Arbitrage-free pricing of multi-person game claims in discrete time

We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option to a contract in which an arbitrary number of parties is involved and each of them is allowed to make a wide array of decisions at any time, not restricted to simply exercising the option. The collection of decisions by all parties then determines the contract’s termination date as well as the terminal payoff for each party. We provide sufficient conditions under which a discrete-time multi-person game option has a unique arbitrage-free price, which is additive with respect to any partition of the contract. Our results are illustrated by the detailed study of a particular multi-person contract with puttable tranches.     

ARE FINANCIAL AND SOCIAL EFFICIENCY MUTUALLY EXCLUSIVE? A CASE STUDY OF VIETNAMESE MICROFINANCE INSTITUTIONS

A major debate in microfinance focuses on the existence of a trade‐off between the financial sustainability of microfinance institutions (MFIs) and their outreach to poor clients. This paper adds to this debate by analyzing whether financial and social efficiency are mutually exclusive in a context of implicit subsidies by the state and international donors. We use data from a sample of 28 Vietnamese MFIs and apply Data Envelopment Analysis (DEA) to identify the existence of a trade‐off. Our analysis shows that for Vietnamese MFIs financial and social efficiency are not related. We interpret this as evidence for the fact that there is no support to believe that there is such a trade‐off. Subsidies, based on which most Vietnamese MFIs currently operate, helps them to show high financial efficiency, while at the same time being able to attain their social goals. Nevertheless, this model may not be sustainable in the long‐term.     

Regulatory Risk and Market Reactions — Empirical Evidence from Germany

In this article we measure the effects of events on risk and return and analyze the persistence of the influencing variables on German energy companies. Therefore, we refer to event-study methods by means of the Capital Asset Pricing Model, GARCH-Modeling and Kalman filters. We find that the discussed events do not affect all companies in an equal manner. Moreover, we show that the impact on risk and returns is not persistent and does not lead to an increase in the overall systematic risk for the considered utility operators in Germany.     

African Perspectives on China–Africa: Modelling Popular Perceptions and their Economic and Political Determinants

China's recent political and economic inroads into Africa have generated much interest in the current literature, with scholars and policymakers endeavouring to assess the merits and risks implicit in this renewed engagement. Absent from the literature, however, are systematic analyses of African perceptions of these rapidly growing China–Africa links, and what determines these perceptions. This article fills this void by examining not only African attitudes towards China's African presence, but also investigating the considerations that inform these views. Using multi-level modelling techniques, this article estimates the effects of Chinese foreign direct investment (FDI), Sino-African trade and notions of democracy and human rights on African attitudes towards “China-in-Africa”. The results suggest that Africans' views of China are nearly equivalent to those that they hold vis-à-vis Western countries. The perceived impact of imports from China has a negative effect. However, this effect is counter-balanced by perceptions of China's impact on poverty alleviation—in line with its greater focus on economic, social and cultural, as opposed to civic and political human rights—in particular through FDI. Among those who value civic and political human rights, in contrast, attitudes towards China are less favourable. This finding is echoed with respect to democratic governance, though the effect is less stable. The results are derived from Afrobarometer data covering 20 African countries.     

Toward an ontology‐driven blockchain design for supply‐chain provenance

An interesting research problem in our age of Big Data is that of determining provenance. Granular evaluation of provenance of physical goods (e.g., tracking ingredients of a pharmaceutical or demonstrating authenticity of luxury goods) has often not been possible with today's items that are produced and transported in complex, interorganizational, often internationally spanning supply chains. Recent adoptions of the Internet of Things and blockchain technologies give promise at better supply‐chain provenance. We are particularly interested in the blockchain, as many favored use cases of blockchain are for provenance tracking. We are also interested in applying ontologies, as there has been some work done on knowledge provenance, traceability, and food provenance using ontologies. In this paper, we make a case for why ontologies can contribute to blockchain design. To support this case, we analyze a traceability ontology and translate some of its representations to smart contracts that execute a provenance trace and enforce traceability constraints on the Ethereum blockchain platform.     

Defining personalized concepts for XBRL using iPAD‐drawn fuzzy sets

An efficient and effective analysis of business data requires a better understanding of what the data represents, and to what degree. A human‐like way of accomplishing that without being too detailed yet learning more about data content is to summarize and map the data into concepts familiar to a person performing analysis. Processes of summarization help identify the most essential facts that are embedded in the data. All this is of significant importance for analysis of large amounts of business data required to make good and sound financial decisions. There are two aspects enabling more comprehensive yet easier processing of data: a standardized representation format of financial data; and a human‐friendly way of defining concepts and using them for building personalized models representing processing data. The first of the aspects has been addressed by the eXtensible Business Reporting Language (XBRL)—a standardized format of defining, representing and exchanging corporate and financial information. The second aspect is related to providing individuals with the ability to gain understanding of data content via determining a degree of truth of statements summarizing data based on their own perception of concepts they are looking for. In this paper, we introduce a tablet application—Tablet‐based input of Fuzzy Sets (TiFS)—and demonstrate its usefulness for entering personalized definitions of concepts and terms that enable a quick analysis of financial data. Such analysis means utilization of soft queries and operations of aggregation that extract and summarize the data and present it in a form familiar to analysts. The application allows for defining concepts and terms with ‘finger‐made’ drawings representing a person's perception of concepts. Further, these definitions are used to build summarization statements for exploring XBRL data. They are equipped with ‘drawn’ definitions of linguistic terms (e.g. LARGE, SMALL, FAST) and linguistic quantifiers (e.g. ALL, MOSTLY), and enable summarization of data content from the perspective of a user's interests. The ‘drawn’ linguistic terms and quantifiers represent membership functions of fuzzy sets. Utilization of fuzzy sets allows for performing operations of data summarization in a human‐like way. The application of TiFS illustrates ease of inputting personalized definitions of concepts and their influence on the interpretation of data. This introduces aspects of personalization and adaptation of artificial intelligence systems to perceptions and views of individuals. The proposed application is used to perform a basic analysis of an XBRL document.     

Fairness and microcredit interest rates: from Rawlsian principles of justice to the distribution of the bargaining range

This paper addresses the fairness of microcredit interest rates. Since microfinance institutions provide credit for the poor at relatively high prices, the fairness of their interest rates has been repeatedly debated. We first apply Rawls' principles of justice to the case of microcredit interest rates and suggest some limitations related to the hypothesis of rationality of the borrowers and the level of inequality. We then suggest another framework based on the analysis of the distribution of the benefits generated by the transaction to assess the fairness of interest rates. We conceptualize this as the distribution of the bargaining range between the borrowers' and the institutions' reservation price and discuss what these reservation prices could be in the context of microfinance.     

No-arbitrage, state prices and trade in thin financial markets

We examine how non-competitiveness in financial markets affects the choice of asset portfolios and the determination of equilibrium prices. In our model, potential arbitrage is conducted by a few highly specialized institutional investors who recognize and estimate the impact of their trades on financial prices. We apply a model of economic equilibrium, based on Weretka (, 2007a), in which price effects are determined endogenously as part of the equilibrium concept. For the case in which markets allow for perfect insurance, we argue that the principle of no-arbitrage asset pricing is consistent with non-competitive behavior of the arbitragers and extend the fundamental theorem of asset pricing to the non-competitive setting.     

A Note on Initial Conditions and Liberalization during Transition

Literature explaining variations in economic performance among transition economies places a high level of importance on the role of policy. Policy differences are measured via a liberalization index used to explain differences in performance. We find that this index may be endogenous to one performance measure, e.g., output decline, and may, therefore, overstate the role of policy. This paper performs an instrumental variables (IV) estimate of the relationship between liberalization and performance that also allows us to generate a relative index of reform progress. The relative index challenges some commonly held preconceptions about which transition economies are rapid reformers and which are slow reformers.J. Comp. Econom.,December 1998, 26(4), pp. 718–734. Macalester College, 1600 Grand Avenue, St. Paul, Minnesota 55105.