Approximating exact expected utility via portfolio efficient frontiers

Expected utility theory is nowadays accepted as the standard for rational choice among risky assets. However, as Harry Markowitz recently pointed out, the problem of how the maximum expected utility along the risk–return portfolio efficient frontiers approximates the exact maximum expected utility is still open. This paper shows that some popular risk–return models are actually able to approximate expected utility maximization with respect to classical and new distance measures. It also analyzes the ability of the whole risk–return efficient frontiers to approximate the exact one. Our empirical analysis is based on recent publicly available real-world data sets.     

Recenti sviluppi teorici del «Capital Asset Pricing Model»

Il presente studio prende in esame il CAPM e ne illustra i principali approcci teorici più recenti; soprattutto in questi ultimi anni, infatti, l'argomento ha attirato l'attenzione degli studiosi in campo finanziario e si presenta ancora molto interessante per i possibili sviluppi futuri. Senza esaurire l'argomento, che comporterebbe una trattazione molto ampia e una molteplicità di modelli a questo collegati, è parso utile ripercorrere l'iter logico e cronologico di questa teoria al fine di osservare come da un modello relativamente semplice sia stata a poco a poco enucleata tutta una serie di importanti problemi collaterali.

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This paper reviews the theoretical literature on the CAPM, considering the most important and recent approaches.Actually this model has been studied and developed very much in the financial field and further applications can be obtained in the future. The logical and historical development of the CAPM has been here the perspective to observe this theory, without exhausting the literature in this field, so the main aim is to present the relevant importance of the actual theory and some important problems which come from that.

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Lavoro svolto nell'ambito della ricerca CNR n. 78.00551.10.     

An Empirical Analysis of Competition in Brand Differentiated Oligopoly

The paper studies the behaviour of four oligopolistic firms in the Italian coffee market. We study whether their behaviour is better represented by Bertrand behaviour or by collusive pricing. We also investigate the role of advertising in product differentiation.     

FINANCIAL CONSTRAINTS, GLOBAL ENGAGEMENT, AND FIRM SURVIVAL IN THE UNITED KINGDOM: EVIDENCE FROM MICRO DATA

Financial constraints have been found to play an important role on various aspects of firm behavior. Yet, their effects on firm survival have been largely neglected. We use a panel of 61,496 UK firms over the period 1997–2002 to study the effects of financial variables on firms' failure probabilities, differentiating firms into globally engaged and purely domestic. Estimating a wide range of specifications, we find that lower collateral and higher leverage result in higher failure probabilities for purely domestic than for globally engaged firms. This can be seen as evidence that global engagement shields firms from financial constraints.     

Close the loop: Evidence on the implementation of the circular economy from the Italian fashion industry

Fashion is widely considered as one of the most polluting and destructive industries to the environment and is a resource-intensive industry in which opportunities to reduce environmental impacts abound. By relying on an exploratory approach, this paper features an investigation into the circular economy (CE) practices of four purposefully selected Italian fashion companies. The study endorses the overlooked perspective of the product lifecycle (vis-à-vis the business model perspective), consistent with the key principles of the CE, to provide a comprehensive picture of CE practices implemented. This study engages with the current debate on the relationship between the concepts of sustainability and CE, supporting the idea that there is a beneficial relation between the two. The analysis shows the emergence of categories of CE-related practices as well as CE implementation challenges. The study also provides granular insights into the nature of these challenges that hinder the implementation of CE and demonstrates how they can be turned into sources of competitive advantage. Drawing on this emblematic evidence, we develop a set of theoretical and managerial implications.     

The persistence of firms’ knowledge base: a quantile approach to Italian data

The paper investigates the patterns of persistence of innovation and of the properties of firms’ knowledge base (KB) across a sample of Italian firms in the period 1998–2006. The analysis draws upon a theoretical representation of knowledge as a collective good, stemming from the recombination of knowledge bits that are fragmented and dispersed across economic agents. On this basis, we derived properties of the KB like the coherence, the cognitive distance and the variety, and investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation structure of such properties within a quantile regression framework. The results suggest that the properties of knowledge are featured by somewhat peculiar patterns as compared with knowledge stock, and that such evidence is also heterogeneous across firms in different quantiles.     

Exploring “Underachievement” Among Highly Educated Young British-Bangladeshi Women

Abstract

Current mainstream wisdom portrays the young British-Bangladeshi community as underachieving in education. However, this study suggests that young British-Bangladeshi women tend to be high achievers in education. This research interrogates the multifaceted experiences of British-Bangladeshi women students to better understand the contested nature of their transition from educational achievement to labor market participation. The analysis draws on a combination of fieldwork done in two colleges in East London and Leeds in 2007 and secondary data collected by the Higher Education Statistical Agency on students who graduated from British higher education institutions in 2006. Although it focuses on the reality of young British-Bangladeshi women, the study shows that – especially for certain ethnic minorities – the absence of social resources, social networks, and egalitarian class relations can hamper the process of making good on educational achievements.     

The internal market and hospital efficiency: a stochastic distance function approach

The UK internal market was one of the first European attempts to introduce a competitive mechanism in the provision of hospital services. The assumption was that competition would have led hospitals to increase efficiency in the use of their resources. The aim of this paper is to analyse the effectiveness of this kind of reform by measuring the changes in technical efficiency of a panel of 52 acute Scottish hospitals observed from 1991/92 to 1996/97. The time period covers the whole duration of the internal market and the sample contains a different mix of both trusts and non-trusts, where the former embed the proper working of the reform. The selected model is a stochastic output distance function that includes an interaction dummy variable to allow for parameters to change over time. The results show a structural break after which hospitals change not only the way in which they provide their services, but also the kind of services they provide, favouring the quicker treatment of patients on a day basis. No significant improvement in technical efficiency is detected instead over time, nor any significant difference in efficiency between trusts and non-trusts.     

The socio-economic value of satellite earth observations: huge,yet to be measured

ABSTRACT

Earth-observing satellites provide regular and accurate data that can support evidence-based decisions and public policies in a wide range of domains, potentially bringing huge socio-economic benefits. However, obstacles to effective data exploitation and poor awareness about their impacts risk hindering this potentiality and threaten the investments. Leveraging on the case of the Copernicus Programme, we review the challenges related to the full exploitation of free environmental space data and to the measurement of the related impacts. We then discuss the need for empirical approaches based on value-chain analysis with the objective to stimulate further societal and economic research.     

Legacies of violence: trust and market development

We study the effect of individual exposure to civil conflict on trust and preferences for market participation. We conducted behavioral experiments and surveys among 426 randomly selected individuals more than a decade after the end of the Tajik civil war. We find that exposure to violence undermines trust within localities, decreases the willingness to engage in impersonal exchange, and reinforces kinship-based norms of morality. The effect is strongest where infighting was most severe and where political polarization is high. Robustness of the results to the use of pre-war controls, village fixed effects, and alternative samples suggest that selection into victimization is unlikely to explain the results.