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A dynamic programming approach to constrained portfolios (2012)

Holger Kraft Mogens Steffensen

This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that applies the martingale method. More precisely, we construct the non-separable value function by formalizing the optimal constrained terminal wealth to be a (conjectured) contingent claim on the optimal non-constrained terminal wealth. This is relevant by itself, but also opens up the opportunity to derive new solutions to constrained problems. As a second contribution, we thus derive new results for non-strict constraints on the shortfall of inter¬mediate wealth and/or consumption.

A model of the dynamics of organizational communication (2011)

Roland Holten

We propose a model of the dynamics of organizational communication. Our model specifies the mechanics by which communication impact is fed back to communication inputs and closes the gap between sender and receiver of messages. We draw on language critique, a branch of language philosophy, and derive joint linguistic actions of interlocutors to explain the emergence and adaptation of communication on the group level. The model is framed by Te'eni's cognitive-affective model of organizational communication.

A multiple factor model for European stocks (2000)

Thomas G. Stephan Raimond Maurer Martin Dürr

We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly regressions with a mean of 32.9%. For the individual factors we give the percentage of the weeks when they yielded statistically significant influence on stock returns. The best explanatory power – apart from the dominant country factors – was found among the statistical constructs „success“ and „variability in markets“. Classification: JEL G11, G15

A new comparative approach to macroeconomic modeling and policy analysis (2012)

Volker Wieland Tobias J. Cwik Gernot J. Müller Sebastian Schmidt Maik Hendrik Wolters

In the aftermath of the global financial crisis, the state of macroeconomic modeling and the use of macroeconomic models in policy analysis has come under heavy criticism. Macroeconomists in academia and policy institutions have been blamed for relying too much on a particular class of macroeconomic models. This paper proposes a comparative approach to macroeconomic policy analysis that is open to competing modeling paradigms. Macroeconomic model comparison projects have helped produce some very influential insights such as the Taylor rule. However, they have been infrequent and costly, because they require the input of many teams of researchers and multiple meetings to obtain a limited set of comparative findings. This paper provides a new approach that enables individual researchers to conduct model comparisons easily, frequently, at low cost and on a large scale. Using this approach a model archive is built that includes many well-known empirically estimated models that may be used for quantitative analysis of monetary and fiscal stabilization policies. A computational platform is created that allows straightforward comparisons of models’ implications. Its application is illustrated by comparing different monetary and fiscal policies across selected models. Researchers can easily include new models in the data base and compare the effects of novel extensions to established benchmarks thereby fostering a comparative instead of insular approach to model development.

A new conflict rule for securitization and other cross-border assignments : a potential threat from Europe (2006)

Rick Verhagen

One of the dangers of harmonisation and unification processes taking place within the framework of the EU is that they may result in the codification of the lowest common denominator. This is precisely what is threatening to happen in respect of assignment. Referring the transfer of receivables by way of assignment to the law of the assignor’s residence, as article 13 of the Proposal does, would be opting for the most conservative solution and would for many Member States be a step backward rather than forward. A conflict rule referring assignment to the law of the assignor's residence is too rigid to do justice to the dynamic nature of assignments in cross-border transactions and it is unjustly one-sided. It offers no real advantages when compared to other conflict rules; it even has serious disadvantages which make the conflict rule unsuitable for efficient assignment-based cross-border transactions. It is not unconceivable that this conflict rule would even be contrary to the fundamental freedoms of the ECTreaty. The Community legislators in particular should be careful not to needlessly adopt rules which create insurmountable obstacles for cross-border business where choice-of-law by the parties would perfectly do. Community legislation has a special responsibility to create a smooth legal environment for single market transactions.

A new term-based approach to project scheduling : the scheduling language RCPSV (2001)

Pok-Son Kim

A note on forward and backward partial differential equations for derivative contracts with forwards as underlyings (2001)

Angelika Esser Christian Schlag

A note on implementing Box-Cox quantile regression (2004)

Bernd Fitzenberger Ralf A. Wilke Xuan Zhang

The Box-Cox quantile regression model using the two stage method introduced by Chamberlain (1994) and Buchinsky (1995) provides an attractive extension of linear quantile regression techniques. However, a major numerical problem exists when implementing this method which has not been addressed so far in the literature. We suggest a simple solution modifying the estimator slightly. This modification is easy to implement. The modified estimator is still [square root] n-consistent and its asymptotic distribution can easily be derived. A simulation study confirms that the modified estimator works well.

A response to Hackethal and Schmidt (2003) "Financing patterns: measurement concepts and empirical results" (2004)

Jenny Corbett Jeremy Edwards Tim Jenkinson Colin Mayer Oren Sussman

Hackethal and Schmidt (2003) criticize a large body of literature on the financing of corporate sectors in different countries that questions some of the distinctions conventionally drawn between financial systems. Their criticism is directed against the use of net flows of finance and they propose alternative measures based on gross flows which they claim re-establish conventional distinctions. This paper argues that their criticism is invalid and that their alternative measures are misleading. There are real issues raised by the use of aggregate data but they are not the ones discussed in Hackethal and Schmidt’s paper. JEL Classification: G30

A Single Buyer-Single Supplier Bargaining Problem with Asymmetric Information - Theoretical Approach and Software Implementation (2003)

Eric Sucky

This paper is focused on the coordination of order and production policy between buyers and suppliers in supply chains. When a buyer and a supplier of an item work independently, the buyer will place orders based on his economic order quantity (EOQ). However, the buyer s EOQ may not lead to an optimal policy for the supplier. It can be shown that a cooperative batching policy can reduce total cost significantly. Should the buyer have the more powerful position to enforce his EOQ on the supplier, then no incentive exists for him to deviate from his EOQ in order to choose a cooperative batching policy. To provide an incentive to order in quantities suitable to the supplier, the supplier could offer a side payment. One critical assumption made throughout in the literature dealing with incentive schemes to influence buyer s ordering policy is that the supplier has complete information regarding buyer s cost structure. However, this assumption is far from realistic. As a consequence, the buyer has no incentive to report truthfully on his cost structure. Moreover there is an incentive to overstate the total relevant cost in order to obtain as high a side payment as possible. This paper provides a bargaining model with asymmetric information about the buyer s cost structure assuming that the buyer has the bargaining power to enforce his EOQ on the supplier in case of a break-down in negotiations. An algorithm for the determination of an optimal set of contracts which are specifically designed for different cost structures of the buyer, assumed by the supplier, will be presented. This algorithm was implemented in a software application, that supports the supplier in determining the optimal set of contracts.

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