index insurance quality and basis risk evidence from northern kenya the number of index insurance pilots in developing countries has grown tremendously in recent years but there has been little progress in our understanding of the quality of those products basis risk or remaining uninsured risk is a widely recognized but rarely measured feature of index insurance product quality this article uses eight semi annual seasons of longitudinal household data to examine the distribution of basis risk associated with an index based livestock insurance ibli product in northern kenya we find that ibli coverage reduces exposure to covariate risk due to large shocks and mitigates downside risk substantially for many households even at commercial premium rates but index insurance is no magic bullet insured households continue to face considerable basis risk examining the components of basis risk we find that ibli reduces exposure to covariate risk due to high loss events by an average of 63 the benefits of reduced covariate risk exposure are relatively small however due to high exposure to seemingly mostly random idiosyncratic risk even in this population often thought to suffer largely from covariate shocks the result is that ibli policyholders are left with an average of 69 of their original risk due to high loss events this research underscores the need for caution when promoting index insurance as a risk mitigation tool as well as the importance of product quality evaluation

market and spillover forces in wage award determination in australia 1986 to 1997 this paper examines the role of market and spillover forces in wage award determination in australia the results show consistent with other similar studies that wage awards are only weakly related to market forces in the period studied 1986 to 1997 spillover forces emerge as the dominant determinant of award wage adjustments the results thus provide some empirical evidence for phenomenon such as wage rigidity

you can t manage right what you can t measure well technological innovation efficiency abstract this paper proposes a new approach to tackle the innovation performance relationship it addresses the so far mixed and inconclusive results of studies analyzing this relationship we argue that the undifferentiated use of innovation inputs and outputs to measure firm innovativeness is not without problems and that from a productive perspective they should be simultaneously analyzed this study follows a two stage empirical analysis using a sample of spanish manufacturing firms for the period 1992 2005 by examining two inputs and two outputs of the innovation process in the first stage we estimate technological innovation efficiency by means of an intertemporal data envelopment analysis dea bootstrap and also observe the yearly efficiency changes based on a global malmquist index in the second stage we analyze the effect of technological innovation efficiency on firm performance through a generalized method of moments gmm system the results support our arguments that the best measurement of outcomes of technological innovations is through the efficiency with which they are developed in addition we test the moderating effect of technological intensity level and firm size on the efficiency performance relationship

stochastic production and heterogeneous risk preferences commercial fishers gear choices we present a model of fishers gear choice which allows for heterogeneity both in production technology and risk preferences and apply it on a panel of swedish trawlers stochastic revenue functions are estimated and used to predict the mean and standard deviation of revenue for each trip in a random parameters logit model we test if these predicted values explain gear choice a majority of fishers respond positively to increased mean and negatively to increased variability of expected landing values indicating risk aversion but also show a strong tendency to choose the same gear used on the previous trip

invariant risk attitudes concepts of constant absolute risk aversion and constant relative risk aversion have proved useful in the analysis of choice under uncertainty but are quite restrictive particularly when they are imposed jointly a generalization of constant risk aversion referred to as invariant risk aversion is developed invariant risk aversion is closely related to the possibility of representing preferences over state contingent income vectors in terms of two parameters the mean and a linearly homogeneous translation invariant index of riskiness the best known index with such properties is the standard deviation the properties of the capital asset pricing model usually expressed in terms of the mean and standard deviation may be extended to the case of general invariant preferences c 2003 elsevier inc all rights reserved

profit efficiency among basmati rice producers in pakistan punjab farm specific profit inefficiency among basmati rice producers was estimated from a variable coefficient profit frontier the mean level of inefficiency at farm resources and price levels was 28 with a wide range 5 87 average loss of profit was rs 1 222 per hectare socioeconomic factors related to profit loss were the farm household s education nonagricultural employment and a credit constraint institutional determinants of profit loss were a water constraint and the late application of fertilizer punjab wide benefits of increasing farmer s profit efficiency are large a 25 reduction in profit loss among basmati rice producers may generate over rs 240 million in extra profits each rice season rice is a major export commodity for pakistan generating about 2 5 billion pakistan rupees rs annually or 20 of foreign exchange earnings from commodity trade in the early 1980s two varieties dominate in pakistan s international trade in rice basmati 370 a high quality long grained aromatic variety and the medium long grained irri 6 distinct export markets exist for these rices over 90 of the basmati is exported to oil rich middle eastern nations while the mediumlong varieties are mainly marketed in southeast asia in 1983 the export price of basmati was about rs 7 900 per ton while the price of medium long grained varieties averaged rs 2 700 per ton pakistan has a comparative advantage in the international market for basmati but probably not for medium long grained rices azhar and mamhud historically pakistan had a near monopoly in international trade in basmati but now faces increased competition from thailand and the united states efferson therefore pakistan must strive to increase the efficiency of basmati production to retain its comparative advantage and competitive edge in foreign rice markets basmati 370 is a pure line selection made in

some models for estimating technical and scale inefficiencies in data envelopment analysis in management contexts mathematical programming is usually used to evaluate a collection of possible alternative courses of action en route to selecting one which is best in this capacity mathematical programming serves as a planning aid to management data envelopment analysis reverses this role and employs mathematical programming to obtain ex post facto evaluations of the relative efficiency of management accomplishments however they may have been planned or executed mathematical programming is thereby extended for use as a tool for control and evaluation of past accomplishments as well as a tool to aid in planning future activities the ccr ratio form introduced by charnes cooper and rhodes as part of their data envelopment analysis approach comprehends both technical and scale inefficiencies via the optimal value of the ratio form as obtained directly from the data without requiring a priori specification of weights and or explicit delineation of assumed functional forms of relations between inputs and outputs a separation into technical and scale efficiencies is accomplished by the methods developed in this paper without altering the latter conditions for use of dea directly on observational data technical inefficiencies are identified with failures to achieve best possible output levels and or usage of excessive amounts of inputs methods for identifying and correcting the magnitudes of these inefficiencies as supplied in prior work are illustrated in the present paper a new separate variable is introduced which makes it possible to determine whether operations were conducted in regions of increasing constant or decreasing returns to scale in multiple input and multiple output situations the results are discussed and related not only to classical single output economics but also to more modern versions of economics which are identified with contestable market theories

sources of productivity growth in the spanish pharmaceutical industry 1994 2000 abstract the spanish pharmaceutical industry underwent an important transformation during the 1990s to survive under the new market conditions labs had to refocus their competitive strategies towards increasing productive efficiency or reinforcing research and development r d activities this paper analyzes the evolution of the productive patterns in a sample of 80 pharmaceutical laboratories that operated in spain from 1994 to 2000 we estimate malmquist productivity indexes and decompose them into four sources of productivity change the results suggest that pure technical efficiency change and the scale change of the technology explain most of the productivity growth observed during the period the contribution of technical change to productivity growth is negligible indicating a poor result from r d activities at least in the groups of small and medium sized labs

risk efficient irrigation strategies for wheat abstract agricultural production is risky when farmers are risk averse they are likely to put a premium on production methods that reduce perceived risks irrigation is generally believed to be a risk reducing input by using the concept of stochastic dominance risk efficient irrigation policies for wheat grown in central india are identified and quantitative estimates of benefits due to risk reduction are obtained such benefits were found to be of a large order of magnitude the more common methods such as mean variance analysis tended to over estimate the benefits

are crop yields normally distributed the evidence for nonnormality of crop yields is reassessed three methodological problems are identified in typical yield distribution analyses i misspecification of the nonrandom components of yield distributions ii missreporting of statistical significance and iii use of aggregate timeseries ats data to represent farm level yield distributions one or more of these problems infect virtually all evidence against normality to date the positive contribution of the article is a set of principles that must be followed in any valid investigation of yield normality

negative moments risk aversion and stochastic dominance a simple moment ordering condition is shown to be necessary for stochastic dominance closely related results on generalizations of the geometric and harmonic means are also provided an ordering of the moment generating functions is shown to be necessary and sufficient for stochastic dominance the results have a straightforward and useful interpretation in terms of constant relative and absolute risk aversion utility functions these results are used to provide necessary and sufficient conditions for optimality of distributions on an important class of utility functions

on research efficiency a micro analysis of dutch university research in economics and business management we argue that efficiency assessments of academic research should focus on micro units of research production rather than on conventionally employed aggregated macro units and show that such a detailed analysis of research performance provides interesting insights in addition we propose a non parametric methodology that is specially tailored for analyzing the productive efficiency of research it starts from a specification of the managerial objectives of research activities while imposing minimal structure on the typically unknown production technology we illustrate our points by assessing the productive efficiency of research in economics and business management faculties of dutch universities next to measuring productive efficiency we look for specific patterns in efficiency distributions over universities years and areas of specialization in addition we investigate the impact of external funding and the size of research programs on academic research efficiency we argue that our analysis has some interesting policy implications most notably our results show that a micro analysis of research efficiency may yield a more effective allocation of the limited financial resources that are available

parimutuel contests with strategic risk sensitive bettors abstractexisting models in the parimutuel betting literature typically explain betting data by either assuming a single representative bettor with certain risk preferences or by assuming that a number of risk neutral bettors compete strategically within a game theoretic framework we construct a theoretical framework of parimutuel markets in which we model both strategic interaction and individual bettor risk preferences distinguishing between sophisticated insiders and recreational outsiders we solve this model analytically for the optimal insider betting amount in a static symmetric nash equilibrium a new data set of 126 million individual horse race bets in new zealand from 2006 to 2014 allows us to calibrate the model we find that insiders those betting 100 or more outperform outsiders by 7 5 in terms of realized returns the best fit of the model to the data is obtained when insiders are assumed to be risk neutral and to have an information advantage of 0 08 in probability terms this findin

knowledge measurement and productivity in a research program we introduce a metric based on bayesian probability theory to evaluate the determinants of scientific discovery and use it to assess an international aquacultural research program consisting of a large number of highly varied projects the metric accommodates not only project variety but a detailed breakdown of the sources of research productivity accounting for example for the contributions of failed as well as successful investigations a mean absolute deviation loss functional form permits decomposition of knowledge gain into an outcome probability shift mean surprise and outcome variance reduction statistical precision allowing productivity to be estimated for each of them separately then combined into a single knowledge production relationship laboratory size is found to moderately boost mean surprise but has no effect on statistical precision while investigator education greatly improves precision but has no effect on mean surprise returns to research scale are decreasing in the size dimension alone but increasing when size and education are taken together suggesting the importance of measuring human capital at both the quantitative and qualitative margins

the robustness of risk return nonlinearities to the normality assumption in a recent study tinic and west 1986 empirically reexamine the risk return relationship posited by the traditional mean variance capm they find a positive nonlinear relationship between risk and return except during january when the market rewards bearing nonsystematic risk this study examines the hypothesis that nonnormality of re turn distributions may account for some of these anomalous results we compare shalit and yitzhaki s 1984 mean extended gini capm an equilibrium asset pricing relation that is independent of the form of the underlying asset distribution with the traditional capm our results indicate that the nonlinear risk return relationship and the size and january effects are robust to nonnormality of return distributions

the role of fairness in wage determination neoclassical wage theory is based on the premise that a worker s utility is based on his own wage and his own hours of work without reference to the wages and hours of others this article reviews anecdotal evidence that the wages of others are a powerful force in determining worker satisfaction such that utility goes down when the wages of others go up the resulting comparisons are a powerful force in determining wage structure but do not exclude ultimate effect of neoclassical wage determinants

two moment decision models and expected utility maximization two moment decision models are consistent with expected utility maximization only if the choice set or the agent s preferences are restricted this paper identifies a restriction which is sufficient to ensure this consistency and confirms that it holds in many economic models the implications for economic analysis are then derived two different approaches to representing an agent s preferences over strategies yielding random payoffs are in wide use under the mean standard deviation ms approach the agent is assumed to rank the alternatives according to the value of some function defined over the first two moments of the random payoff while the expected utility eu criterion assumes that the expected value of some utility function defined over payoffs is used instead the fact that there are these two competing approaches has generated a considerable literature some authors are concerned with the advantages and disadvantages of each while others deal with conditions under which the potentially different approaches would yield the same results or at least approximately so space does not

wealth weather risk and the composition and profitability of agricultural investments despite the growing evidence that farmers in low income environments are risk averse there has been little empirical evidence on the importance of risk in shaping the actual allocation of production resources among farmers differentiated by wealth the authors use panel data on investments in rural india to examine how the composition of productive and nonproductive asset holdings varies across farmers with different levels of total wealth and across farmers facing different degrees of weather risk income variability is a prominent feature of the experience of rural agents in low income countries the authors report evidence based on measures of rainfall variability that the agricultural investment portfolio behavior of farmers in such settings reflects risk aversion due evidently to limitations on consumption soothing mechanisms such as crop insurance or credit markets the authors results suggest that uninsured weather risk is a significant cause of lower efficiency and lower average incomes a one standard deviation decrease in weather risk measured by the standard deviation of the timing of the rainy season would raise average profits by up to 35 percent among farmers in the lowest wealth quartile moreover rainfall variability induces a more unequal distribution of average incomes for a given distribution of wealth wealthier farmers are willing to absorb significant risk without giving up profits to reduce production risk smaller farmers have to invest their limited wealth in ways that reduce their exposure to risk at the cost of lower profit rates the authors found that at high levels of rainfall variability differences in rates of profit per unit of agricultural assets were similar across classes of wealth but over the sample range of rainfall variability these rates of profit were always higher for the poorer farmers than for the wealthier ones suggesting that the disadvantages of small farmers in risk diffusion are more than offset by their labor cost advantage

influencing factors on hydrogen energy r d projects an ex post performance evaluation abstract to enhance its energy security korea made a significant r d investment in developing hydrogen energy technology over a period of 10 years the hydrogen energy r d center was established in 2003 with a 100 billion korean won krw government investment that would fund the initiative through 2012 this paper is a meaningful attempt to evaluate the ex post performance of completed hydrogen energy r d projects using data envelopment analysis dea through empirical analysis we focus mainly on measuring ex post performance and uncovering the influencing factors on that performance the results of our empirical analysis reveal several interesting findings first overall the ex post performance of completed projects is relatively low however there are major performance gaps among projects second r d type technology type and private sector investment are factors influencing project performance more specifically projects identified as basic research storage technology or without private sector investment had the highest performance with an acceptable level of statistical significance third dea can provide unique information such as results of returns to scale and slack analysis which cannot be gleaned from parametric methods as time went on the decreasing returns to scale drs ratio increased and the increasing returns to scale irs ratio decreased this means that the r d budget was used less and less effectively as time passed moreover among the three year project period the second year s r d budget was used most efficiently in each r d project this study can provide meaningful information to policy makers to enhance the performance of future r d projects and to promote hydrogen r d projects as well as advance the hydrogen economy

optimal procurement strategies for online spot markets abstract spot markets have emerged for a broad range of commodities and companies have started to use them in addition to their traditional long term procurement contracts forward contracts in comparison to forward contracts spot markets offer products at essentially negligible lead time but typically command a higher expected price for this added flexibility while also exhibiting substantial price uncertainty in our research we analyze the resulting procurement challenge and quantify the benefits of using spot markets from a supply chain perspective we develop and solve mathematical models that determine the optimal order quantity to purchase via forward contracts and the optimal quantity to purchase via spot markets we analyze the most general situation where commodities can be both bought and sold via a spot market and derive closed form results for this case we compare the obtained results to the reference scenario of pure contract sourcing and we include results for situations where the use of spot markets is restricted to either buying or selling only our approaches can be used by decision makers to determine optimal procurement strategies based on key parameters such as demand and spot price volatilities correlation between demand and spot prices and risk aversion the results of our analysis demonstrate that significant profit improvements can be achieved if a moderate fraction of the commodity demand is procured via spot markets the results also show that companies who use spot markets can offer a higher expected service level but that they might experience a higher variability in profits than companies who do not use spot markets we illustrate our analytical results with numerical examples throughout the paper

universities as engines of r d based economic growth they think they can two issues raised by increased participation of universities in equity arrangements designed to commercialize faculty research are addressed a the effects that an increased emphasis on patenting faculty research and on enhancing the commercial value of these patents has on the characteristics of academic research net revenue streams and existing channels through which academic research enters the market and b processes of institutional change and imitation whereby changes in the policies of elite research universities exert competitive and emulative pressures on other institutions increased efforts by universities to foster the commercialization of technological innovations erodes the singular position of institutions of higher learning in the united states based on past performance there is little reason to expect that a substantial reallocation of faculty effort towards commercially oriented r d will generate appreciable net revenues for other than a select number of universities these ventures also serve to shift academic researchers from the social roles in which they are most efficient as suppliers of a collective goodscientific and technological knowledge just as very few men are both capable business managers and ingenious inventors so few are at the same time ingenious inventors and exalted altruists some twenty years ago a university professor devised a method for measuring with accuracy the content of butterfat in milk the device if patented would doubtless have yielded him a very handsome income the inventor gave it freely to the public saying modestly that to do so was but part of his duty as a servant of the people and it has come into use the world over we call his conduct noble but our very recognition of its nobility is an admission of its rarity f w taussig inventors and money makers 1915 58

contract cheating the market in essays we conduct the first empirical economic investigation of the decision to cheat by university students we investigate student demand for essays using hypothetical discrete choice experiments in conjunction with consequential holt laury gambles to derive subjects risk preferences students stated willingness to participate in the essay market and their valuation of purchased essays vary with the characteristics of student and institutional environment risk preferring students those working in a non native language and those believing they will attain a lower grade are willing to pay more purchase likelihoods and essay valuations decline as the probability of detection and associated penalty increase

risk taking in contests and the role of carrots and sticks i introduction when individuals compete for promotions bonuses or other rewards tied to their relative performance ranking vis a vis other contestants competition is likely to drive not just work effort but where imperfect monitoring permits other choices at the contestants discretion in this article we ask how rank dependent compensation influences attitudes toward risk or the choice of variance of output when contestants have opportunities to influence this aspect of their output distribution unlike previous literature we assume that it is costly for contestants to alter the variance of output and that identical contestants simultaneously choose both the mean of their output distribution i e work effort and its variance our analysis emphasizes the importance of the number of players and symmetry or lack thereof of payoffs on contestants incentives we find that contestants will engage in risk seeking increasing the variance of their output distribution in contests among three or more players when the payoff structure offers a greater prize for ranking first than the penalty for ranking last as happens in winner take all contests if the tournament organizer or sponsor values the aggregate output of the contestants as is typically assumed in labor market tournaments this risk seeking behavior is inefficient because it is costly but does not increase the expected output however we argue that many contests such as the research and development tournaments first modeled by taylor 1995 may be characterized by an organizer who cares only or primarily about the highest output achieved by a single contestant e g the best submission received in such cases the organizer may benefit from costly risk taking among contestants we show that three payoff levels a prize to the contestant ranked first a penalty to the contestant ranked last and a common intermediate payoff to all others are sufficient to achieve any combination of effort and variance of output that the organizer wishes to induce among contestants so long as the desired output variance does not exceed that which results from a winner take all prize structure therefore the sponsor s problem can be characterized as choosing the optimal mean and variance of the output distribution given the contestants costs of influencing the mean and variance of output in this way our model provides an explanation for the importance of both carrots prizes and sticks penalties in competitive settings only through the combined use of both can a contest organizer determine the effort and the variance of output chosen by contestants and doing so is necessary to achieve optimal performance from contests since the pioneering work of lazear and rosen 1981 nalebuff and stiglitz 1983 o keeffe viscusi and zeckhauser 1984 and others rank order tournaments or contests have been used to model incentives in a variety of economic settings in particular executive compensation has frequently been modeled as a tournament in which low level executives are motivated by the prospect of climbing the corporate ladder and obtaining the large salaries attendant to top ranking executives as in rosen 1986 and bognanno 2001 similarly the behavior of investment fund managers who compete for top fund rankings has been modeled as a tournament by brown harlow and starks 1996 taylor 1995 developed a model of research tournaments in which contestants search for an innovation and the best innovation submitted to the sponsor wins a prize the distinguishing feature of a tournament or contest is that contestants are paid based on the rank of their output relative to others rather than the level of output prize levels are set in advance and competition to win generates the incentive to exert effort to increase output lazear and rosen 1981 showed that rank order tournaments can provide an efficient incentive framework in a labor market setting when workers are risk neutral

mean and variance responsive learning decision makers are often described as seeking higher expected payoffs and avoiding higher variance in payoffs we provide some necessary and some sufficient conditions for learning rules that assume the agent has little prior and feedback information about the environment to reflect such preferences we adopt the framework of borgers morales and sarin 2004 econometrica who provide similar results for learning rules that seek higher expected payoffs our analysis reveals that a concern for variance leads to quadratic transformations of payoffs to appear in the learning rule

compensating wage differentials for schooling risk in denmark in this paper we analyse the association between wage differentials and risk using detailed information on length and type of education as seen in danish administrative registers our contribution to the literature is that we distinguish between transitory time series and permanent cross sectional income shocks and estimate the compensation for both sorts of risk we find that wage risk in a given education cell is associated with higher wages while skewness is associated with lower wages as a robustness check we see that ad hoc risk measures based on earnings mobility indicators confirm these findings

effects of crop insurance premium subsidies on crop acreage crop insurance premium subsidies affect patterns of crop acreage for two reasons first holding insurance coverage constant premium subsidies directly increase expected profit which encourages more acreage of insured crops direct profit effect second premium subsidies encourage farms to increase crop insurance coverage with more insurance coverage farms obtain more subsidies and farm revenue becomes less variable as indemnities offset revenue shortfalls so acreage of insured crops likely increases indirect coverage effect by exploiting exogenous policy changes and using approximately 180 000 county crop year observations we estimate the sum of these two effects of premium subsidies on the pattern of u s acreage across seven major field crops we estimate that a 10 increase in the premium subsidy causes a 0 43 increase in the acreage of a crop in a county holding the premium subsidy of its competing crop constant taking into account the small share of premium subsidies in expected crop revenue this subsidy impact is analogous to an own subsidy acreage elasticity of 1 24 which exceeds own price acreage elasticity estimates in the literature one explanation for the larger acreage response to premium subsidies is that insurance causes an indirect coverage effect in addition to a direct profit effect

r d capital rate of return on r d investment and spillover of r d in japanese manufacturing industries the effect of r 50d on productivity growth in japanese manufacturing industries is examined using more accurate firm r 50d expenditure data than widely used data based on financial statements series of r 50d capital are constructed then rate of return on r 50d investment is estimated in addition the impact of other industries r 50d on the productivity growth of an industry is also estimated an attempt is made to determine the effect of electronics technology upon the productivity growth of other industries through the transaction of the intermediate electronics goods with improved quality and through the diffusion of the new technological knowledge discovered japanese technology trade 1977 1981 copyright 1989 by mit press

sufficient conditions for expected utility to imply drawdown based performance rankings the least restrictive sufficient condition for expected utility to imply sharpe ratio rankings is the location and scale ls condition see meyer 1987 the ls condition includes the normal and many other asymmetric and leptokurtic distributions commonly used in finance in this paper we argue that this condition is also sufficient for expected utility to imply drawdown based performance measure rankings because for investment funds satisfying the ls condition it does not matter whether funds are ranked with the sharpe ratio or with a drawdown based performance measure as the rankings are identical hence the same conditions that provide an expected utility foundation for the sharpe ratio also provide an expected utility foundation for drawdown based performance measures theoretically drawdown based performance measures are as good as the sharpe ratio

regional r d efficiency in korea from static and dynamic perspectives han u asmild m and kunc m regional r d efficiency in korea from static and dynamic perspectives regional studies research and development r d efficiency has gained great attention in regional innovation research this study examines the r d efficiency patterns of 15 korean regions for 2005 09 it employs data envelopment analysis to identify the regions r d performances relative to the best practices from the static perspective and the malmquist productivity index to evaluate their changes in performance within a given timeframe providing a dynamic perspective the results classify the korean regions into deteriorating lagging and improving groups and indicate that most regions suffer from declining r d productivity over time because of their inability to catch up with the best practices

risk aversion and yield uncertainty in duality models of production a mean variance approach a duality model of production is developed that endogenizes stochastic output decisions under risk aversion the model incorporates both yield and price uncertainty and nonlinear mean variance risk preferences this permits modeling of the firm s expected output supply and input demand decisions under risk and also in principle the firm s output variance decisions the duality model is tractable for empirical research

market and spillover forces in wage award determination in australia 1986 market and spillover forces in wage award determination in australia applied economics vol 18 no 2 pp 191 203

interactions between agricultural and resource policy the importance of attitudes toward risk using a method proposed by meyer for deriving comparative statics results in the presence of risk this paper analyzes the effects of various agricultural and environmental policy alternatives on the choices of a risk averse producer with a just and pope production function many commonly held beliefs about policy effects are not supported unambiguously by economic theory for example a tax on pesticides will not necessarily reduce pesticide use or average output and a reduction in price of agricultural output will not necessarily lead to a reduction in use of water or agricultural chemicals

mean variance vulnerability this paper transfers the concept of gollier and pratt s gollier c j w pratt 1996 risk vulnerability and the tempering effect of background risk econometrica64 1109 1123 risk vulnerability into mean variance preferences risk vulnerability is shown to be equivalent to the slope of the mean variance indifference curve being decreasing in mean and increasing in variance next we introduce the notion of mean variance vulnerability to link the concepts of decreasing absolute risk aversion risk vulnerability properness and standardness all of the abovementioned concepts are characterized in terms of mean variance indifference curve properties and in terms of absolute risk measures

prudence and risk vulnerability in two moment decision models abstract prudence risk vulnerability temperance and some related concepts have recently been introduced into the expected utility framework of decision making under uncertainty we demonstrate how they can be meaningfully formulated in terms of two moment mean standard deviation preferences

does reducing the capital gains tax rate raise or lower investment abstract the effect of taxation of capital gains on the decision to purchase a risky asset is explored within a theoretical framework similar to that of the capital asset pricing model tax rate reductions have two offsetting effects one is to raise the after tax expected return while the other is to increase the amount of risk borne by private agents conditions for determining which effect dominates are derived

a decision theoretic foundation for reward to risk performance measures abstract in this paper we prove that partial moments based performance measures e g omega kappa upside potential ratio sortino satchell ratio farinelli tibiletti ratio value at risk based performance measures e g var ratio cvar ratio rachev ratio generalized rachev ratio and other admissible performance measures are a strictly increasing function in the sharpe ratio the theoretical basis of this result is the location and scale property and two other plausible and mild conditions our result provides a decision theoretic foundation for all these frequently used performance measures moreover it might explain the empirical finding that all these measures typically lead to very similar rankings

evaluating agricultural energy policies under uncertainty the case of electricity in south india abstract farmers attitude towards risk associated with the availability of energy inputs will influence their investment behavior and demand for energy inputs in order to analyze policies that reduce the risk in energy availability some modifications in methods are required this study using a mean variance framework demonstrates how cross sectional data and time series data on crop yields and prices can be used to analyze agricultural energy policies under uncertainty in a developing country context it is argued that the farmers risk attitudes their crop allocation behavior changes in the demand for energy inputs and the stochastic relationship between various forms of energy inputs can be explained by the various energy constraints faced by them furthermore using the same methods the impact of policies which affect these constraints can be analyzed

exploring the cross country gap in patenting a stochastic frontier approach abstract this paper benchmarks the patent activities of a sample of oecd countries against the world frontier and explores the sources of the cross country differences in patenting regarded as a proxy for innovation a patent production frontier is estimated for a panel of 21 oecd countries over the 1990 2002 period using stochastic frontier analysis patenting performance for each country is decomposed into basic patenting capacity and patenting efficiency the gap between europe and the world leaders in terms of basic patenting capacity remains substantial with little sign of convergence over the sample period in terms of patenting efficiency japan germany and italy have improved their relative position in recent years the gap in patenting performance between the uk and the world frontier is due to relative underperformance in both patenting capacity and efficiency in patent production institutional factors are found to be significantly associated with the patenting efficiency of an economy

earnings distribution and inequality over time education versus relative position and cohort this paper constructs a theoretical model for analyzing the earnings distribution over time and provides an estimation procedure for the inequality of earnings over time the theoretical model incorporates gibrat s so called law of proportionate effect galton s regression toward the mean and serial correlation of the error terms under the condition that the density function of earnings for each age cohort in japan is distributed as log logistic an emphasis is placed upon comparison of the influence of the relative position in the distribution with the influence of education on earnings finally the coefficients of variation over time are presented copyright 1991 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

efficient gradualism in intertemporal portfolios abstract this paper examines intertemporal portfolio plans under autocorrelation in asset returns and considers whether these plans conform to the common advice that risky assets be bought gradually and then held in decreasing amounts as the investment horizon approaches given elliptical returns optimal portfolio plans with precommitment must be mean variance efficient then for arma 1 1 parameterizations with negative autocorrelation the age effect gradual diminishing of risky holdings as the horizon approaches is confirmed as is dollar cost averaging gradual entry into the risky asset for sufficiently distant horizons for a numerically analyzed alternative bivariate returns process only the age effect is confirmed

stochastic earnings functions risk and the rate of return to schooling it is generally accepted that there is a substantial degree of risk associated with investment in human capital when the decision to invest is made uncertainty arises for a variety of reasons an individual faces uncertainty about the length of life about the market conditions that will prevail during his or her lifetime and about the actual returns to investment over the life cycle one consequence of this uncertainty is that human capital investment will be affected not only by expected returns but also by the riskiness associated with the distribution of anticipated returns even though risk is deemed important empirical specifications of earnings functions typically found in cross section studies ignore the risk implications of the models 7 this is an important omission since failing to account for risk considerations may lead to biased estimates of the rate of return to education and may lead to inappropriate conclusions concerning wage discrimination the purpose of this paper is to investigate the impact of human capital investment on both expected earnings and the variance in earnings one measure of the riskiness of investment and to demonstrate the importance of risk and risk aversion in determining the rate of return to schooling the paper begins by showing that the standard stochastic specification of the earnings function is overly restrictive with respect to risk considerations in particular the traditional specification implies that the explanatory variables must have the same qualitative affect on both expected returns and risk thus the standard earnings function can not be used to examine the relation between human capital investment and risk in any meaningful way next we examine the risk implications of a more general stochastic earnings function the specification we use is based on the work of just and pope 3 and griffiths and anderson 2 it allows a variable to be either risk increasing or risk reducing independent of its impact on expected returns section iii contains the empirical results using data from the national longitudinal surveys we estimate the generalized earnings function we find that higher levels of general human capital as proxied by years of schooling experience and i q are positively correlated with the variance in earnings higher levels of specific human capital as proxied by job tenure are nega

measuring the efficiency of china s regional innovation systems application of network data envelopment analysis dea chen k and guan j measuring the efficiency of china s regional innovation systems application of network data envelopment analysis dea regional studies this study applies a relational network data analysis envelopment to the systematic evaluation of the innovation efficiency of china s regional innovation systems by decomposing the innovation process into the two connecting sub processes technological development and subsequent technological commercialization the results show that only one fifth of china s regional innovation systems are operating on the empirical best practice frontier during the whole process from technological development to commercialization furthermore it is found that substantial inconsistencies exist between technological development capacity and commercialization capacity in most regional innovation systems and that downstream commercialization capacity plays a more important role in the innovation performance of regional innovation systems chen k et guan j evaluer

relative efficiency of r d activities a cross country study accounting for environmental factors in the dea approach abstract this paper applies the production framework associated with the data envelopment analysis dea method to evaluate the relative efficiency of r d activities across countries r d capital stocks and manpower are treated as inputs while patents and academic publications are considered as outputs a three stage approach which involves using dea for evaluating efficiency and using tobit regressions for controlling the external environment is applied to 30 countries in recent years the results show that less than one half of the countries are fully efficient in r d activities and that more than two thirds are at the stage of increasing returns to scale most countries have a more significant advantage in producing sci cum ei publications than in generating patents