On utility maximization under model uncertainty in discrete‐time markets

We study the problem of maximizing terminal utility for an agent facing model uncertainty, in a frictionless discrete‐time market with one safe asset and finitely many risky assets. We show that an optimal investment strategy exists if the utility function, defined either on the positive real line or on the whole real line, is bounded from above. We further find that the boundedness assumption can be dropped, provided that we impose suitable integrability conditions, related to some strengthened form of no‐arbitrage. These results are obtained in an alternative framework for model uncertainty, where all possible dynamics of the stock prices are represented by a collection of stochastic processes on the same filtered probability space, rather than by a family of probability measures.     

Convergence of optimal expected utility for a sequence of discrete‐time markets

We examine Kreps' conjecture that optimal expected utility in the classic Black–Scholes–Merton (BSM) economy is the limit of optimal expected utility for a sequence of discrete‐time economies that “approach” the BSM economy in a natural sense: The nth discrete‐time economy is generated by a scaled n‐step random walk, based on an unscaled random variable ζ with mean 0, variance 1, and bounded support. We confirm Kreps' conjecture if the consumer's utility function U has asymptotic elasticity strictly less than one, and we provide a counterexample to the conjecture for a utility function U with asymptotic elasticity equal to 1, for ζ such that .     

The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework

We consider a modeling setup where the volatility index (VIX) dynamics are explicitly computable as a smooth transformation of a purely diffusive, multidimensional Markov process. The framework is general enough to embed many popular stochastic volatility models. We develop closed‐form expansions and sharp error bounds for VIX futures, options, and implied volatilities. In particular, we derive exact asymptotic results for VIX‐implied volatilities, and their sensitivities, in the joint limit of short time‐to‐maturity and small log‐moneyness. The expansions obtained are explicit based on elementary functions and they neatly uncover how the VIX skew depends on the specific choice of the volatility and the vol‐of‐vol processes. Our results are based on perturbation techniques applied to the infinitesimal generator of the underlying process. This methodology has previously been adopted to derive approximations of equity (SPX) options. However, the generalizations needed to cover the case of VIX options are by no means straightforward as the dynamics of the underlying VIX futures are not explicitly known. To illustrate the accuracy of our technique, we provide numerical implementations for a selection of model specifications.     

Illustrating a dynamic model of the mood‐updating process in consumer behavior

Previous research has examined mood as an antecedent of various consumption‐related outcomes and has explored how consumers react to their moods via attempts at self‐regulated consumption‐based mood management. However, little attention has addressed mood as an affective outcome that reflects the dynamic unfolding of consumer experiences over time. The present study explores the latter issue and proposes a model of the mood‐updating process wherein future mood depends on past mood as altered by evaluative judgments that are, in turn, influenced by consumption experiences, by predispositions, and by the previous mood itself. An empirical example illustrates this mood‐updating model in the case of listening to music. © 2000 John Wiley & Sons, Inc.     

Optimal equilibria for time‐inconsistent stopping problems in continuous time

For an infinite‐horizon continuous‐time optimal stopping problem under nonexponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the discount function is log subadditive and the state process is one‐dimensional, an optimal equilibrium is constructed in a specific form, under appropriate regularity and integrability conditions. Although there may exist other optimal equilibria, we show that they can differ from the constructed one in very limited ways. This leads to a sufficient condition for the uniqueness of optimal equilibria, up to some closedness condition. To illustrate our theoretic results, a comprehensive analysis is carried out for three specific stopping problems, concerning asset liquidation and real options valuation. For each one of them, an optimal equilibrium is characterized through an explicit formula.     

Equilibrium concepts for time‐inconsistent stopping problems in continuous time

A new notion of equilibrium, which we call strong equilibrium, is introduced for time‐inconsistent stopping problems in continuous time. Compared to the existing notions introduced in Huang, Y.‐J., & Nguyen‐Huu, A. (2018, Jan 01). Time‐consistent stopping under decreasing impatience. Finance and Stochastics, 22(1), 69–95 and Christensen, S., & Lindensjö, K. (2018). On finding equilibrium stopping times for time‐inconsistent markovian problems. SIAM Journal on Control and Optimization, 56(6), 4228–4255, which in this paper are called mild equilibrium and weak equilibrium, respectively, a strong equilibrium captures the idea of subgame perfect Nash equilibrium more accurately. When the state process is a continuous‐time Markov chain and the discount function is log subadditive, we show that an optimal mild equilibrium is always a strong equilibrium. Moreover, we provide a new iteration method that can directly construct an optimal mild equilibrium and thus also prove its existence.     

Participation of working women in decision‐making process as consumer

In a world where the role of women in decision‐making is seldom adequately appreciated, they make a remarkable contribution due to their hard work and sense of confidence. It is observed that women are mostly involved in repetitive and monotonous household work irrespective of the fact that they share most of family responsibilities and perform a wide range of duties in and outside home. On the other hand men perform activities, which require skills, but there is sufficient evidence, which show a clear, although slow shift of stereotype sex roles. In early societies, decision‐making was predominantly done by menfolk being the breadwinner of the family. With modernization and education women have been empowered to make the best use of human and non‐human resources in management of the family with respect to efficient use of time and energy. So, a study was undertaken to know how far the working women of Faridkot district participate in the decision‐making process with the following objectives:

• (a) to find out the level of participation of working women in the decision‐making process as consumer.
• (b) to find out the level of difficulty among working women at different steps of the decision‐making process.

The present investigation pertaining to Faridkot district of Punjab state of India was exploratory in nature. A sample of 100 working women was selected by simple random sampling procedure. The responses were recorded through a well structured and pretested questionnaire including an index developed to measure level of participation and difficulty as realized by working women in the decision‐making process. After collecting the data, it was analysed by employing simple statistical tests like frequency percentages The important findings emanated out of the present investigation are as follows:

• ? Most of the respondents were middle aged, educated up to graduation level, having nuclear family, small size of family with monthly income more than Rs.5000.00. It was also observed that majority of the respondents were in the teaching and medical professions.
• ? Working women were found to be involved more in the case of food items (79.0–93.0%) as compared to non‐food items (6.0–46.0%) with an exception of their major participation (78.0%) at the stage of identifying the problem in case of non‐food items.
• ? The study revealed that the time consumed at various steps of consumer decision‐making process is minimum for most of the steps in case of food items but moderate to maximum in case of non‐food items. But for analysing the alternatives the time consumed was moderate to maximum for both the categories.
• ? Findings also revealed that difficulty level was from moderate to high (32.0–98.0%) in most of the steps in case of food items whereas, in case of non‐food items it was from low to high (11.0–78.0%)

     

Redistribution in a Neo‐Kaleckian Two‐country Model

We investigate the interaction between demand‐driven growth and income distribution in open economies, by combining expenditure‐switching and demand spillover effects in a neo‐Kaleckian two country model. First, we specify elasticities of wage share and real exchange rate to the money wage relative to labor productivity, in order to precisely describe the distributive pass‐through from money wages to the labor share and the real exchange rate. Second, we analyze the demand effects of an increase in the money wage for given labor productivity (a redistribution towards labor) in both Home and Foreign country, as well as globally. We derive closed form results for two identical countries. These results indicate that redistribution towards labor at Home: (i) always increases growth globally if Home is wage‐led, but can lead to lower growth at Home relative to Foreign; and (ii) will always imply lower growth at Home relative to Foreign if Home is profit‐led, but can still be growth‐enhancing at Home. Thus, to the extent that countries are concerned with their relative economic performance, a fallacy of composition can emerge. Numerical simulations suggest that these fallacies could indeed occur. As a consequence, ‘returns to coordination’ over international labor policies might be substantial.     

Cross‐cultural perceptions in the leadership process: Theoretical perspective on the influence of culture on self‐concepts and manager‐worker attributions

This article examines the influence of culture on the way managers and workers perceive causes of success and failure in organizational tasks. The author argues that selfserving and actor‐observer biases, as well as other attribution errors, will be moderated by culture. Specifically, managers and workers with a sociocentric self‐concept from high‐context cultures may be biased toward external attributions, while managers from low‐context cultures with an idiocentric self‐concept have a tendency to make more internal attributions. These variations in attributions have consequences that affect both managers and workers. Theoretical propositions and implications for international management practices are discussed. © 2005 Wiley Periodicals, Inc.     

Sustainability via Intergenerational Transfers in a Stock‐Flow‐Consistent Model

Sustainability is about meeting present needs without compromising the needs of future generations. Achieving sustainability is thus bound to have distributional consequences. But to what extent is it possible to correct the ex‐post distribution via transfers between generations? Starting from a numerical example, the analysis uses a stock‐flow‐consistent model with a view to investigate the limitations and consequences of such transfers. It shows that inter‐generational transfers face significant limitations which render compensation payments practically impossible. Moreover, the analysis allows some conclusions regarding the effects of introducing a pension systems and/or a more explicit role of public investment in capital accumulation.     

The decision‐making process in viral marketing—A review and suggestions for further research

Viral marketing is used to widely distribute content. To achieve this goal, the basic decision‐making process from content reception to interaction must be clarified. This paper examines the decision‐making process of individuals in viral marketing using a new dynamic model. In addition, this work reviews the existing literature on viral marketing and structures to identify existing issues for further research. The decision‐making process is basically divided into two stages. In the first decision stage, individuals decide whether content should be considered. When individuals agree to view the content, they decide in the second stage whether they want to interact with it. These two decisions are influenced by three factors: the framework conditions, content, and interaction aims. With the help of the decision model, this paper summarizes the most important findings from viral marketing research over the last 20 years. In addition, this work provides new opportunities for further research in the field of viral marketing.     

Competence‐based management development in small and medium‐sized enterprises: a multi‐stakeholder analysis

Small and medium‐sized enterprises (SMEs) are considered increasingly important for economic growth (Wilson, 1995) and effective management of them is regarded as essential for their survival and success (Jennings and Beaver, 1995). This study adopted a multi‐stakeholder perspective in order to explore the promotion, via Training and Enterprise Councils (TECs); provision and (potential for) purchase of competence‐based management training and development (MTD) in the SME sector in the United Kingdom. Survey data from (551) and interviews with (12) SMEs; plus interviews (6) with TECs and interviews (29) with providers of MTD are reported. ‘Product’ deficiencies in competence‐based MTD are identified and recommendations for promotion made.     

Disagreement in a Multi‐Asset Market

This paper provides a simple framework to study the effect of disagreement in a multi‐asset market equilibrium by considering two agents who disagree about expected returns, variances, and correlation of returns of two risky assets. When agents' subjective beliefs are characterized by mean preserving spreads of a benchmark homogeneous belief, we show that the effect of the disagreement does not cancel out in general and the effect in a multi‐asset market can be very different from a single asset market. In particular, the market risk premium can increase and the risk‐free rate can decrease significantly even when the market is overoptimistic and overconfident.     

International Co‐movements of Business Cycles in a ‘Phase‐locking’ Model

The possibility of co‐movements in the cyclical variations of aggregate output in different countries has received increasing attention in recent years. The present paper derives sufficient conditions for the occurrence of persistent co‐movements in the mean processes of aggregate economic variables of different countries, an effect called ‘phase‐locking’. The fact that the ‘phase‐locking’ effect results under fairly elementary assumptions may be taken to challenge the sophisticated theoretical speculations about the international transmission of business cycles. International co‐movements may simply be due to a ‘technical’ effect which is generic to interrelated cycling dynamic systems.     

The returns to training in Russia: a difference‐in‐differences analysis

The experience of developed countries – particularly member‐states of the OECD – has shown that employers are actively investing in developing the human capital of their employees. According to research conducted by the World Bank, more than half of the companies in developed countries provide their employees with training in one form or another. There is, however, reason to believe that the situation is quite different in Russia. Some studies have shown that the level of investment in training in Russia is much lower. This difference can be explained by the fact that employers do not see the point in such investment because it is much easier to lure employees with the required qualifications than to train their own staff. Moreover, Russia faces a problem with high employee mobility, meaning that companies are not sure that they will get a return on their investment. Given these circumstances, the present study examines whether investments in human capital in Russia are profitable. It investigates the wage return to job‐related training using a difference‐in‐differences estimator to control for unmeasured differences in ability and measured differences in past wages as a proxy for ability and motivation. Estimates use panel data from The Russia Longitudinal Monitoring Survey – Higher School of Economics from 2004 to 2011. As predicted, positive returns to training are identified and the returns increase absolutely with the level of past wages.     

On the Adequacy of Monetary Arrangements in Sub‐Saharan Africa

We examine the economic rationale for monetary union(s) in Sub‐Saharan Africa through the use of cluster analysis on a sample of 17 countries. The variables used stem from the theory of optimum currency areas and from the fear‐of‐floating literature. It is found that the existing CFA franc zone cannot be viewed as an optimum currency area: CEMAC and UEMOA countries do not belong to the same clusters, and a ‘core’ of the UEMOA can be defined on economic grounds. The results support the inclusion of the Gambia, Ghana and Sierra Leone in an extended UEMOA arrangement, or the creation of a separate monetary union with the ‘core’ of the UEMOA and the Gambia, rather than the creation of a monetary union around Nigeria. Finally, the creation of the West African Monetary Zone (WAMZ) around Nigeria is not supported by the data.     

Evaluation of a maltodextrin gel as a partial replacement for fat in a high‐ratio white‐layer cake

The performance of maltodextrin gel as a replacement (25%, 50%, 75% and 100%) for shortening along with sucrose and high fructose corn syrup‐90 (HFCS‐90), adjusted for sweetness in each treatment, was evaluated in a high‐ratio white‐layer cake formulation. Two controls were used as a reference to fat‐replaced cakes: control A (100% fat and 100% sucrose) and control B (100% fat with 50% sucrose/50% HFCS‐90), which closely matched the sugar system of the fat‐replaced cakes. Volume of cakes showed that treatment F (100% fat‐substituted) was significantly (P < 0.05) different from the other treatments. Crust and crumb L‐ and b‐values indicated that control B produced a dark crust (P < 0.05) with a light crumb (P < 0.05) whereas treatment E (75% fat substituted) produced a light crust (P < 0.05) and treatment F a darker crumb (P < 0.05) with a significantly (P < 0.05) higher moisture content. Degree of staling significantly (P < 0.05) increased over time for all treatments. Sensory results indicated that treatment F produced a significantly (P < 0.05) moister, less adhesive and cohesive cake. Tenderness and sweetness scores indicated that treatments E and F were significantly (P < 0.05) tougher and less sweet, respectively, when compared with the other treatments. Results from both the physical and sensory analyses indicated that the combination of maltodextrin gel up to a 75% reduction for shortening and sucrose/HFCS‐90 resulted in satisfactory cakes.     

Information seeking by female apparel consumers in South Africa during the fashion decision‐making process

Fashion information is sought during the fashion decision‐making process and can be obtained from various sources such as magazines, fashion consultants, websites and store displays. Various levels and methods such as internal and external search for information are used to assist the consumer in making informed fashion decisions. The broad research aim of this study was to determine which methods, sources and economics of fashion information are sought and used by female educators in Vanderbijlpark (South Africa) during the fashion decision‐making process, and to which extent. A self‐administered, structured questionnaire was used to collect the data. Section A measured methods of information seeking, section B determined the economics of information search and section C investigated sources of fashion information. Demographic information was investigated in Section D. A random cluster sample of eight schools was chosen from the female educating staff of 22 schools. The biggest group of the educators (40.18%) was between the ages of 41 and 50, which according to a South African categorization represents baby boomers. Almost all (95.5%) had a higher education qualification obtained at a university and most (82.14%) were married. Regarding the methods of information seeking, the respondents depended on internal information seeking more than on external methods and were moderately involved in the process. Shopping in stores was regarded the most important source of fashion information. Cluster analysis revealed that four clusters of respondents could be distinguished, each with a specific disposition towards the methods and economics of search as well as sources used during the fashion decision‐making process.     

Do‐It‐Yourself Projects as Path toward Female Empowerment in a Gendered Market Place

The role of women as homeowners and heads of households are changing the dynamics in which women engage in do‐it‐yourself (DIY) behavior. Because there is limited extant theory associated with female involvement in DIY behavior, a qualitative study using in‐depth interviews was conducted. Through grounded theory analysis several themes emerged during the coding process, and the themes of empowerment were especially relevant to the informants in this study. Five dimensions of empowerment were identified: empowerment through project initiation, production mastery, adding economic value to goods and services, unleashing creative potential, and empowerment through ownership. The findings show women's involvement in DIY behavior and the consumption of DIY‐related goods is closely tied to the concept of female empowerment.