CONSTRAINED OPTIMIZATION WITH RESPECT TO STOCHASTIC DOMINANCE: APPLICATION TO PORTFOLIO INSURANCE

We are concerned with a classic portfolio optimization problem where the admissible strategies must dominate a floor process on every intermediate date (American guarantee). We transform the problem into a martingale, whose aim is to dominate an obstacle, or equivalently its Snell envelope. The optimization is performed with respect to the concave stochastic ordering on the terminal value, so that we do not impose any explicit specification of the agent's utility function. A key tool is the representation of the supermartingale obstacle in terms of a running supremum process. This is illustrated within the paper by an explicit example based on the geometric Brownian motion.     

Comparative study of cognitive styles in Egypt,Greece, Hong Kong and the UK

Cognitive style has been described as consistent individual differences in the organising and processing of information. It is has been argued that it is an important factor in managerial learning and cognition. A number of authors have suggested that groups from different national cultures are likely to exhibit style differences and that this has important implications for management training and development. In the present study, which employed closely matched samples of business and management undergraduates from Egypt, Greece and the UK, there were no statistically significant differences in style. However, in post‐graduate samples from Egypt, Hong Kong and the UK that were less closely matched, statistically significant differences were observed. Comparison of these data with those from other studies suggests that amongst under‐graduates from a variety of national cultures there do not appear to be significant differences in style. Among post‐graduates and managers the picture that emerges was more equivocal and the extent to which any observed differences are artefacts of sampling and method remains unclear. The implications of the findings for style theory and management education, training and development are discussed.     

Corporate Social Responsibility and Credit Ratings

This study provides evidence on the relationship between corporate social responsibility (CSR) and firms’ credit ratings. We find that credit rating agencies tend to award relatively high ratings to firms with good social performance. This pattern is robust to controlling for key firm characteristics as well as endogeneity between CSR and credit ratings. We also find that CSR strengths and concerns influence credit ratings and that the individual components of CSR that relate to primary stakeholder management (i.e., community relations, diversity, employee relations, environmental performance, and product characteristics) matter most in explaining firms’ creditworthiness. Overall, our results suggest that CSR performance conveys important non-financial information that rating agencies are likely to use in their evaluation of firms’ creditworthiness, and that CSR investments—particularly those that extend beyond compliance behavior to reflect what is desired by society—can lead to lower financing costs resulting from higher credit ratings.     

Recent Evidence on the Oil Price Shocks on Gulf Cooperation Council Stock Markets

The recent plunge in the price of oil affected many countries, especially major oil producers and exporters, such as the Gulf Cooperation Council (GCC), which accounts for half of the global oil reserves. This paper examines the impact of oil price changes on GCC stock markets, including Bahrain, Kuwait, Oman, Qatar, Kingdom of Saudi Arabia, and United Arab Emirates over a 10-year period, 2005–2015. We examine the direction of influence and influence absorption through Granger causality and impulse response function. The results are important for portfolio management at the international level, and provide insights for government and regulatory authorities in times of oil price change. Additionally, the evidence suggests the need for more economic diversification at the country level in the GCC region to mitigate high volatility in the event of oil shocks.     

Collaborative Requirements Elicitation: A Process-Centred Approach

Requirements Elicitation is one of the first and most critical processes in system engineering. In this paper we will focus on the collaborative aspects of requirement elicitation, in the context of system development. To do so, we adopted the separation of concerns method. Using this method we separate engineering aspects from collaboration aspects in order to study both aspects and finally integrate them. For the collaborative aspect of requirements elicitation we looked at Collaboration Engineering. Collaboration Engineering is an approach to design and deploy processes for recurring collaborative tasks that can be transferred to practitioners to execute for themselves without intervention of professional facilitators. From an engineering perspective we will use the requirements engineering processes described by system engineering standard EIA-632 as a starting point. To integrate these we will use methods and techniques from Collaboration Engineering to specify the collaborative processes involved in this requirements elicitation approach. An object model was build using Unified Modelling Language. This model shows different concepts underlying our approach. Finally two case studies are presented to evaluate this approach.     

Making Globalization Inclusive: Job Creation and Wage Inequality in Developing Economies

Open Economies Review -     

RST–GCBR‐CLUSTERING‐BASED RGA–SVM MODEL FOR CORPORATE FAILURE PREDICTION

Corporate bankruptcy is perceived as a shocking event. Several researchers focused on the prediction of these phenomena using various methods aiming to avoid high generated costs. In this paper, a new hybrid approach is proposed to deal with corporate failure prediction. Based on financial ratios as input data and in order to predict if the business unit will fail or not, our approach integrates rough set theory, Gaussian case‐based reasoning‐clustering, real‐valued genetic algorithm with support vector machines. This combination is justified by a high accuracy rate, reaching 100% at 1 year before failure and 94.0925% at 3 years before failure. Copyright © 2011 John Wiley & Sons, Ltd.     

Stress testing and corporate finance

The article contributes to the literature on financial fragility, studying how macroeconomic shocks affect supply and demand in the corporate debt market. We take into account the effect of the competitive environment, as well as the risk level, measured by companies’ default rate. The model is estimated using data from the Harmonised BACH database of corporate accounts for large euro area countries on the 1993–2005 period, in order to carry out an illustrative stress testing exercise. We measure the impact of large macroeconomic shocks (a severe recession and a sharp increase in oil prices) on the equilibrium in the debt market.     

Assessing the Effect of Trade Openness on Health in the MENA Region: a Panel Data Analysis

This study examines the effect of trade openness on the health outcomes of 12 countries in the MENA (Middle East and North Africa) region: Algeria, Bahrain, Egypt, Jordan, Morocco, Kuwait, Oman, Qatar, Saudi Arabia, Tunisia, Turkey, and the UAE. By using a panel data investigation over 1970–2015, we check whether the trade of these countries with developed economies (using the proxy of G7 countries) and the rest of the world affects life expectancy and the infant mortality rate. We also assess the moderating effect of governmental corruption. Our findings show two interesting results. First, trade openness has a positive effect on health in the MENA region as it reduces the infant mortality rate and boosts life expectancy for both men and women. Second, better control over corruption and more focus on trade with developed countries would lead to more technology and information spillovers, which positively affect the health sector.