Coherent hedging in incomplete markets

In incomplete financial markets, not every contingent claim can be perfectly replicated by a self-financing strategy. In this paper, we minimize the risk that the value of the hedging portfolio falls below the payoff of the claim at time T. We use a coherent risk measure, introduced by Artzner et al., to measure the risk of the shortfall. The dynamic optimization problem of finding a self-financing strategy that minimizes the coherent risk of the shortfall can be split into a static optimization problem and a representation problem. We will deduce necessary and sufficient optimality conditions for the static problem using convex duality methods. The solution of the static optimization problem turns out to be a randomized test with a typical 0–1 structure. Our results improve those obtained by Nakano. The optimal hedging strategy consists of superhedging a modified claim that is the product of the original payoff and the solution to the static problem.     

New trends in urban development and public policy in eastern Germany: dealing with the vacant housing problem at the local level

Supported by federal funds, many eastern German cities have started to address their acute vacant housing problem, and the new strategies attempt to pursue revitalization in especially consistent and comprehensive forms. This article offers evidence that current policies are not meeting their main objectives. Very little is being done in the older, inner‐city neighbourhoods, although these have been given a top political priority in the planning process since they are perceived as one of the greatest economic and cultural assets of eastern Germany. Rather, the policies have been effective only in the large‐scale housing estates, where local administrations and city governments meet ‘big partners’ with resources for action. Further, it is argued that present policy strategies focus too tightly on housing market issues alone. Many housing problems cannot be solved using housing market policy tools alone as vacancy is caused by the general trends of depopulation and deindustrialization in the region. Avec l'aide de financements fédéraux, de nombreuses grandes villes est‐allemandes se sont attaquées à leur grave problème de logements inoccupés, et les nouvelles stratégies tentent une relance par des formules particulièrement vastes et cohérentes. Cet article démontre que les politiques actuelles n'atteignent pas leurs objectifs principaux. Très peu est fait dans les quartiers anciens déshérités, même si on leur a donné une priorité politique élevée dans le processus d'aménagement puisqu'ils sont en bonne place, dit‐on, dans le patrimoine économique et culturel de l'Allemagne de l'Est. En revanche, les politiques publiques n'ont été efficaces que dans les projets de logements à grande échelle lorsque les administrations locales et autorités de la ville rencontrent des ‘partenaires de poids’ ayant des ressources pour agir. De plus, les stratégies politiques présentes s'attachent trop aux seuls aspects liés au marché du logement. Bien des problèmes d'habitat ne peuvent être résolus à l'aide d'outils de politique de marché puisque la vacance tient aux tendances générales à la dépopulation et à la désindustrialisation de la région.     

Democracies cooperate more: even where it threatens to bite?

Estimating two-step selection models, we find that more democratic governments are more likely to conclude preferential trade agreements (PTAs) and to agree to stricter investment provisions related to pre-establishment national treatment and investor–state dispute settlement in PTAs. This is surprising when considering the potentially high costs of litigation.     

Working here makes me sick! The consequences of sick building syndrome

This study investigates the consequences of sick building syndrome (SBS) by extending previous research on its impact on employee behaviours and attitudes. The article examines the effect of working in sick buildings on employees' organisational citizenship behaviours, absence, stress, burnout and job satisfaction. We report the findings from a survey of police officers working in air‐conditioned buildings in the Caribbean region. The study draws on social exchange and social relations theories to develop hypotheses on the impact of SBS on employee well‐being and extra‐role behaviours. The findings provide partial support for the hypotheses with SBS associated with reduced employee well‐being and absence but not with organisational citizenship behaviour. The implications of these findings, limitations of the study and further research considerations are discussed.     

Effects of Unilateral Climate Policy on Terms of Trade,Capital Accumulation,and Welfare in a World Economy

We present a two-good, two-country overlapping generations model where emissions arise from production and each country has a domestic emission permit system. When one country unilaterally reduces her cap on emissions, her output available for domestic and foreign consumption diminishes more than in the other country. With unchanged consumption expenditure shares for both goods the domestic terms of trade improve, while capital stocks decline in the reducing and less strongly in the non-reducing country. Improving terms of trade in the reducing country and falling capital stocks lead in total to welfare losses in both countries. However, if the country which unilaterally reduces her emission permits is a net creditor to the world economy and the Golden Rule applies, her own welfare loss remains below that of the non-reducing country.     

An‘s Bett gefesselt

Wann sind freiheitsentziehende Ma?nahmen erlaubt? – Die Gefahr, dass Pflegebedürftige stürzen und sich verletzen oder Demenzkranke orientierungslos die Wohnung verlassen, ist im Pflegealltag allgegenw?rtig. Solche Ereignisse gilt es zu verhindern – aber: Bauchgurte oder Bettgitter dürfen nicht ohne weiteres eingesetzt werden.     

The tourist experience and bonding

This paper sheds light on the gendered meanings of bonding within the tourist experience. Its basis is a survey of young male and female single students, which demonstrates how they value being with, doing and sharing a holiday with their friends. The findings suggest complex gender power relations within tourism. For instance, women significantly more than men need to be together with, talking to and sharing experiences with their friends, and they require more than men this company to feel safe during the day and night. Such gender distinctions are linked to how men and women enact friendships and gender differently and to the geography of women's travel fears, which proposes that women more than men develop mental maps which restrict public movements. This research also suggests that the need for the company of friends is not just about spatiality; singles of both sexes prefer to be with friends when eating out in the enclavic and in heterogeneous tourism spaces. This finding thus proposes that midlife single women's ambivalence towards eating out alone on city breaks and resort holidays is perhaps not so much about womanhood as their age.     

Foreign investors' activities in the context of East German privatisation: Motivations and strategies

4. Conclusions Privatisation in East Germany has not been a closed-shop event but has successfully set the stage for international integration of the East German economy. The degree of foreign participation, though fairly modest in the beginning, has risen considerably over the course of time. Foreign investors, who have proved to be sensitive both to market signals and to policy created incentives, will contribute a good deal to restructuring and modernising the East German economy. However, the importance of foreigners' participation has to be assessed in qualitative terms. Its main merit in privatisation has been to strengthen competition. In many cases, bidding among potential investors became more competitive when the Treuhand Agency succeeded in inviting foreigners to participate. However, investors' competition has been low in cases where maintaining old production sites was politically pre-determined. Political decisions to maintain production were motivated mainly by the need to secure employment. This policy has had a high cost which it has not been possible to shift to foreign investors — or to Germans — but which has had to be covered by the Treuhand Agency and other public bodies.     

Modelling Policy Issues in a World of Imperfect Competition

General equilibrium theory constitutes a sound basis for the discussion of policy issues if firms do not have market power. However, if firms influence prices strategically, the concept of profits loses its meaning due to the price normalization problem. Hence, it is unclear how to model the behavior of oligopolistic firms. In order to provide a conceptual foundation for the analysis of policy issues in the case of imperfect competition, we discuss ways to formulate the objective of a strategic firm. In particular, we investigate the concept of real wealth maximization that is based on profits as well as on shareholders' aggregate demand.     

Equilibrium with arbitrary market structure

Summary. Fifty years ago Arrow [1] introduced contingent commodities and Debreu [4] observed that this reinterpretation of a commodity was enough to apply the existing general equilibrium theory to uncertainty and time. This interpretation of general equilibrium theory is the Arrow-Debreu model. The complete market predicted by this theory is clearly unrealistic, and Radner [10] formulated and proved existence of equilibrium in a multiperiod model with incomplete markets.In this paper the Radner result is extended. Radner assumed a specific structure of markets, independence of preferences, indifference of preferences, and total and transitive preferences. All of these assumptions are dropped here. We - like Radner - keep assumptions implying compactness.Received: 17 April 2003, Revised: 26 March 2004, JEL Classification Numbers: D52, D40.