Optimal portfolios when stock prices follow an exponential Lévy process

We investigate some portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the risk, where we measure risk by the variance, but also by the Capital-at-Risk (CaR). The solution of the mean-variance problem has the same structure for any price process which follows an exponential Lévy process. The CaR involves a quantile of the corresponding wealth process of the portfolio. We derive a weak limit law for its approximation by a simpler Lévy process, often the sum of a drift term, a Brownian motion and a compound Poisson process. Certain relations between a Lévy process and its stochastic exponential are investigated.Received: January 2003Mathematics Subject Classification: Primary: 60F05, 60G51, 60H30, 91B28; secondary: 60E07, 91B70JEL Classification: C22, G11, D81We would like to thank Jan Kallsen and Ralf Korn for discussions and valuable remarks on a previous version of our paper. The second author would like to thank the participants of the Conference on Lévy Processes at Aarhus University in January 2002 for stimulating remarks. In particular, a discussion with Jan Rosinski on gamma processes has provided more insight into the approximation of the variance gamma model.     

Circular economy in Latin America: A systematic literature review

The purpose of this study is to identify circular economy concept trends of Latin America with regards to Europe, in which a systematic review of literature (SRL) was made using Scopus data in order to define the search, to select the relevant articles, and to analyze the results. Seventy‐one articles from Scopus were reviewed, and the analysis was complemented by the analysis with 57 documents from other scientific Web browsers such as Mendeley, Scopus, Academic Google, ScienceDirect, and SciELo which sum a total of 128 documents which the majority have come from Europe. Main concepts were identified, barriers and trends. The main conclusion was which the current concept is not very clear; in spite of Europe knows that limitation, Latin America is making the same mistake implementation.     

Parental occupation and children’s school outcomes in math.

We investigate the relationship between math attitude and students’ math scores using data obtained from PISA 2012 and a 2SLS model. Math attitude is approximated by an indicator that takes into account intangible (parental attitude, student instrumental motivation and student math anxiety) and tangible (parental help in math homework) factors. The presence of one family member in a math-related career is our instrumental variable. We find that an increase of one standard deviation in math attitude increases the student score by approximately 30 points, a relevant effect since 40 points is the equivalent of one year of schooling.     

Dispute and morality in the perception of societal risks: extending the psychometric model

The psychometric paradigm has identified two classic dimensions, dread and unknown risk, structuring the perception of risks. We propose that disputed risk and morality are two additional dimensions that are relevant to describe the cognitive representation of societal risks. Disputed risk captures two aspects of a societal risk: first, that consensus about scientific evidence is low, and second, that the public debate about the risk issue is highly controversial. Morality refers to judgments of reprehensibility, capturing the fact that societal risks frequently involve violations of moral principles. In a survey study employing two samples, a household sample (N = 418) and a student sample (N = 88), participants evaluated 24 societal risks on 23 psychometric scales intended to assess the four constructs dread, unknown risk, disputed risk, and morality. Principal component analyses yielded three dimensions: a common dimension of dread and morality, a disputed risk dimension, and unknown risk. We also assessed judgments of overall riskiness for all risks. Morality and dread both proved to be strong and distinctive predictors of perceived overall riskiness in regression analyses; disputed risk and unknown risk, in contrast, do not play a substantial role as predictors. These findings were replicated across both samples. We conclude that disputed risk constitutes a novel and unique psychometric dimension; morality, on the other hand, coincides with dread in the cognitive representation of societal risks, while still showing a distinct and strong effect in the prediction of risk judgments.     

Beyond “Pink It and Shrink It” Perceived Product Gender,Aesthetics, and Product Evaluation

Marketing research on product personality suggests that products possess gender; however, the process by which a product becomes masculine or feminine is unknown. This research identifies product aesthetics as a source of product masculinity and femininity and investigates the influence of product gender created by aesthetics on consumer behavior. Building on prior work on anthropomorphism and evolutionary psychology (EP), the authors broadly hypothesize that specific physical characteristics identified as representing masculinity and femininity—and thus considered attractive in the mate selection process—will have a similar effect on products. The first study identifies the impact of the aesthetic dimensions of form (proportion, shape, and lines), color (tones, contrast, and reflection), and material (texture, surface, and weight) on defining a product's gender. The second study shows that products that are strongly gendered, particularly those that are strong in both the masculine and feminine dimensions, result in positive affective and behavioral responses. Thus, this research identifies product aesthetics as a significant source of product gender while highlighting the theoretical contribution of EP to consumer behavior. Managerial implications for product design are then discussed, offering guidelines for creating strongly gendered products.     

Cost-effectiveness of asenapine in the treatment of bipolar I disorder patients with mixed episodes

Objective:

Around one-third of patients with bipolar I disorder (BD-I) experience mixed episodes, characterized by both mania and depression, which tend to be more difficult and costly to treat. Atypical antipsychotics are recommended for the treatment of mixed episodes, although evidence of their efficacy, tolerability, and cost in these patients is limited. This study evaluates, from a UK National Health Service perspective, the cost-effectiveness of asenapine vs olanzapine in BD-I patients with mixed episodes.

Methods:

Cost-effectiveness was assessed using a Markov model. Efficacy was informed by a post-hoc analysis of two short-term clinical trials, with response measured as a composite Young Mania Rating Score and Montgomery-Åsberg Depression Rating Scale end-point. Probabilities of discontinuation and relapse to manic, mixed, and depressive episodes were sourced from published meta-analyses. Direct costs (2012–2013 values) included drug acquisition, monitoring, and resource use related to bipolar disorder as well as selected adverse events. Benefits were measured as quality-adjusted life years (QALYs).

Results:

For treating mixed episodes, asenapine generated 0.0187 more QALYs for an additional cost of £24 compared to olanzapine over a 5-year period, corresponding to a £1302 incremental cost-effectiveness ratio. The higher acquisition cost of asenapine was roughly offset by the healthcare savings conferred through its greater efficacy in treating these patients. The model shows that benefits were driven by earlier response to asenapine during acute treatment and were maintained during longer-term follow-up. Results were sensitive to changes in key parameters including short and longer-term efficacy, unit cost, and utilities, but conclusions remained relatively robust.

Conclusions:

Results suggest that asenapine is a cost-effective alternative to olanzapine in mixed episode BD-I patients, and may have specific advantages in this population, potentially leading to healthcare sector savings and improved outcomes. Limitations of the analysis stem from gaps in clinical and economic evidence for these patients and should be addressed by future clinical trials.     

Combating the effects of turnover: Military lessons learned from project teams rebuilding Iraq

The literature concerning turnover has traditionally been composed of studies and analyses which assume that turnover rates are malleable, and can be reduced. We take the opposite position and contend that turnover rates for certain organizations are not variable, but rather remain fixed. Is it possible, then, to reduce the deleterious effects of turnover without reducing the actual churn of individuals? To answer this question, we draw from experiences of the U.S. military during Operation Iraqi Freedom, in order to learn from its methods of dealing with high personnel turnover during the management of projects. Specifically, we offer four best practices that reduce the negative effects of turnover, while allowing the rate itself to remain constant. These best practices aim toward sharing the knowledge and mental models critical for sustained operations, to insulate the organization against the departure of key personnel. Herein, we demonstrate how efficient operations can be maintained amidst high churn rates.     

Bank-specific shocks and the real economy

Governments often justify interventions into the financial system in the form of bail outs or liquidity assistance with the systemic importance of large banks for the real economy. In this paper, we analyze whether idiosyncratic shocks to loan growth at large banks have effects on real GDP growth. We employ a measure of idiosyncratic shocks which follows Gabaix (forthcoming). He shows that idiosyncratic shocks to large firms have an impact on US GDP growth. In an application to the banking sector, we find evidence that changes in lending by large banks have a significant short-run impact on GDP growth. Episodes of negative loan growth rates and the Eastern European countries in our sample drive these results.     

Augmented Reality Smart Glasses (ARSG) visitor adoption in cultural tourism

ABSTRACT

A number of organizations in cultural tourism have started to explore the use of augmented reality (AR) to enhance visitor experience. While many studies have been conducted to identify adoption criteria of mobile AR applications, research exploring the adoption of augmented reality smart glasses (ARSG) is still limited. This paper contributes to the technology adoption literature by investigating attributes of visitor adoption of ARSG in cultural tourism. Twenty-eight interviews were conducted with visitors to a UK art gallery, where they experienced an ARSG application. Findings inform an ARSG adoption framework that integrates societal impact, perceived benefits, perceived attributes of innovation, and visitor resistance as the main themes of ARSG adoption in cultural tourism.