CAPM and APT-like models with risk measures

The paper deals with optimal portfolio choice problems when risk levels are given by coherent risk measures, expectation bounded risk measures or general deviations. Both static and dynamic pricing models may be involved. Unbounded problems are characterized by new notions such as (strong) compatibility between prices and risks. Surprisingly, the lack of bounded optimal risk and/or return levels arises for important pricing models (Black and Scholes) and risk measures (VaR, CVaR, absolute deviation, etc.). Bounded problems present a Market Price of Risk and generate a pair of benchmarks. From these benchmarks we introduce APT and CAPM-like analyses, in the sense that the level of correlation between every available security and some economic factors explains the security expected return. The risk level non correlated with these factors has no influence on any return, despite the fact that we are dealing with risk functions beyond the standard deviation.     

Executive flight simulator as a learning tool in new companies’ resource planning based on the balanced scorecard

In many cases, a deficient strategic planning in new companies has led entrepreneurs to take inadequate initial decisions that, in the long term, reflect consequences in the failure of many new businesses. The objective of this article is to propose an executive flight simulator, which will help to identify and evaluate the different development strategies for resources of a new manufacturing company, under the four perspectives of the balanced scorecard, educating the user on the impact that these would have in the main performance indicators. The simulator is designed utilizing the focus of system dynamics to be used didactically in master's degree programs in administration, by entrepreneurs or in executive development programs.     

The convergence of equilibrium strategies of approximating signaling games

Summary For a class of infinite signaling games, the perfect Bayesian equilibrium strategies of finite approximating games converge to equilibrium strategies of the infinite game. This proves the existence of perfect Bayesian equilibrium for that class of games. It is well known that in general, equilibria may not exist in infinite signaling games.I am very grateful to Karl Iorio with whom I derived most of the results in this paper. I am solely responsible for any remaining errors. I am also grateful to Robert Anderson, Debra Aron, Eddie Dekel, Raymond Deneckere, Michael Kirscheneiter, Steven Matthews, Roger Myerson, Daniel Vincent and Robert Weber for comments on previous drafts of this paper.     

Social signaling and interorganizational relationships: Lessons learned from the professional sports industry

In today’s connected economy, interorganizational relationships are increasingly important. Whether government-to-government, political party-to-political party, business-to-business, department-to-department, or some other interorganizational pairing, these relationships can provide organizations with signals used to identify and better respond to changes in their environment and in their interorganizational relationships. This enables astute organizations to not only understand how others will interpret the social signals they send, but also to shape those signals in ways that will improve their interorganizational relationships. We illustrate this herein, using the public and readily recognizable relationships involved with labor relations in the professional sports industry. We show how social signals can explain the way organizations change and adapt to their environments, and how these changes send messages to related organizations. Finally, we provide a set of recommended advice for managers based on this case analysis.