on the regulation of geoengineering new evidence that the climate system may be especially sensitive to the build up of greenhouse gases and that humans are doing a poor job of controlling their effluent has animated discussions around the possibility of offsetting the human impact on climate through geoengineering nearly all assessments of geoengineering have concluded that the option while ridden with flaws and unknown side effects is intriguing because of its low cost and the ability for one or a few nations to geoengineer the planet without cooperation from others i argue that norms to govern deployment of geoengineering systems will be needed soon the standard instruments for establishing such norms such as treaties are unlikely to be effective in constraining geoengineers because the interests of key players diverge and it is relatively easy for countries to avoid incon venient international commitments and act unilaterally instead efforts to craft new norms bottom up will be more effective such an approach which would change the underlying interests of key countries and thus make them more willing to adopt binding norms in the future will require active open research programmes and assessments of geoengineering meaningful research may also require actual trial deployment of geo engineering systems so that norms are informed by relevant experience and command respect through use standard methods for international assessment organized by the intergovernmental panel on climate change ipcc are unlikely to yield useful evaluations of geoengineering options because the most important areas for assessment lie in the improbable harmful and unexpected side effects of geoengineering not the consensus science that ipcc does well i also suggest that real world geoengineering will be a lot more complex and expensive than currently thought because simple interventions such as putting reflective particles in the stratosphere will be combined with many other costlier interventions to offset nasty side effects

strategic segmentation of a market abstract when competing firms target information towards specific consumers through direct marketing activities complete segmentation of markets can result we analyze a two stage duopoly where prior to price competition each firm targets information to specific consumers and only consumers informed by a firm can buy from it this has the effect of endogenously determining market segments in a model of sales in equilibrium pure local monopoly emerges firms target and sell to mutually exclusive market segments when the cost of marketing approaches zero market shares reflect relative production efficiency equal shares when firms are symmetric this may not be the case when marketing cost is high

are there reasons against open ended research into solar radiation management a model of intergenerational decision making under uncertainty solar radiation management srm has been proposed as a means of last resort against dangerous climate change we propose a stylized model of intergenerational decision making on srm research greenhouse gas abatement and srm deployment under uncertainties about a the extent of future climate damage and b effectiveness and potential harmful side effects of srm open ended research may reveal either that srm effectively reduces climate damage or that it would cause more harm than benefits we find that srm research increases the likelihood of deployment slippery slope and derive conditions that it decreases abatement effort in expectation moral hazard neither of these provides a rationale against srm research though the rational decision is to perform srm research unless i discounting is hyperbolic and ii the absolute prudence of expected climate damage is smaller than absolute risk aversion these results generalize to the case where srm research also provides information on climate sensitivity

multi objective stochastic programming for portfolio selection abstract generally in the portfolio selection problem the decision maker dm considers simultaneously conflicting objectives such as rate of return liquidity and risk multi objective programming techniques such as goal programming gp and compromise programming cp are used to choose the portfolio best satisfying the dm s aspirations and preferences in this article we assume that the parameters associated with the objectives are random and normally distributed we propose a chance constrained compromise programming model cccp as a deterministic transformation to multi objective stochastic programming portfolio model cccp is based on cp and chance constrained programming ccp models the proposed program is illustrated by means of a portfolio selection problem from the tunisian stock exchange market

international portfolio choice and political instability risk a multi objective approach abstract the benefits derived from international portfolio diversification into foreign nations including the less developed countries are well documented yet this practice is discouraged due to market imperfections such as political instability in practice nations may be differentiated further by many aspects such as border controls or political and social trends which constrain private transactions and financial decisions this paper attempts to examine 1 whether the home asset bias in a portfolio holding is associated with higher political instability risk and 2 to what extent international diversification among stocks in the presence of such risk outperforms domestic stock portfolios using alternative instability risk proxies in the context of a discrete time version of mean variance framework we corroborate the impact of this type of risk on international portfolio investment decisions

financial portfolio management through the goal programming model current state of the art abstract since markowitz 1952 formulated the portfolio selection problem many researchers have developed models aggregating simultaneously several conflicting attributes such as the return on investment risk and liquidity the portfolio manager generally seeks the best combination of stocks assets that meets his her investment objectives the goal programming gp model is widely applied to finance and portfolio management the aim of this paper is to present the different variants of the gp model that have been applied to the financial portfolio selection problem from the 1970s to nowadays

entry deterrence in stackelberg perfect equilibria this paper examines entry deterrence in a duopoly where the postentry game is stackelberg it is argued that in reality firms can use a broader range of precommitments than is allowed for in the literature this paper permits such precommitments and analyzes the perfect equilibria it also allows for the fact that there may be fixed costs associated not only with entry but with beginning production several interesting possibilities are explained including the existence of excess capacity and the holding of inventories even in the absence of any uncertainty copyright 1990 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

a theory of interlinked rural transactions this paper argues that the interlinking of labor output and credit contracts often observed in rural economies can be regarded as an attempt to improve allocative efficiency in the face of moral hazard it advances an economic explanation of the phenomenon which is rooted in the view that prevalent modes of transaction of which interlinked contracts are an example are shaped by technological considerations interlinking is shown to be an efficient economic response to unequally distributed information arising from the uncertainty which characterizes subsistence agriculture all pareto efficient allocations require a combination of wage cum output sharing with consumption credit contracts the analytical framework set up to demonstrate the results is used to examine the response of the contractual parameters to changes in i the returns to alternative occupations available to tenant laborers ii the cost of credit to the village economy and iii the riskiness of cultivation the analysis concludes that public policy to alleviate rural poverty must recognize the relationships between technological considerations and modes of transaction in the absence of a complete set of markets

location choice product proliferation and entry deterrence within a slightly modified version of hotelling s model we reconsider the claim that the threat of entry induces existing firms to produce a larger number of products than they would otherwise we show that entry deterrence although optimal need not be achieved through product proliferation in some cases the incumbent monopolist resorts to an entry deterring strategy based on location choice rather than product proliferation we also show that in some cases the number of products chosen by the incumbent facing the threat of entry is strictly greater than the minimum number required to deter entry

the intergenerational transfer of solar radiation management capabilities and atmospheric carbon stocks solar radiation management srm technologies are considered one of the likeliest forms of geoengineering if developed a future generation could deploy them to limit the damages caused by the atmospheric carbon stock inherited from the current generation despite their negative side effects should the current generation develop these geoengineering capabilities for a future generation and how would a decision to develop srm impact on the current generation s abatement efforts natural scientists ethicists and other scholars argue that future generations could be more sanguine about the side effects of srm deployment than the current generation in this paper we add economic rigor to this important debate on the intergenerational transfer of technological capabilities and pollution stocks we identify three conjectures that constitute potentially rational courses of action for current society including a ban on the development of srm however the same premises that underpin these conjectures also allow for a novel possibility if the development of srm capabilities is sufficiently cheap the current generation may for reasons of intergenerational strategy decide not just to develop srm technologies but also to abate more than in the absence of srm

poverty and inequality under income and price dispersions many policies simultaneously affect the distribution of prices and incomes in the economy moreover a bias may occur when there is a stochastic relationship between prices and incomes and this relationship is being ignored it is therefore important to dispose of an analytical framework for welfare analysis that could account for changes in this joint distribution how can the joint influences of price and income distributions on poverty and inequality indicators be analysed we offer a method to deal with this problem by using parametric formulae of poverty and inequality measures we propose statistical indicators for the levels variabilities and a statistical link of price indices and nominal living standards these indicators are consistent with an approximation of the problem based on a bivariate lognormal distribution of price indices and nominal living standards our analysis provides hints about the social welfare impact of economic shocks or policies affecting levels variabilities and correlation of prices and incomes intuitive insights are obtained while using arithmetic means and variances instead does not lead to illuminating results the role of price and income variabilities for poverty and inequality is more complex than generally expected with the possibility of several variation regimes empirical investigation of these statistics would guide social policies

clientelization and fragmentation in backward agriculture forward induction and entry deterrence abstract this paper considers a case of fragmented duopoly basu and bell 1991 where firms have a captive segment each and compete in the remaining contested segment in a standard cournot fashion we study a two stage game in the first period the existing firm chooses the size of the captive segment incurring some cost of course and then both the firms choose quantities to sell in the second stage given a small fixed cost relevant to the contested segment the second stage game has three possible equilibria two corner and the interior one these induce a proliferation of subgame perfect nash equilibria in the whole game we use a version of forward induction rationality to refine this set we find the unique equilibrium where the existing firm has monopoly over the entire market some applications and extensions are suggested

socially responsible investment a multicriteria approach to portfolio selection combining ethical and financial objectives abstract in a context of socially responsible investment sri this paper deals with portfolio selection for investors interested in ethical policies in the opportunity set there are ethical assets and other assets which are not characterized as ethical two goals are considered the traditional financial goal in the classical utility theory under uncertainty and an ethical goal in the same utility framework a new financial ethical bi criteria model is proposed with absolute risk aversion coefficients and targets depending on the investor s ethical profile this approach is relevant as an increasing number of mutual funds are becoming interested in sri strategies from the proposed model an actual case on green investment is developed concerning this case without generalizing to other contexts an analysis of the numerical results shows that efficient portfolios obtained by the traditional e v model outperform the strong green portfolios in terms of expected return and risk but this does not significantly occur with weak green investment

collaborative production planning of supply chain under price and demand uncertainty abstract this research is motivated by an automobile manufacturing supply chain network it involves a multi echelon production system with material supply component fabrication manufacturing and final product distribution activities we address the production planning issue by considering bill of materials and the trade offs between inventories production costs and customer service level due to its complexity an integrated solution framework which combines scatter evolutionary algorithm fuzzy programming and stochastic chance constrained programming are combined to jointly take up the issue we conduct a computational study to evaluate the model numerical results using the proposed algorithm confirm the advantage of the integrated planning approach compared with other solution methodologies the supply chain profits from the proposed approach consistently outperform in some cases up to 13 better the impacts of uncertainty in demand material price and other parameters on the performance of the supply chain are studied through sensitivity analysis we found the proposed model is effective in developing robust production plans under various market conditions

stochastic goal programming a mean variance approach abstract we propose a stochastic goal programming gp model leading to a structure of mean variance minimisation the solution to the stochastic problem is obtained from a linkage between the standard expected utility theory and a strictly linear weighted gp model under uncertainty the approach essentially consists in specifying the expected utility equation corresponding to every goal arrow s absolute risk aversion coefficients play their role in the calculation process once the model is defined and justified an illustrative example is developed

a voting architecture for the governance of free driver externalities with application to geoengineering abating climate change is an enormous international public goods problem with a classical free rider structure however it is also a global free driver problem because geoengineering the stratosphere with reflective particles to block incoming solar radiation is so cheap that it could essentially be undertaken unilaterally by one state perceiving itself to be in peril this exploratory paper develops the main features of a free driver externality in a simple model motivated by the asymmetric consequences of type i and type ii errors i propose a social choice decision architecture embodying the solution concept of a supermajority voting rule and derive its basic properties

long term environmental problems and strategic intergenerational transfers the impacts of long lived stock pollutants and the measures supposed to address them link current and future generations altruism towards successor generations is a prerequisite for resolving the resulting intergenerational equity issues preference asymmetry and imperfect altruism introduce strategic conflicts between generations here a current generation decides on a combination of abatement and whether to provide an imperfect backstop the future generation decides whether to use the backstop or not we identify three outcomes 1 technology denial in which the current generation deliberately rejects the imperfect backstop to avoid misuse by the future generation 2 underabatement in which the current generation provides the backstop but reduces abatement activities and 3 overabatement in which the current generation provides the backstop but increases abatement activities the outcome depends non trivially on the assessment of collateral damages of the future generation uncertainty over future preferences renders technology denial more likely corresponding author bergheimer str 20 69115 heidelberg germany goeschl eco uni heidelberg de

monopoly power and distribution in fragmented markets the case of groundwater using data from pakistan s punjab the authors examine monopoly power in the market for groundwater irrigation water extracted using private tubewells a market characterized by barriers to entry and spatial fragmentation simple theory predicts that tubewell owners should price discriminate in favor of their own share tenants and this analysis of individual groundwater transactions over an 18 month period confirms such price discrimination and among those studied tubewell owners and their tenants use considerably more groundwater on their plots than do other farmers the authors also provide evidence that monopoly pricing of groundwater leads to compensating albeit small reallocations of canal water which farmers exchange in a separate informal market despite the substantial misallocation of groundwater a welfare analysis show that monopoly pricing has limited effects on equity and efficiency in the long run a policy aimed at eliminating monopoly pricing would do little to help the poorest farmers

designing climate mitigation policy this us paper provides an exhaustive review of critical issues in the design of climate mitigation policy by pulling together key findings and controversies from diverse literatures on mitigation costs damage valuation policy instrument choice technological innovation and international climate policy the authors begin with the broadest issue of how high assessments suggest the near and medium term price on greenhouse gases would need to be both under cost effective stabilization of global climate and under net benefit maximization or pigouvian emissions pricing the remainder of the paper focuses on the appropriate scope of regulation issues in policy instrument choice complementary technology policy and international policy architectures

multiple criteria decision making combined with finance a categorized bibliographic study abstract this paper provides a categorized bibliography on the application of the techniques of multiple criteria decision making mcdm to problems and issues in finance a total of 265 references have been compiled and classified according to the methodological approaches of goal programming multiple objective programming the analytic hierarchy process etc and to the application areas of capital budgeting working capital management portfolio analysis etc the bibliography provides an overview of the literature on mcdm combined with finance shows how contributions to the area have come from all over the world facilitates access to the entirety of this heretofore fragmented literature and underscores the often multiple criterion nature of many problems in finance

decision support models for sustainable mining networks fundamentals and challenges abstract natural resource endowments have the potential of transforming the prospects of many developing economies however a nation s mineral resources can only generate prosperity if specific technology assets are employed in a way as to effectively develop its resource sector capture value from it and transform that value into long term benefits the roadmap to such an ambitious goal lies in effective management supported by consistent formal decision making methods yet integrating environmental and social goals into strategic tactical and operational decisions is a complex challenge often addressed without adequate analytical rigour we provide a systematic analysis of the literature devoted to the development and application of quantitative decision support methods with sustainability considerations in the mining industry by establishing a framework based on the fundamental elements inherent to decision making processes pertinent to mining operations we identify several opportunities for advancing research and practice in particular we find important gaps in elements such as project portfolio optimization operations and waste management and mine closure and rehabilitation and even more so when social targets and impacts are considered it is our belief that insights from this discussion could be of significant value to both academics and practitioners interested in promoting sustainable socio economic development throughout the mining industry

a participatory budget model under uncertainty abstract participatory budgets are becoming increasingly popular in many municipalities all over the world the underlying idea is to allow citizens to participate in the allocation of a fraction of the municipal budget there are many variants of such processes however in most cases they assume a fixed budget based upon a maximum amount of money to be spent this approach seems lacking especially in times of crisis when public funding suffers high volatility and widespread cuts in this paper we propose a model for participatory budgeting under uncertainty based on stochastic programming

safety first portfolio choice based on financial and sustainability returns the aim of this paper is to expand the methodological spectrum of socially responsible investing by introducing stochastic sustainability returns into safety first models for portfolio choice we provide a foundation of the notion of sustainability in portfolio theory and establish a general model for generalized safety first portfolio management with probabilistic constraints and three specifications of it moreover we prove theorems about conditions for unique optimal solutions and for the constraints of one model being more restrictive than those of another in an empirical part we calculate the costs of investing according to our approach in terms of less financial return

disneyland monopoly interlinkage and usurious interest rates abstract interlinkage between labour and credit markets is interpreted as a consequence of a monopolistic moneylender s attempt to extract consumer s surplus from the borrower by levying a two part tariff this analogy enables us to draw on the literature on non linear pricing to high light issues in agrarian structure the consequence of policy interventions like taxes and minimum wage legislation is studied it is shown that the moneylender will charge usurious interest rates if wages are rigid downwards or there is a tax on agricultural income or borrowers have heterogeneous preferences some geometry for analysing interlinkage is developed and used for deriving some of the results

credit and sharecropping in agrarian societies this paper considers a model of linkage between land labor and credit transactions in the context of sharecropping the paper s objectives are a to derive and characterize the equilibrium in a model of a land scarce labour abundant economy under sharecropping given an infinitely elastic supply of identical sharecroppers at a reservation utility and b to demonstrate that in an imperfect market a landlord may offer credit to his tenant sometimes even at a subsidized rate of interest without necessarily insisting that the sharecropper borrow only from him precluding an involuntary linkage between credit and land transations it has been demonstrated that regardless of the presence or absence of linkage or any other control by the landlord as long as he can vary the size of the plot given to a tenant and there are enough potential tenants in equilibrium contracts a tenants utility under sharecropping will be the same as that which he could have obtained as a full time wage laborer this result implies that policies other than land reform will not affect the welfare of tenants

stochastic dominance and expected utility survey and analysis while stochastic dominance has been employed in various forms as early as 1932 it has only been since 1969 1970 that the notion has been developed and extensively employed in the area of economics finance agriculture statistics marketing and operations research in this survey the first second and third order stochastic dominance rules are discussed with an emphasis on the development in the area since the 1980s

interactive decision system in stochastic multiobjective portfolio selection abstract some investors pursuing a high return at the relatively high risk of losing a part of their money do not always select a preferred portfolio from among the so called mean variance efficient frontier provided by markowitz 1959 portfolio selection wiley new york chue and nagasawa 1996 an investor modeling and interactive method in multiobjective portfolio selection proceedings of the pacific conference on manufacturing 96 constructed their own investor model based on an risk permission maximum return portfolio and proposed an interactive portfolio selection system for selecting a preferred portfolio from the set of candidate portfolios this paper extends the system to the case when the mean and the variance of return of securities have several scenarios with known occurrence probabilities

strategic implications of counter geoengineering clash or cooperation abstract solar geoengineering has received increasing attention as an option to temporarily stabilize global temperatures a key concern is that heterogeneous preferences over the optimal amount of cooling combined with low deployment costs may allow the country with the strongest incentive for cooling the so called free driver to impose a substantial externality on the rest of the world we analyze whether the threat of counter geoengineering technologies capable of negating the climatic effects of solar geoengineering can overcome the free driver problem and tilt the game in favour of international cooperation our game theoretical model of countries with asymmetric preferences allows for a rigorous analysis of the strategic interaction surrounding solar geoengineering and counter geoengineering we find that counter geoengineering prevents the free driver outcome but not always with benign effects the presence of counter geoengineering leads to either a climate clash where countries engage in a non cooperative escalation of opposing climate interventions negative welfare effect a moratorium treaty where countries commit to abstain from either type of climate intervention indeterminate welfare effect or cooperative deployment of solar geoengineering positive welfare effect we show that the outcome depends crucially on the degree of asymmetry in temperature preferences between countries

fragmented duopoly a conceptual and empirical investigation where wireline distribution networks compete each network typically has some customers over which it competes and others for which it is the sole provider this paper conceptually and empirically assesses the effects of such competition on market prices demand and service quality for cable television service the results suggest that the effectiveness of competition in lowering prices is contingent on the degree of system overlap in particular in equilibrium an increase in overlap substantially reduces prices the conceptual model of fragmented duopoly developed in the paper may be useful in analyzing emerging competition in other network distribution industries

climate engineering under deep uncertainty abstract climate engineering and in particular solar radiation management srm is attracting increasing attention as a climate policy option however its potentially strategic nature and unforeseen side effects provide major policy and scientific challenges we study the role of srm in a two country model with the notable feature of deep uncertainty modeled as model misspecification of srm side effects we find that deep uncertainty leads to a reduction in srm deployment under both global cooperation and strategic nash behavior and that the effect is larger if countries act strategically furthermore we demonstrate that if countries have different model confidence about srm impacts then the more confident country will engage more strongly in using srm leading this country to free drive

fragmented duopoly theory and applications to backward agriculture abstract the central aim of this paper is to provide a formal description of the idea of market fragmentation which is so widely used to describe markets in backward agriculture we begin by describing a fragmented duopoly in which each seller has a captive set of customers and there is a non captive set who may buy from either seller the nash cournot equilibria of the system are analyzed and then the model is generalized to allow for the endogenous determination of the captive sets the subgame perfect equilibrium of the model provides a useful background for studying familiar topics like fragmentation interlinkage and disguised unemployment from a new point of view

sharecropping and the interlinking of agrarian markets one of the often noted features of less developed agrarian economies is the existence of interlinkages among the land labor credit and product markets the landlord is often the supplier of credit he frequently purchases and markets the output of the tenant farmers and often sells raw materials and even consumption goods to his tenant farmers how can this phenomenon be explained what are the welfare consequences of attempts to restrict these practices which often seem to constitute restraints on free trade these are the questions to which this paper is addressed a general set of arguments applicable to both competitive and noncompetitive environments are presented to situations where all the terms of the contract are determined in an optimal way as well as to situations where many of the terms are specified institutionally section i examines interlinked credit and tenancy contracts section ii examines interlinked marketing and tenancy contracts section iii points out the possible interlinking between labor contracts and consumption goods markets and section iv presents the different equilibrium frameworks discussed in the paper such as monopoly monopsony competition and equilibria with surplus labor

impact of state and civil institutions on the operation of rural market and nonmarket configurations abstract the approach undertaken in this study is based on the concept of configurations configurations are shaped by specific combinations of characteristics of the following elements the item transacted the actors and the underlying physical technological cultural and policy environment configurations can be either market or nonmarket configurations in turn transactions are endogenously determined within given configurations the impact of government intervention on the performance of a number of prototypical rural configurations and agrarian institutions such as the food and cash crops market configurations the farm household sharecropping and the rural official and unofficial credit markets is evaluated critically

an inquiry into quasi credit contracts the role of reciprocal credit and interlinked deals in small scale fishing communities in agrarian village societies beset with many hazards and uncertainties people evolve various means of coping with risk what is perhaps less known is that credit transactions can sometimes serve the function of reducing risk in such societies this article is concerned with examining several insurance motivated credit arrangements in small scale fishing communities a hunger insurance mechanism of reciprocal credit and a system of interlinked contracts aimed at insuring against risks in the spheres of labour and marketing relations will be extensively dealt with moreover the concept of triadic relationships will be shown to have special relevance in the case of traditional insurance arrangements aiming at controlling problems of moral hazard

prices and living standards evidence for rwanda abstract we review the explanations of the statistical relationship between spatial price indices and real living standards then using data from several seasons in rural rwanda we show that these variables are negatively associated hinting at price discrimination against the poor in that case policies permanently improving of market functioning may simultaneously improve efficiency and equity moreover under a hypothesis of weak association of nominal living standards and price indices we derive simplified formulae for social welfare indicators these formulae depend only on a small number of sample statistics obtainable from separate publications for prices and living standards

tri criterion inverse portfolio optimization with application to socially responsible mutual funds we present a framework for inverse optimization in a markowitz portfolio model that is extended to include a third criterion the third criterion causes the traditional nondominated frontier to become a surface until recently it had not been possible to compute such a surface but by using a new method that is able to generate the nondominated surfaces of tri criterion portfolio selection problems we are able to compute via inverse optimization the implied risk tolerances of given funds that pursue an additional objective beyond risk and return in applying this capability to a broad sample of conventional and socially responsible sr mutual funds we find that after the screening process there appears to be no significant di erence between how assets are allocated in socially responsible and conventional mutual funds which is likely to be di erent from what most sr investors would expect

value of information in portfolio selection with a taiwan stock market application illustration abstract despite many proposed alternatives the predominant model in portfolio selection is still mean variance however the main weakness of the mean variance model is in the specification of the expected returns of the individual securities involved if this process is not accurate the allocations of capital to the different securities will in almost all certainty be incorrect if however this process can be made accurate then correct allocations can be made and the additional expected return following from this is the value of information this paper thus proposes a methodology to calculate the value of information a related idea of a level of disappointment is also shown how value of information calculations can be important in helping a mutual fund settle on how much to set aside for research is discussed in reference to a taiwan stock exchange illustrative application in which the value of information appears to be substantial heavy use is made of parametric quadratic programming to keep computation times down for the methodology

approximate portfolio analysis abstract this paper presents a portfolio selection model based on the idea of approximation the model describes a portfolio by its decumulative distribution curve and a preference structure by a family of convex indifference curves it prescribes the optimal portfolio as the one whose decumulative curve has the highest tangent indifference curve the model extends the mean variance model in the sense that it does not restrict the return distributions of assets to be normal while under the assumption of normality the model simplifies to the mean variance model the model has a measure of risk attitudes that resembles the arrow pratt measure while combining both wealth and probability attitudes using this measure we show that the smaller the curvature of a value function and the larger the curvature of a weighting function the more risk averse an agent

climate change policy why has so little been achieved while the scientific evidence for climate change grows the policy responses have so far had little or no impact on the build up of emissions current trends in emissions are adverse the paper considers why the disconnect between science and policy exists and in particular why the kyoto protocol has achieved so little some contributing factors considered are the focus on carbon production rather than consumption in the architecture of kyoto the flaws in the analysis presented in the stern report notably on the impacts of climate change on economic growth on the costs of mitigation and on discounting and the political economy of the choice of policy instruments the politics of the rents that arise and the technology bias the challenges facing the copenhagen conference are noted and it is concluded that with a recasting of the economics of climate change the prospects for closing the gap between the science and policy are grim

on modeling and interpreting the economics of catastrophic climate change with climate change as prototype example this paper analyzes the implications of structural uncertainty for the economics of low probability high impact catastrophes even when updated by bayesian learning uncertain structural parameters induce a critical tail fattening of posterior predictive distributions such fattened tails have strong im plications for situations like climate change where a catastrophe is theoretically possible because prior knowledge cannot place sufficiently narrow bounds on overall damages this paper shows that the economic consequences of fat tailed structural uncertainty along with unsureness about high temperature damages can readily outweigh the effects of discounting in climate change policy analysis

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

selecting a portfolio with skewness recent evidence from us european and latin american equity markets abstract polynomial goal programming in which investor preferences for skewness can be incorporated is utilized to determine the optimal portfolio from latin american us and european capital markets the empirical findings suggest that the incorporation of skewness into an investor s portfolio decision causes a major change in the resultant optimal portfolio the empirical evidence indicates that investors do trade expected return of the portfolio for skewness