Correction note for ��The large-maturity smile for the Heston model��

The papers (Forde and Jacquier in Finance Stoch. 15:755?C780, 2011; Forde et al. in Finance Stoch. 15:781?C784, 2011) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755?C780, 2011), Forde et al. (Finance Stoch. 15:781?C784, 2011) and clarifies the proof of Forde et al. (Finance Stoch. 15:781?C784, 2011, Proposition 2.3).     

Optimal portfolios under a correlation constraint

Under a correlation constraint the optimal constant/fixed-mix portfolio consists of the market portfolio, the riskless bond and the benchmark     

The Cognitive and Behavioural Dimensions of Organizational Learning in a Merger: an Empirical Study

This paper addresses the links between cognitive and behavioural learning at both a theoretical and empirical level. An integrative model is developed which identifies a number of conceptually distinct learning modes and which incorporates the tacit aspect of knowledge. An empirical illustration of this model is provided in the form of a case study of a merger of two companies in the BSN-Danone Group. Mergers provide firms with opportunities for shared learning but this study also identifies several barriers to learning. The managerial implications of an integrated approach to organizational learning are also discussed.     

A Behavioral Learning Process in Games

This paper studies the cumulative proportional reinforcement (CPR) rule, according to which an agent plays, at each period, an action with a probability proportional to the cumulative utility that the agent has obtained with that action. The asymptotic properties of this learning process are examined for a decision-maker under risk, where it converges almost surely toward the expected utility maximizing action(s). The process is further considered in a two-player game; it converges with positive probability toward any strict pure Nash equilibrium and converges with zero probability toward some mixed equilibria (which are characterized). The CPR rule is compared in its principles with other reinforcement rules and with replicator dynamics. Journal of Economic Literature Classification Number: C72.     

MORE EVIDENCE ON EXPECTED VALUE-VARIANCE ANALYSIS VERSUS DIRECT UTILITY MAXIMIZATION

The theoretical difficulties of the expected value-variance (E-V) criterion are well known. A number of recent research efforts test the criterion's effectiveness in a publicly traded securities environment. In contrast, this research explores the performance of the E-V criterion using firm-specific, nontradeable investments such as those made by small firms. The empirical example in the study is a small family proprietorship with limited investment opportunities in agricultural production activities. Results indicate the E-V criterion performs well in selecting nontradeable investments that maximize expected utility. These results are consistent with results of earlier research dealing with tradeable securities.