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21.
Stochastic dominance (SD) is a very useful tool in various areas of economics and finance. the purpose of this paper is to provide the results of SD relations developed in other areas such as applied probability which, we believe, are useful for many portfolio selection problems. In particular, the bivariate characterization of SD relations given by Shanthikumar and Yao (1991) is a powerful tool for the demand and the shift effect problems in optimal portfolios. the method enables one to extend many results that hold for the case where the underlying lying assets are statistically independent to the dependent case directly. 相似文献
22.
The authors examined 905 new product innovations introduced since September 1988 to determine the influences on product innovativeness, with a specific interest in strategic alliances, or cooperative strategies. Findings suggest that single firms, horizontal cooperative strategies, small and mixed'sized firms, biochemical industries, cross-industry product offerings, cross-industry cooperations, the progression of time, and European firms tend to indicate significantly more innovative products. Implications are proposed for business practitioners and researchers with specific application to the diffusion of innovation. 相似文献
23.
Masaaki Homma 《Journal of public economics》1977,8(1):53-65
The model presented by Harberger (1962) in his famous article has received a good deal of attention from economists concerned with the incidence of taxes in a general equilibrium setting. Through problems posed by using the Harberger model have been frequently pointed out by several authors, no attempt has been made to generalize the model to deal adequately with the tax incidence problem. This paper aims to follow a new method of conducting a comparative static analysis of tax incidence, and to extend the results derived by earlier contributions in a more general context. 相似文献
24.
This study examines the effect of fractional volatility on option prices. To this end, we develop an approximation method for the pricing of European-style contingent claims when volatility follows a fractional Brownian motion. Through extensive numerical experiments, we confirm that the decrease in the smile amplitude under fractional volatility is much slower than that under the standard stochastic volatility model. We also show that the Hurst index under fractional volatility has a crucial impact on option prices when the maturity is short and speed of mean reversion is slow. On the contrary, the impact of the Hurst index on option prices reduces for long-dated options. 相似文献
25.
Suguru Yamanaka Masaaki Sugihara Hidetoshi Nakagawa 《Asia-Pacific Financial Markets》2012,19(1):43-62
We present a new model of the occurence of credit events such as rating changes and defaults for risk analyses of some portfolio
credit derivatives. The framework of our model is based on a so-called top-down approach. Specifically, we first consider
modeling the point process of each type of credit event in the whole economy using a self-exciting intensity process. Next,
we characterize the point processes of credit events in the underlying sub-portfolio using random thinning processes specified
by the distribution of credit ratings in the sub-portfolio. One of the main features of our model is that the model can capture
credit risk contagion simultaneously among several credit portfolios. We present a credit event simulation algorithm based
on our model and illustrate an application of the model to risk analyses of loan portfolios. 相似文献
26.
Masaaki Homma 《Journal of Economic Theory》1977,16(2):490-495
Samuelson provided an exact consumption-loan model of interest, and asserted, by way of an example, the impossibility theorem that the biological rate of interest with the optimality properties of the so-called golden rule can never be achieved dynamically through the consumption-loan market. Despite his contribution and those that followed, the important question remains as to whether the alleged instability of the biological rate of interest is of a more general nature. To date no definite conclusion is yet available. The purpose in this paper is to present a clear-cut view of the problem, and to clarify the key factors that validate or invalidate the impossibility theorem. 相似文献
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29.
Masaaki Fukasawa 《Finance and Stochastics》2014,18(1):175-208
Sharp asymptotic lower bounds on the expected quadratic variation of the discretization error in stochastic integration are given when the integrator admits a predictable quadratic variation and the integrand is a continuous semimartingale with nondegenerate local martingale part. The theory relies on inequalities for the kurtosis and skewness of a general random variable which are themselves seemingly new. Asymptotically efficient schemes which attain the lower bounds are constructed explicitly. The result is directly applicable to a practical hedging problem in mathematical finance; for hedging a payoff which is replicated by a continuous-time trading strategy, it gives an asymptotically optimal way to choose discrete rebalancing dates and portfolios with respect to transaction costs. The asymptotically efficient strategies in fact reflect the structure of the transaction costs. In particular, a specific biased rebalancing scheme is shown to be superior to unbiased schemes if the transaction costs follow a convex model. The problem is discussed also in terms of exponential utility maximization. 相似文献
30.
In a highly competitive global environment, many manufacturers respond by setting up outsourcing relations for components and finished products with lower-cost producers on a contractual OEM (original equipment manufacture) basis. In the last decade, we have witnessed a spectacular growth in outsourcing activities led primarily by U.S. and Japanese companies, although their approaches to outsourcing strategy and supplier relations are different. However, outsourcing strategy is not without drawbacks. We offer a dynamic perspective of outsourcing strategy and its performance implications, in which we argue that there is an optimal degree of outsourcing. The outsourcing-performance relationship takes on an inverted-U shape, implying that as firms deviate further from their optimal degree of outsourcing, by either insourcing or outsourcing too much, their performance will suffer disproportionately. We then discuss how e-commerce affects where the optimal point of any particular firm is located, hence explicitly linking developments in e-commerce to changing outsourcing levels. We provide implications for the practice and study of outsourcing and e-commerce. 相似文献