A remark on rational expectation equilibria with incomplete markets and real assets

In this note, I established the existence, for a generic set of endowments, of a fully revealing rational expectation equilibrium (REE) in an economy characterized by incomplete markets and real assets.     

Creativity methods in technological forecasting

“Technological Forecasting and Applications” was the title given to the Second European Technological Forecasting Association conference held in Paris in May. It was sponsored by ADETEM, The Association for the Development of Marketing Techniques, and was therefore somewhat inclined to that aspect of management studies. However, a number of papers reflected the increasing acceptance of the notion of technological forecasting both in France and in the UK, and illustrated various methods and applications. An example is the following contribution which introduces creativity techniques to the practice of technological forecasting.     

Publikationen deutschsprachiger Forscher in Top-Journals (4. Quartal 2010)

Aktuelle Publikationen

Publikationen deutschsprachiger Forscher in Top-Journals (4. Quartal 2010)     

Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products

Portfolio insurance strategies are used on both the institutional and the retail side of the asset management industry. While standard utility theory struggles to provide an explanation, this study justifies the popularity of portfolio insurance strategies in a behavioral finance context. We run Monte Carlo simulations as well as historical simulations for popular portfolio insurance strategies and benchmark strategies in order to evaluate the outcomes using cumulative prospect theory. Our simulation results indicate that most portfolio insurance strategies are the preferred investment strategy for a prospect theory investor. Moreover, the analysis provides insights into how portfolio insurance products should be designed and structured to meet the preferences of prospect theory investors as accurately as possible.     

The impact of risk and competition on choice of innovations

This exploratory study examines the roles of uncertainty and attitude toward risk in the adoption process of innovations under different competitive conditions. Hypotheses are tested across simulated competitive environments, utilizing a fractional factorial experimental design. The results demonstrate that the roles of the perceived value of the innovation and of uncertainty depend on the competitive environment facing the manager.The assistance of Kristiaan Helsen and Douglas Bowman in data analysis is deeply appreciated, as well as the comments of Peter Fader and Robert Meyer.     

Nash-implementation of competitive equilibria via a bounded mechanism

We deal with the problem of providing incentives for the implementation of competitive outcomes in a pure-exchange economy with finitely many households. We construct a feasible price-quantity mechanism, which fully implements Walras equilibria via Nash equilibria in fairly general environments. Traders’ preferences need neither to be ordered nor continuous. In addition, the mechanism is such that no pure strategy is weakly dominated, hence is bounded (in the sense of Jackson 1992). In particular it makes no use of any integer game.