners powerfulness to boost ijv innovation investment and their limits in shaping ijv innovation outcomes and bear rich implications for the management of mne host government relationships

markowitz s portfolio selection a fifty year retrospective this year marks the fiftieth anniversary of the publication of harry markowitz s landmark paper portfolio selection which appeared in the march 1952 issue of the journal of finance with the hindsight of many years we can see that this was the moment of the birth of modern financial economics although the baby had a healthy delivery it had to grow into its teenage years before a hint of its full promise became apparent what has always impressed me most about markowitz s 1952 paper is that it seemed to come out of nowhere compared to the work of his 1990 co nobel prize winners sharpe primarily for his paper on the capital asset pricing model and miller for his paper on capital structure markowitz s paper seems to have more of this flavor in 1676 sir isaac newton wrote his friend robert hooke if i have seen further it is by standing on the shoulders of giants newton 1959 and that is true of markowitz as well but like newton he certainly saw a long distance given the height of those shoulders markowitz was hardly the first to consider the desirability of diversification daniel bernoulli in his famous 1738 article about the st petersburg

robust multiobjective portfolio optimization a minimax regret approach abstract an efficient frontier in the typical portfolio selection problem provides an illustrative way to express the tradeoffs between return and risk following the basic ideas of modern portfolio theory as introduced by markowitz security returns are usually extracted from past data our purpose in this paper is to incorporate future returns scenarios in the investment decision process for representative points on the efficient frontier the minimax regret portfolio is calculated on the basis of the aforementioned scenarios these points correspond to specific weight combinations in this way the areas of the efficient frontier that are more robust than others are identified the underlying key contribution is related to the extension of the conventional minimax regret criterion formulation in multiobjective programming problems the validity of the approach is verified through an illustrative empirical testing application on the eurostoxx 50

developed country mnes investing in developing economies progress and prospect this study reviews research from 1970 through 2016 on developed country multinational enterprises dmnes entering and competing in developing economies to identify the current state of knowledge of this research and push it further we review the literature using bibliometric and qualitative content analyses covering leading journals and books we articulate frontier issues that are understudied yet critical to both theorization and practice of dmnes in developing economies we discuss the findings and conclusions from prior research along five key areas 1 entering developing economies 2 organizing local activities 3 managing alliances and joint ventures 4 competing in dynamic environments and 5 dealing with institutions governments and society we offer prospective insights into future agenda that have important implications for mne strategies and decisions and propose frontier directions that encompass strategic localization reverse transfer and adaptation co evolution with local business ecosystems reorganizing and restructuring and strategic responses to institutional and market complexity

back testing the performance of an actively managed option portfolio at the swedish stock market 1990 1999 we build an investment model based on stochastic programming in the model we buy at the ask price and sell at the bid price we apply the model to a case where we can invest in a swedish stock index call options on the index and the risk free asset by reoptimizing the portfolio on a daily basis over a ten year period it is shown that options can be used to create a portfolio that outperforms the index with ex post analysis it is furthermore shown that we can create a portfolio that dominates the index in terms of mean and variance i e at given level of risk we could have achieved a higher return using options

worst case value at risk and robust portfolio optimization a conic programming approach classical formulations of the portfolio optimization problem such as mean variance or value at risk var approaches can result in a portfolio extremely sensitive to errors in the data such as mean and covariance matrix of the returns in this paper we propose a way to alleviate this problem in a tractable manner we assume that the distribution of returns is partially known in the sense that onlybounds on the mean and covariance matrix are available we define the worst case value at risk as the largest var attainable given the partial information on the returns distribution we consider the problem of computing and optimizing the worst case var and we show that these problems can be cast as semidefinite programs we extend our approach to various other partial information on the distribution including uncertainty in factor models support constraints and relative entropy information

portfolio constraints and the fundamental law of active management active portfolio management is typically conducted within constraints that do not allow managers to fully exploit their ability to forecast returns constraints on short positions and turnover for example are fairly common and materially restrictive other constraints such as market capitalization and value growth neutrality with respect to the benchmark or economic sector constraints can further restrict an active portfolio s composition we derive ex ante and ex post correlation relationships that facilitate the performance analysis of constrained portfolios the ex ante relationship is a generalized version of a previously developed fundamental law of active management and provides an important strategic perspective on the potential for active management to add value the ex post correlation relationship represents a practical decomposition of performance into the success of the return prediction process and the noise associated with portfolio constraints we verify the accuracy of these relati

diversifying portfolios of u s stocks with crude oil and natural gas a regime dependent optimization with several risk measures abstract we build a portfolio encompassing u s crude oil natural gas and stocks to study the diversification power of energy commodities such diversification power depends on the joint dependence structure of the three types of assets according to gatfaoui 2016a the dependence structure is time varying because individual asset returns exhibit several variance regimes we identify the corresponding regime specific multivariate copulas and incorporate them to well chosen risk measures specifically we minimize the portfolio s variance semi variance and tail risk in the presence and the absence of constraints on the portfolio s expected return and or stock investment first the return constraint reduces the performance of the optimal portfolio second the regime specific portfolio optimization implements an enhanced active management strategy over the whole sample period finally the tail risk optimal portfolio offers the most interesting risk return tradeoff however variance and semi variance optimal portfolios can also be considered in the absence of a return constraint

a multi product risk averse newsvendor with exponential utility function abstract we consider a multi product newsvendor using an exponential utility function we first establish a few basic properties for the newsvendor regarding the convexity of the model and monotonicity of the impact of risk aversion on the solution when the product demands are independent and the ratio of the degree of risk aversion to the number of products is sufficiently small we obtain closed form approximations of the optimal order quantities the approximations are as easy to compute as the risk neutral solution we prove that when this ratio approaches zero the risk averse solution converges to the corresponding risk neutral solution when the product demands are positively negatively correlated we show that risk aversion leads to lower higher optimal order quantities than the solution with independent demands using a numerical study we examine convergence rates of the approximations and thoroughly study the interplay of demand correlation and risk aversion the numerical study confirms our analytical results and further shows that an increased risk aversion does not always lead to lower order quantities when demands are strongly negatively correlated

decision bias in the newsvendor problem with a known demand distribution experimental evidence in the newsvendor problem a decision maker orders inventory before a one period selling season with stochastic demand if too much is ordered stock is left over at the end of the period whereas if too little is ordered sales are lost the expected profit maximizing order quantity is well known but little is known about how managers actually make these decisions we describe two experiments that investigate newsvendor decisions across different profit conditions results from these studies demonstrate that choices systematically deviate from those that maximize expected profit subjects order too few of high profit products and too many of low profit products these results are not consistent with risk aversion risk seeking preferences prospect theory preferences waste aversion stockout aversion or the consequences of underestimating opportunity costs two explanations are consistent with the data one subjects behave as if their utility function incorporates a preference to reduce ex post inventory error the absolute difference between the chosen quantity and realized demand two subjects suffer from the anchoring and insufficient adjustment bias feedback and training did not mitigate inventory order errors we suggest techniques to improve decision making

the dynamic black litterman approach to asset allocation abstract we generalize the black litterman bl portfolio management framework to incorporate time variation in the conditional distribution of returns in the asset allocation process we evaluate the performance of the dynamic bl model using both standard performance ratios as well as other measures that are designed to capture tail risk in the presence of non normally distributed asset returns we find that the dynamic bl model outperforms a range of different benchmarks moreover we show that the choice of volatility model has a considerable impact on the performance of the dynamic bl model

the performance of stochastic dynamic and fixed mix portfolio models the purpose of this paper is to demonstrate how to evaluate stochastic programming models and more specifically to compare two different approaches to asset liability management the first uses multistage stochastic programming while the other is a static approach based on the so called constant rebalancing or fixed mix particular attention is paid to the methodology used for the comparison the two alternatives are tested over a large number of realistic scenarios created by means of simulation we find that due to the ability of the stochastic programming model to adapt to the information in the scenario tree it dominates the fixed mix approach

capturing the correlations of fixed income instruments this paper develops a framework for managing portfolios of fixed income instruments based on traditional principles from the equities market i e based on diversification it shows through an analysis of the high yield bond market over the period 1987 to 1991 that fixed income prices could be highly correlated these correlations can be quantified and integrated in a systematic way in an asset liability management framework for vanishing fixed income securities however we cannot resort to statistical analysis of historical data in order to quantify correlations the paper develops a forward looking simulation procedure for capturing correlations applications are illustrated for examples from high yield bonds and mortgage backed securities the superiority of the proposed approach over the traditional portfolio immunization techniques is demonstrated in the context of funding an insurance liability stream with mortgage instruments

on the strategic behavior of large investors a mean variance portfolio approach abstract one key assumption of markowitz s model is that all traders act as price takers in this paper we extend this mean variance approach in a setting where large investors can move prices instead of having an individual optimization problem we find the investors nash equilibrium and redefine the efficient frontier in this new framework we also develop a simplified application of the general model with two assets and two investors to shed light on the potential strategic behavior of large and atomic investors our findings validate the claim that large investors enhance their portfolio performance in relation to perfect market conditions besides we show under which conditions atomic investors can benefit in relation to the standard setting even if they have not total influence on their eventual performance the two investors two assets setting allows us to quantify performance and do sensitivity analysis regarding investors market power risk tolerance and price elasticity of demand finally for a group of well known etfs we empirically show how price variations change depending on the volume traded we also explain how to set up and use our model with real market data

balancing private and state ownership in emerging markets telecommunications infrastructure country industry and firm influences bargaining between host states and investors over the terms of investment in sensitive sectors of the economy generates political and economic tensions in this study we investigate the factors that contribute to the outcomes of those negotiations as measured by the private vs state owned share of newly consummated telecommunications infrastructure projects we find that private ownership is positively associated with overall economic development and investment liberalization in the host country and with greenfield vs divestiture and joint venture vs wholly owned projects private ownership is negatively associated with existing telecommunications infrastructure higher levels of state ownership of foreign investing firms and the technological sophistication of the projects our analysis also shows a curvilinear inverted u shaped relationship between investment policy hazards and private ownership this finding supports the insight from transaction cost economics that potential gains from internalization are greatest at intermediate levels of uncertainty

the demise of expropriation as an instrument of ldc policy 1980 1992 this paper reports data collected on expropriation activity by developing countries from 1980 1992 extending previous work by kobrin 1984 kobrin s assumption that expropriation activity would continue to decrease over time and his reasons for this assumption are supported the paper introduces recent phenomena which further indicate that expropriation is unlikely to resurface in the near future as a source of multinational corporation developing country contention many developing countries now protect foreign direct investors from expropriation the broad scale movement in developing countries to privatize state owned enterprises also indicates that governments will not be eager to replace private sector activity with state ownership

mortgage loan portfolio optimization using multi stage stochastic programming we consider the dynamics of the danish mortgage loan system and propose several models to reflect the choices of a mortgagor as well as his attitude towards risk the models are formulated as multi stage stochastic integer programs which are difficult to solve for more than 10 stages scenario reduction and lp relaxation are used to obtain near optimal solutions for large problem instances our results show that the standard danish mortgagor should hold a more diversified portfolio of mortgage loans and that he should rebalance the portfolio more frequently than current practice

an integrated location production distribution and investment model for a multinational corporation abstract we present a mixed integer linear formulation that extends published models on multinational corporation facility location decisions by including exogenous variables such as exchange rates and tariff rates and incorporating production distribution and investment decisions the model provides insights on production levels facility configurations distribution strategies and levels of investment needed at these facilities and explores factors that influence the facility s configuration decisions several scenarios are considered based on various facility configurations and levels of exchange and tariff rates the results obtained from these show that the model s performance and results are in complete agreement with accepted economic theories