Some characterizations of stockpiling behavior under uncertainty

The objective of this note is to gain new theoretical insights into stockpiling phenomena. The model used to derive our results envisions consumers as responding optimally to uncertainties in the promotion environment. We show that, all else being equal, consumers will stockpile a promoted product more intensely: (i) the lower the availability of deal opportunities, (ii) the smaller the expected deal discount, and (iii) the lower the uncertainty about the deal/regular price, provided that dealing occurs with high/low frequency.     

Non-parametric frontier estimates of mutual fund performance using C- and L-moments: Some specification tests

There is a burgeoning literature using non-parametric frontier methods to measure mutual fund performance. These articles measure the relationship between the various characteristics (mainly return information and some costs of ownership) of these specialized financial products to establish a ranking using some efficiency measure. We argue in favor of the use of the shortage function, which is compatible with general investor preferences, and question some of the often maintained hypotheses in this line of research. The empirical part employs a large database of US and European mutual funds to offer extensive tests of the underlying modeling assumptions using various frontier estimators.     

Portfolio performance gauging in discrete time using a Luenberger productivity indicator

This paper proposes a pragmatic, discrete time indicator to gauge the performance of portfolios over time. Integrating the shortage function (Luenberger, 1995) into a Luenberger portfolio productivity indicator (Chambers, 2002), this study estimates the changes in the relative positions of portfolios with respect to the traditional Markowitz mean-variance efficient frontier, as well as the eventual shifts of this frontier over time. Based on the analysis of local changes relative to these mean-variance and higher moment (in casu, mean-variance-skewness and mean-variance-skewness-kurtosis) frontiers, this methodology allows to neatly separate between on the one hand performance changes due to portfolio strategies and on the other hand performance changes due to the market evolution. This methodology is empirically illustrated using a mimicking portfolio approach (22 and 23) using US monthly data from January 1931 to August 2007.     

A short-run Johansen industry model for common-pool resources: planning a fishery's industrial capacity to curb overfishing

Current methods for assessing capacity and its utilisation infisheries operate at the firm-level, but neglect industry capacity.Here, we introduce the Johansen-Färe measure of plant capacityof the firm into a multi-output, frontier-based version of theshort-run Johansen industry model. The model determines firmcapacity utilisation such that current industry outputs aremaintained, while minimising the use of fixed inputs at industrylevel and assuming abundant variable inputs. Policy extensionsrelevant to combating overfishing include tightening quotas,seasonal closures, linking economic and plant capacity, decommissioningschemes and area closures, implementation issues and equityconsiderations. The application to the Danish fisheries revealssubstantial overcapacity in the Danish fleet.     

Non-convex Technologies and Cost Functions: Definitions,Duality and Nonparametric Tests of Convexity

This contribution is the first systematic attempt to develop a series of nonparametric, deterministic technologies and cost functions without maintaining convexity. Specifically, we introduce returns to scale assumptions into an existing non-convex technology and, dual to these technologies, define non-convex cost functions that are never lower than their convex counterparts. Both non-convex technologies and cost functions (total, ray-average and marginal) are characterized by closed form expressions. Furthermore, a local duality result is established between a local cost function and the input distance function. Finally, nonparametric goodness-of-fit tests for convexity are developed as a first step towards making it a statistically testable hypothesis. An erratum to this article is available at .     

Radial and nonradial measures of technical efficiency: An empirical illustration for Belgian local governments using an FDH reference technology

This paper serves two purposes. First, we argue that radial efficiency measures are inappropriate for the Free Disposal Hull (FDH) technology, and we provide a comparative analysis of alternative nonradial measures. In particular, using information on Belgian local government expenditures and output indicators we implement various radial and nonradial measures on the FDH reference technology, and we investigate to which extent these efficiency measures imply different distributions and rankings. Second, we analyze the patterns of measured technical efficiency implied by the various indices. Specifically, we investigate whether different measures make any substantial difference for the explanation of the calculated inefficiencies. The empirical results suggest that more important differences in rankings exist between radial and nonradial measures than between different nonradial alternatives; moreover, the radial and the nonradial efficiency measures do yield a somewhat different pattern of explanation.This is a revision of a paper presented at the 38th Conference of the Applied Econometrics Association in Athens (April 12–13, 1993). Comments of R. Goudriaan, Henry Tulkens, and two anonymous referees are gratefully acknowledged.     

Directional measurement of technical efficiency of production: An axiomatic approach

This contribution revisits the debate on the axiomatic properties satisfied by various radial versus non-radial measures of technical efficiency in production. This issue arises whenever isoquant and efficient subset of technology diverge and hence traditional radial measurement does not comply with Koopmans' definition of technical efficiency. This axiomatic approach to technical efficiency measurement is revisited within the framework of the more recently introduced directional distance function. This analysis provides the opportunity to define some new directional efficiency measures.