Portfolio analysis of asset and liability management in small-, medium- and large-sized banks

The paper presents an analysis of the commercial banking firm based on Markowitz portfolio analysis. A bank is treated as a portfolio of five banking assets and three banking liabilities. The average rate of return and risk of each asset and liability is estimated empirically for groups of banks categorized by size — small, medium and large. Banks' rates return on equity are defined as the weighted average of the assets' rates of return less the liabilities' rates of return. Quadratic programming is used to delineate the set of banking portfolios which have the maximum rate of return on equity at each level of risk.     

An analysis of potential firm survival within the Alabama and Mississippi shrimp fishery

Two different vessels are evaluated under alternative scenarios of replacement and no replacement of the vessel The older vessel’s ability to survive in the industry is determined by its annual cash flow. When forced to replace the vessel there is 88 percent chance of bankruptcy. The newer vessel has a greater potential for borrowing based on the value of the vessel and therefore a greater potential for success in the industry. The analysis prediets an exodus of older vessels from the industry and survivability linked to the ability to minimize the costs of operation.     

Job Satisfaction in Britain

Little recent empirical work in economics or industrial relations has examined job satisfaction, despite its demonstrated correlation with labour market behaviour such as quits, absenteeism and productivity. This paper uses information from a study of 5000 British employees to investigate the relationship between three measures of job satisfaction and a wide range of individual and job characteristics. Notably, men, workers in their thirties, the well-educated, those working longer hours and workers in larger establishments have lower levels of job satisfaction. The estimated job satisfaction equations are used to calculate a measure of the shadow wage and to provide some evidence that is consistent with the existence of non-compensating differentials in the industry and occupational wage structure.     

Options with Constant Underlying Elasticity in Strikes

Closed-form solutions are derived and interpreted for European options, with stochastic strike prices, that maintain constant elasticity of the strike with respect to the price of the underlying asset. We refer to such options as CUES. CUES preserve the relative shares of exercise price risk for both the buyer and writer of the option, regardless of whether the price of the underlying asset moves up or down. The relevance of the CUES concept is established through applications in two distinct fields. First, it is established that CUES-like options are embedded in private equity investments. This concept is then used in a novel application to determine the equity share of a private company corresponding to a given level of investment. Secondly, the advantages that CUES would provide over traditional executive stock option grants are considered and it is shown that CUES can provide enhanced incentive-alignment without increasing options expense to the company. JEL Classification: G130