A note on price futures versus revenue futures contracts

Here we consider the hedging roles of a price futures contract versus a revenue futures contract. In the absence of idiosyncratic output risk, the revenue contract almost always dominates the price contract. Idiosyncratic output risk provides conditions under which the price contract should dominate. When production risk is largely idiosyncratic, a producer with an anticipated long actuals position might combine a long revenue futures position with a short price futures position. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:503–512, 2004     

Substitution between revenue futures and price futures contracts: A note

In recent years, commercial interest has been expressed in agricultural revenue insurance instruments. Participating parties may look to futures markets to offset assumed positions. In this note, conditions are identified such that revenue futures contracts are perfect substitutes for price futures contracts. If these conditions approximate reality, then it would seem questionable whether sufficient interest would exist to sustain markets in both futures contracts. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:387–391, 2002     

A note on closet-indexing

Actively managed equity mutual funds with returns that are highly correlated with popular stock market indices like the S&P 500 often are accused of “closet-indexing”. We ask whether a trading strategy that shorts these funds and buys “true” index funds makes money for investors. Using a sample of high-R² growth-and-income funds from the CRSP survivor bias free mutual fund file, we document that the Sharpe ratio of this trading strategy and the market Sharpe ratio are statistically indistinguishable in the 1991–2000 sample period. The result is consistent with the view that widespread closet-indexing does not exist in the mutual fund industry.     

Lobbying and tariff formation: A deadweight loss consideration

This paper presents a model in which two organized groups spend real resources to influence a country's tariff policy. Being ‘small’ is shown to be advantageous in lobbying activities. The size of a group is measured by its share of national income. A small group bears only a small share of the deadweight loss which its lobbying and consequent deviation from free trade creates. Under plausible conditions, this advantage enables the smaller group engaged in lobbying to obtain trade restrictions which it views as beneficial.     

A note on the valuation of compound options

The value of a compound option, an option on an option, has been derived by Geske (1976) using Fourier integrals. This article presents two alternative proofs to derive the value of a compound option. One proof is based on the martingale approach, which provides a simple and powerful tool for valuing contingent claims. The second proof uses the expectation of a truncated bivariate normal variable. These proofs allow for an intuitive interpretation of the three elements constituting the value of a compound option. © 2002 Wiley Periodicals, Inc. Jrl Fut Mark 22:1103–1115, 2002     

A social network analysis of customer-level revenue distribution

Social network analysis has been a topic of regular interest in the marketing discipline. Previous studies have largely focused on similarities in product/brand choice decisions within the same social network, often in the context of product innovation adoption. Not much is known, however, about the importance of social network effects once customers have been acquired. Using the customer base of a telecommunications company, our study analyzes network autocorrelation in the distribution of customer-level revenue within a social network. Our results indicate a significant and substantial degree of positive network autocorrelation in customer-level revenue. High (low) revenue customers therefore tend to be primarily related to other high (low) revenue clients. Furthermore, we show that approximating communicative proximity by spatial proximity leads to a substantial underestimation of these effects.     

关税调整对金属市场影响几何?

进入本世纪以来,中国经济一直保持快速增长局面,取得了很大的成绩,同时也产生了一些问题.其中一个重要方面就是出口增长过快,外贸依存度过高.     

Instrumentality: A note on the Aesthetics of Programming

In this paper I want to describe a way to explain the beauty of instrumental action. Instrumental action is, in this paper, any action whose goal lies outside the action itself. Most of our everyday actions could be included in this category: driving to work, taking the buss, writing memos, letters and e-mails, designing cars, managing organisations, etc. We do not do these things for their own sake, we do them in order to attain some other goal. I do not intend to get any deeper into the concept of instrumental action so I will use an example instead of talking in a general manner. I have chosen to lead the argument from the example of programming, but this paper is not primarily about technology. The Dutch painter Piet Mondrian (1872-1944) had already been a relatively well known painter for a few years before he became (in)famous for his revolutionary ideas about aesthetics. His ideas are better transmitted through his paintings but he also wrote about them, which makes it easier for anyone who wishes to use them as references. In this case, all references to him are extracted from the collection The New Art-The New Life (Mondrian 1993, Da Capo Press, New York). I shall try to give an account of the aesthetics of instrumental action with the help of Mondrian's writings. I would like to explain the beauty of instrumental action using the concept of "relationships", as Mondrian did for his paintings.     

A note on the economics of the duty free zone

This note extends some of the results of Hamada (1974) on the economic effects of a duty free zone. It is shown that, in the presence of factor mobility between the duty free zone and the rest of the economy, the final equilibrium will yield the same trade pattern which would have prevailed under free trade; moreover, all of the trade will be done by the duty free zone.