Numerical methods for dynamic Bertrand oligopoly and American options under regime switching

Bertrand oligopolies are competitive markets in which a small number of firms producing similar goods use price as their strategic variable. In particular, each firm wants to determine the optimal price that maximizes its expected discounted lifetime profit. The oligopoly problem can be modeled as nonzero-sum games which can be formulated as systems of Hamilton–Jacobi–Bellman (HJB) partial differential equations (PDEs). In this paper, we propose fully implicit, positive coefficient finite difference schemes that converge to the viscosity solution for the HJB PDE from dynamic Bertrand monopoly and the two-dimensional HJB system from dynamic Bertrand duopoly. Furthermore, we develop fast multigrid methods for solving these systems of discrete nonlinear HJB PDEs. The new multigrid methods are general and can be applied to other systems of HJB and HJB-Isaacs PDEs arising from American options under regime switching and American options with unequal lending/borrowing rates and stock borrowing fees under regime switching, respectively. We provide a theoretical analysis for the smoother, restriction and interpolation operators of the multigrid methods. Finally, we demonstrate the effectiveness of our method by numerical examples from the dynamic Bertrand problem and pricing American options under regime switching.     

The Arduous Journey of Private Labels: Insights From the South African Market and Further Afield

This article presents an overview of private label brands (PLBs) by considering both the status quo and emergent trends in this sphere. The initial focus is profiling private labels in the country of South Africa, with developments from abroad then being juxtaposed against the local retail landscape. Global market trends are brought to the fore at the end of the article. PLB adoption in South Africa currently sits at a paltry 18% (little moved in the last 5 years), compared with a European average penetration rate of 30%. The reasons for this lackluster growth are varied, with a lack of retailer R&D at the root cause. Yet the conditions are right for rapid growth of this merchandise should household incomes continue to remain under pressure and should consumers fully appreciate the value proposition of such brands. Furthermore, it is expected that the global share of the market will reach 50% by 2025 (double that presently) with retailers abandoning B-brands and replacing these with their own substitute PLBs.     

The Revival of Private Landlords in Britain’s Post-Homeownership Society

Homeownership has been declining in favour of private renting in most developed English speaking countries since the early-2000s. Public debates in countries like Britain, Australia and the US have subsequently focused on the ostensible coming of age of ‘generation rent’, constituted of younger individuals excluded from home buying and traditional routes to housing asset accumulation. While the focus of this paper is the significance of access to housing assets as a means to offset potential economic and welfare precarity, our concern is landlords rather than tenants. Drawing on British survey data, we show that the rental boom has been accompanied by increasing multiple property ownership among classes of largely middle-aged and relatively affluent households. Over one-million small-time landlords have emerged in the last decade alone, who, we argue, are part product of historic developments in housing markets and welfare states. Generations of British have not only been orientated towards their homes as commodity assets, they have also begun to mobilise around multi-property accumulation in a context of shifting welfare and pension expectations.     

Who Posts the Reputational Bond? Advertising and Cobranding in Vertical Relationships

I identify and explore the relationship between two views of brands and advertising, one emphasizing their role in assuring quality and the other emphasizing their role in shifting rents across firms in the supply chain. I show that in the presence of moral hazard, the identity of the reputational bondposter matters, and that both the upstream and the downstream prefer to be the bondposter. I determine the welfare costs of bondposter identity, and who would pay more (or be willing to advertise more) to become the bondposter.     

The ATO Longitudinal Information Files (ALife): A New Resource for Retirement Policy Research

The Australian Taxation Office release of annual longitudinally linked individual tax and superannuation records, known as the ATO Longitudinal Information Files (ALife), opens up opportunities for new research. In this study, we provide an overview of ALife, focusing on its use for retirement income research. To this end, we provide the first longitudinal estimates of superannuation outcomes for 1-year birth cohorts. Results show marked increase in disparity of super balances in the lead-up to retirement as those in the top quartile ramp-up their contributions, possibly to take advantage of the favourable tax treatment of superannuation income in retirement years.     

An event-based perspective on the development of commitment

This paper proposes a new perspective on the development of commitment. We propose that organizational events are evaluated relative to a person's values to determine whether the person fits or misfits the organization. The fit information is then organized into commitment elements, which reflect the extent to which workplace events fit (relative to misfit) a particular value across events over time. We propose that elements are organized around values, not events, such that values are the main effect and events are the moderators of said effect on elements. Elements are, in turn, formative indicators of the latent commitment construct. They are the proximal causes of commitment. Multiple elements contribute to a single commitment and they are weighted via the value hierarchy. Our perspective contributes to the literature by: (a) being developmental; (b) focusing on events; and, (c) having implications for both within-person and between-person questions about commitment development.     

MNC Strategic Responses to Ethical Pressure: An Institutional Logic Perspective

In this study, we aim to investigate how multinational corporations (MNCs) balance ethical pressures from both the home and host countries. Drawing on theories from institutional theory, international business, and business ethics, we build a theoretical framework to explain the ethical behavior of MNCs. We apply the institutional logic concept to examine how MNCs with established logics and principles that have grown in the home country respond to local ethical expectations in the host country. We differentiate the core values from the peripheral components of a MNC’s institutional logic and propose that a MNC will pursue distinctive ethical strategies under different scenarios and choose the “right” configuration of core values and peripheral components that align with institutional environment in host countries.     

A comparison of treatment effects estimators using a structural model of AMI treatment choices and severity of illness information from hospital charts

We compare the performance of various matching estimators using a novel approach that is feasible in the absence of experimental data. We estimate a structural model of hospital choices and catheterization for Medicare heart attack victims using hospital chart data on patient heterogeneity. With the estimated structural parameters, we simulate data for which the treatment effect is known. We find that as measures of individual heterogeneity are added to the controls, matching estimators perform well. However, the estimators do a poor job recovering the true treatment effect when measures of individual heterogeneity are unavailable. Copyright © 2010 John Wiley & Sons, Ltd.     

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