diffusion of new products empirical generalizations and managerial uses the diffusion model developed by bass bass f m 1969 a new product growth model for consumer durables management sci 15january 215 227 constitutes an empirical generalization it represents a pattern or regularity that has been shown to repeat over many new products and services in many countries and over a variety circumstances numerous and various applications of the model have lead to further generalizations modifications and extensions of the model have lead to further generalizations in addition to the empirical generalizations that stem from the model we discuss here some of the managerial applications of the model

a percolation based model explaining delayed takeoff in new product diffusion a model of new product diffusion is proposed in which a site percolation dynamics represents socially driven diffusion of knowledge about the product s characteristics in a population of consumers a consumer buys the new product if her valuation of it formed after her witnessing the product in use among her friends or neighbors is not below the price of the product announced in a given period our model attributes the empirical finding of a delayed takeoff of a new product to a drift of the percolation dynamics from a nonpercolating regime to a percolating regime this drift is caused by learning effects lowering the price of the product or by network effects increasing its individual valuations by consumers both with an increasing number of buyers

the market evolution and sales takeoff of product innovations in contrast to the prevailing supply side explanation that price decreases are the key driver of a sales takeoff we argue that outward shifting supplyand demand curves lead to market takeoff our fundamental idea is that sales in new markets are initially low because the first commercialized forms of new innovations are primitive then as new firms enter actual and perceived product quality improves and prices possibly drop which leads to a takeoff in sales to provide empirical evidence for this explanation we explore the relationship between takeoff times price decreases and firm entry for a sample of consumer and industrial product innovations commercialized in the united states over the past 150 years based on a proportional hazards analysis of takeoff times we find that new firm entry dominates other factors in explaining observed sales takeoff times we interpret these results as supporting the idea that demand shifts during the early evolution of a new market due to nonprice factors is the key driver of a sales takeoff

product introduction with network externalities the authors study the introduction of a new product in a market with network externalities there is a common presumption that such markets exhibit excess inertia i e that they are biased toward existing products in contrast the authors provide conditions under which equilibrium involves insufficient friction i e a tendency to rush into new incompatible technologies they also analyze the firms incentives to make their products compatible and they show that the firm introducing the new technology is biased against compatibility copyright 1992 by blackwell publishing ltd

expected shortfall and beyond financial institutions have to allocate so called economic capital in order to guarantee solvency to their clients and counterparties mathematically speaking any methodology of allocating capital is a risk measure i e a function mapping random variables to the real numbers nowadays value at risk var which is defined as a fixed level quantile of the random variable under consideration is the most popular risk measure unfortunately it fails to reward diversification as it is not subadditive in the search for a suitable alternative to var expected shortfall es or conditional var or tail var has been characterized as the smallest coherent and law invariant risk measure to dominate var we discuss these and some other properties of es as well as its generalization to a class of coherent risk measures which can incorporate higher moment effects moreover we suggest a general method on how to attribute es risk contributions to portfolio components

two sided coherent risk measures and their application in realistic portfolio optimization by using a different derivation scheme a new class of two sided coherent risk measures is constructed in this paper different from existing coherent risk measures both positive and negative deviations from the expected return are considered in the new measure simultaneously but differently this innovation makes it easy to reasonably describe and control the asymmetry and fat tail characteristics of the loss distribution and to properly reflect the investor s risk attitude with its easy computation of the new risk measure a realistic portfolio selection model is established by taking into account typical market frictions such as taxes transaction costs and value constraints empirical results demonstrate that our new portfolio selection model can not only suitably reflect the impact of different trading constraints but find more robust optimal portfolios which are better than the optimal portfolio obtained under the conditional value at risk measure in terms of diversification and typical performance ratios

the role of finance in environmental innovation diffusion an evolutionary modeling approach abstract the implementation of climate adaptation and mitigation policies depend on the development of green technologies whose diffusion is constrained by a number of barriers which prevent them to spread broadly and at a fast pace by means of an agent based computational model the paper investigates the macro and micro economic dynamics considering the role of a traditional commercial bank and a state investment bank that explicitly supports green investments simulation results emphasize that green finance matter and that the market diffusion of environmental innovation is more pronounced when the presence of the public investment bank is combined with strong consumers preferences oriented towards environmental quality the relevance of the paper is twofold besides contributing to the literature on the finance innovation nexus by considering the role of climate finance within a complex systems framework it provides a model that can be used as a tool to explore policies to foster environmental innovation diffusion

coherent measures of risk from a general equilibrium perspective abstract coherent measures of risk defined by the axioms of monotonicity subadditivity positive homogeneity and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to if they also satisfy law invariance and comonotonic additivity then we get a subclass of them spectral measures of risk expected shortfall is a well known spectral measure of risk we investigate the above mentioned six axioms using tools from general equilibrium ge theory coherent and spectral measures of risk are compared to the natural measure of risk derived from an exchange economy model which we call the ge measure of risk we prove that ge measures of risk are coherent measures of risk we also show that spectral measures of risk are ge measures of risk only under stringent conditions since spectral measures of risk do not take the regulated entity s relation to the market portfolio into account to give more insights we characterize the set of ge measures of risk via the pricing kernel property

why are prices sticky preliminary results from an interview study this paper reports preliminary results from a large research project on business pricing which is currently underway the idea is to use interviews with actual price setters to assess the validity of a dozen theories of price stickiness the rather unorthodox for economists methodology is defended the research design is described briefly and a few results based on the first 72 interviews out of a projected 200 are presented this sample suggests that the median firm changes its price annually and that price adjustments typically lag 3 4 months behind shocks to demand or cost this abstract was borrowed from another version of this item

shortfall as a risk measure properties optimization and applications motivated from second order stochastic dominance we introduce a risk measure that we call shortfall we examine shortfall s properties and discuss its relation to such commonly used risk measures as standard deviation var lower partial moments and coherent risk measures we show that the mean shortfall optimization problem unlike mean var can be solved e7ciently as a convex optimization problem while the sample mean shortfall portfolio optimization problem can be solved very e7ciently as a linear optimization problem we provide empirical evidence a in asset allocation and b in a problem of tracking an index using only a limited number of assets that the mean shortfall approach might have advantages over mean variance 2003 elsevier b v all rights reserved

the limits of diversification when losses may be large abstract recent results in value at risk analysis show that for extremely heavy tailed risks with unbounded distribution support diversification may increase value at risk and that generally it is difficult to construct an appropriate risk measure for such distributions we further analyze the limitations of diversification for heavy tailed risks we provide additional insight in two ways first we show that similar non diversification results are valid for a large class of risks with bounded support as long as the risks are concentrated on a sufficiently large interval the required length of the support depends on the number of risks available and on the degree of heavy tailedness second we relate the value at risk approach to more general risk frameworks we argue that in markets for risky assets where the number of assets is limited compared with the bounded distribution support of the risks unbounded heavy tailed risks may provide a reasonable approximation we suggest that this type of analysis may have a role in explaining various types of market failures in markets for assets with possibly large negative outcomes

beyond expected utility subjective risk aversion and optimal portfolio choice under convex shortfall risk measures abstract we conduct a decision theoretic analysis of convex shortfall risk measures regarding their flexibility to represent subjective risk aversion and discuss the implications for the choice of optimal portfolios as convex shortfall risk measures are closely related to the expected utility functional we draw upon the expected utility framework as our benchmark first we show that unlike expected utility convex shortfall risk measures do always represent constant absolute risk aversion this constitutes a significant limitation when changing initial wealth of e g investors is relevant interestingly though it is exactly this limitation that provides additional degrees of freedom in representing subjective risk aversion beyond expected utility when initial wealth is fixed as e g in returned based portfolio selection models in the tradition of markowitz 1952 second we apply convex shortfall risk measures to the standard portfolio problem between a riskless and a risky asset we provide a procedure that allows inferring the optimal portfolios under convex shortfall risk measures from certain optimal expected utility portfolios the procedure incorporates the additional degrees of freedom in modeling subjective risk aversion and thus allows more flexible and realistic portfolios compared to expected utility third we address the optimal portfolio choice between a riskless and a risky asset in the presence of an additional background risk again we prove a correspondence result between optimal portfolios under convex shortfall risk measures and expected utility and obtain more flexible and realistic portfolios compared to expected utility we also compare the optimal risky investments without and with background risk and provide a necessary and sufficient condition for a reduction of the risky investment

fifty years of methodological trends in jibs why future ib research needs more triangulation we analyze methodological trends in empirical research in jibs from 1970 2019 our results point to the prevalence of the following patterns there has been an increase in the use of 1 large scale longitudinal cross national datasets 2 complex analytical techniques including the incorporation of multiple analytical techniques within the same study but 3 a decline in the diversity of methods in use we relate these trends to the underlying social technical and communicative conventions in the journal during the 50 year period the observed patterns are consistent with theory that posits scientific fields entrench a dominant paradigm over time resulting in a restricted set of methodological options being selected such restrictions jeopardize the quality of research because the study of any phenomenon requires the use of multiple methodological procedures to avoid the systematic biases errors omissions and limitations introduced by any single option therefore we propose the use of triangulation as a strategy for building methodological alternatives into research designs institutionalization of this principle in the field of international business has the potential to enhance both the rigor and scope of inquiry of future research

integrated models of capital adequacy why banks are undercapitalised with the majority of large uk and many us banks collapsing or being forced to raise capital over the 2007 9 period blaming bankers may be satisfying but is patently insucient basel ii and federal oversight frameworks also deserve criticism we propose that the current methodological void at the heart of basel ii pillar 2 is filled with the recommendation that banks develop fully integrated models for economic capital that relate asset values to fundamental drivers of risk in the economy to capture systematic eects and inter asset dependencies in a way that crude correlation assumptions do not we implement a fully integrated risk analysis based on the balance sheet of a representative eurobank using an economic scenario generation model calibrated to conditions at the end of 2007 our results suggest that the more modular correlation based approaches to economic capital that currently dominate practice will have led to an undercapitalisation of banks a

when elephants fight the grass gets trampled the globe and hofstede projects four aspects of the debate between hofstede and javidan et al are highlighted first it is shown that characterizing cultures either on the basis of aggregated self perceptions or on the basis of aggregated perceptions of others in one s society are not equivalent procedures each has inherent errors and neither can be considered as providing the one best way to denote national cultures furthermore the number of dimensions of national culture that can be usefully studied must be proportional to the limited number of nations available for comparative analyses third although hofstede and javidan et al appear to differ on optimal ways of aggregating individual level data to the nation level both appear to have done so in a way that does not prevent detection of differing relations between items at different levels of analysis finally we need greater clarity as to the ways in which national wealth relates to other aspects of culture it is a major component of contemporary national cultures and must be retained as an element within nation level analyses

downside loss aversion and portfolio management downside loss averse preferences have seen a resurgence in the portfolio management literature this is due to the increasing use of derivatives in managing equity portfolios and the increased use of quantitative techniques for bond portfolio management we employ the lower partial moment as a risk measure for downside loss aversion and compare mean variance m v and mean lower partial moment m lpm optimal portfolios under nonnormal asset return distributions when asset returns are nearly normally distributed there is little difference between the optimal m v and m lpm portfolios when asset returns are nonnormal with large left tails we document significant differences in m v and m lpm optimal portfolios this observation is consistent with industry usage of m v theory for equity portfolios but not for fixed income portfolios

technology adoption learning spillovers and the optimal duration of patent based monopolies abstract the paper analyses an often overlooked aspect of the patent system namely that a monopoly franchise for production of a new good could lead to a second best welfare optimum event when there was no future prospect of inventions being induced by the patent it is shown that a paten may improve economic welfare relative to a regime of competitive supply when there are learning externalities or spillovers from experience in the process of production comparative statics show that stronger learning effects at low levels of experience tend to strengthen the case for ex post grant of a monopoly franchise

portfolio selection through maslow s need hierarchy theory inspired by maslow s need hierarchy theory we construct a new portfolio selection framework using the bi level optimization technique in which the lower level need relates to safety low risk whi

home country bias in product evaluation the complementary roles of economic and socio psychological motives consumers often are positively biased in their evaluations of domestic products vs foreign alternatives this study establishes economic and socio psychological motives for this home country bias building on social identity theory this paper shows that home country bias is in part driven by a need for self enhancement this influence is stronger for consumers who identify more strongly with their own country and is complementary to the effect of consumer ethnocentrism which provides an economic motivation for home country bias the framework is supported in empirical studies conducted in the netherlands and in the usa

a fully integrated liquidity and market risk model going beyond the simple bid ask spread overlay for a particular value at risk the author introduces an innovative framework that integrates liquidity risk funding risk and market risk he overlaid a whole distribution of liquidity uncertainty on future market risk scenarios and allowed the liquidity uncertainty to vary from one scenario to another depending on the liquidation or funding policy implemented the result is one easy to interpret easy to implement formula for the total liquidity plus market risk profit and loss distribution

some stochastic processes of interdependent demand and technological diffusion of an innovation exhibiting externalities among adopters one frequently hears the opinion that as twentieth century society becomes more complex technological change assumes more significance and occurs at a more r apid pace investment in researclh and development results in a myriad of potential innovations yet as the frontiers of technology are plshed outward uncertainity about the usefulniess of innovations becomes an increasingly important factor in the decision whether or not to adopt the new innovation furthermore the decisions of individual economic agents tend to become increasingly interrelated many recent innovations are such that whether others adopt the device influences the benefits of adoption which accrue to a given consumer or firm such externalities may be positive for example consider a nation s decision to use the metric system the wearing of a style by a fashion leader a merchant s decision to accept a certain credit card or the purchase of a coinmunication device by someone with whom one desires to communicate or negative for instance imitation in the production of a faddish consumption item for which the potential market is limited or the pulrchase of a telephone by an obscene caller our goal is to analyze techn ological difflsioll with interdependencies when uncertainty and informational considerationis are an inherent part of the theoretical model the uncertainty may be of two types a technological ulncertainty the usefulness or quality of the innovation is at least partially unlknown and b adoption uncertainity incomplete or inaccurate knowledge about who is usinlg the innovation in our stochastic model adoptioni is reversible the decision to use the innovation is not permanent but rather agents may change their minds agents are not able to learn about the characteristics quality profitability usefulness etc of the innovation this assumption limits the applicability of

why and how innovations get adopted a tale of four models scholars studying innovation have proposed several different models of the adoption process this essay identifies two broad dimensions which differentiate the principal models the strength of the evidence regarding an innovation s efficacy and the extent of increasing returns in this essay we propose that differences across these dimensions map to four models of the adoption diffusion process prominent in the literature we then analyze the diffusion patterns of six well studied innovations in terms these variables and discuss which models seems to fit them best

letter from the new editor journal of international business studies 2003 34 1 4 doi 10 1057 palgrave jibs 8400018 it is an honor and a privilege to assume the editorship of the journal of international business studies jibs today is testament to the farsighted vision that led a small group of pioneering international business scholars to found the academy of international business and the first scholarly international business research journal it was instructive for me to learn from its inception in 1969 it was determined that jibs would have a strong research emphasis i recall my early academic career as an assistant professor of management at nyu having conversations with john fayerweather about his vision and belief in the emerging importance of international teaching and research in business schools not unlike many of my contemporaries it was many years later before i came to recognize how prescient was this early group of international scholars the inaugural issue of jibs was published in spring of 1970 under the editorship of ernest w ogram jr in the ensuing 32 years jibs has become the recognized pre eminent journal in international business studies with a worldwide readership however as the world of international business scholarship is diffusing more and more into the underlying social sciences of business schools and the traditional functional areas jibs increasingly will face the question of relevance the new editorial team of jibs firmly believes that the journal must continue its leading role of defining international business studies however as international business studies has come into its own as a major research domain for scholars in business schools and the underlying social sciences the scope of international business studies has changed as well new questions are being raised about received theory on internationalization limits to free markets globalization and equity democracy of capital and globalization internet based network organizational forms and global management unanticipated consequences of fdi in developing economies rise of anti globalization social movementsyand the list goes on to open jibs to these and other emerging themes the new jibs editorial team is placing renewed emphasis on attracting new and important theoretical papers that extend the intellectual reach of international business bridge disciplinary boundaries and break out of the single theme research silos towards this end jibs has abolished the distinction between long and short research papers page limits on papers and submission fees the new editorial structure of the journal is our attempt to come to grips with this new expanded scope the office of the editor inchief has been expanded to include five associate editors in chief journal of international business studies 2003 34 1 4 2003 palgrave macmillan ltd all rights reserved 0047 2506 25 00

analytical methods for hedging systematic credit risk with linear factor portfolios abstract multi factor credit portfolio models are used widely today for managing economic capital and pricing collateralized debt obligations cdos and asset backed securities commonly practitioners allocate capital to the portfolio components sub portfolios counterparties or transactions the hedging of credit risk is generally also focused on the deltas of underlying names we present analytical results for hedging portfolio credit risk with linear combinations of systematic factors based on the minimization of systematic variance of portfolio losses we solve these problems within a multi factor merton type credit portfolio model and apply them to hedge systematic credit default losses of loan portfolios and cdos

risk capital allocation for rorac optimization abstract this paper considers the financial optimization problem of a firm with several sub businesses striving for its optimal rorac an insightful example shows that the implementation of classical gradient capital allocation can be suboptimal if division managers are allowed to venture into all business whose marginal rorac exceeds the firm s rorac the marginal rorac requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different lines of business it is shown that under certain stationarity conditions this approach can guarantee that the optimal rorac will eventually be achieved

multinomial var backtests a simple implicit approach to backtesting expected shortfall under the fundamental review of the trading book frtb capital charges for the trading book are based on the coherent expected shortfall es risk measure which show greater sensitivity to tail risk in this paper it is argued that backtesting of expected shortfall or the trading book model from which it is calculated can be based on a simultaneous multinomial test of value at risk var exceptions at different levels an idea supported by an approximation of es in terms of multiple quantiles of a distribution proposed in emmer et al 2015 by comparing pearson nass and likelihood ratio tests lrts for different numbers of var levels n it is shown in a series of simulation experiments that multinomial tests with n 4 are much more powerful at detecting misspecifications of trading book loss models than standard bi nomial exception tests corresponding to the case n 1 each test has its merits pearson offers simplicity nass is robust in its size properties to the choice of n the lrt is very powerful though slightly over sized in small samples and more computationally burdensome a traffic light system for trading book models based on the multinomial test is proposed and the recommended procedure is applied to a real data example spanning the 2008 financial crisis