Portfolio selection in quantile decision models

Annals of Finance - This paper develops a model for optimal portfolio allocation for an investor with quantile preferences, i.e., who maximizes the $$tau $$ -quantile of the portfolio return, for...     

A Study of the Interaction of Insurance and Financial Markets: Efficiency and Full Insurance Coverage

The first contribution of this article is to provide a framework, a model together with a corresponding equilibrium notion, suitable for the study of the interaction between insurance and dynamic financial markets. Our central result is that in equilibrium risk‐averse agents purchase full insurance coverage, despite unfair insurance prices. We identify three conditions that explain this result: (1) insurance contracts are priced competitively, (2) financial prices include a risk premium only for undiversifiable risk, and (3) financial markets are effectively complete. An implication is that in this model disasters can be insured by fully assessable stock insurance companies.     

Trade,scale or social capital? Technological progress in poor and rich countries

Endogenous growth theory suggests scale and trade as the determinants of total factor productivity (TFP) growth. The literature on social capital suggests that the levels of trust and participation in societies may affect cooperation and innovation. While there is evidence of the role of trade and inconclusive evidence on the role of social capital, previous studies have generally omitted two factors, out of the three mentioned, used small sample sizes and emphasized economic growth rather than technological progress. Our study addresses these shortcomings. We find robust evidence of the role of trade in fostering technological progress which is invariant to TFP proxies and independent of the debate on measuring TFP. Moreover, there is no clear role for scale, and a country rate of TFP growth seems to increase the most the more the country trades with dynamic economies that are different from. We uncover a positive effect of social capital, which is more significant in richer countries, suggesting that other characteristics, such as institutional quality, may be complementary to social capital. The paper's results are robust to different specification and estimation methods.     

Preservation or Conversion? Valuation and Evaluation of a Mangrove forest in the Philippines

Mangrove ecosystems are rapidly declining in many parts of the world. This has resulted in the loss of important environmental and economic products and services including forest products, flood mitigation and nursery grounds for fish. The aquaculture industry was the single biggest threat to mangroves in the Philippines until 1981 when conversion of the remaining mangrove stands was prohibited by law. However, the decreasing yield from capture fisheries is putting pressure for the re-examination of this policy. To understand the importance of mangroves, insight is needed into the value of products and services provided is needed. This article compares the costs and benefits of mangrove preservation with those generated by alternative uses such as aquaculture and forestry. Equity and sustainability objectives are taken into account, in addition to economic efficiency and analyzed according to the perspectives of the different types of decision makers involved.     

The US Dollar and the Euro as International Currencies

For many decades the US dollar has remained unchallenged as the world’s dominant international currency. What is behind its persistent pre-eminence in the international monetary system and can this be expected to last? Could the euro rival or even surpass the dollar as the leading currency? If it did, what would be the consequences for Euroland?      

Managing complexity： A problem of chaos in fisheries policy

This work intends to present chaos theory （and dynamical systems such as the theories of complexity）, in terms of interpretation of ecological phenomena. The chaos theory applied in the context of ecological systems, especially in the context of fisheries has allowed the recognition of the relevance of this kind of theories to explain fishing phenomena and fisheries policies. It has permitted new advances in the study of marine systems, contributing to the preservation of fish stocks. This paper deals with the way how to manage fisheries taking chaos in account of the problem.     

‘They tell us after they've decided things’: A cross-country analysis of unions and digitalisation in retail

The role of trade unions in the social shaping of digital technologies is a vital question for research, public policy and social justice. This article draws on interviews with two unions in the grocery retail sector in the United Kingdom and Norway, and examines their involvement in technology decisions, and whether they can shape better outcomes for workers. By comparing a ‘neo-liberal’ economy and a ‘Nordic welfare state’, the article considers whether stronger institutional power and regulatory supports in Norway provide for greater influence in a sector regarded as challenging for unions. The findings indicate relatively few country differences and help shed light on the factors that enable and constrain unions’ role in digitalisation.     

Granger causality detection in high-dimensional systems using feedforward neural networks

This paper proposes a novel methodology to detect Granger causality on average in vector autoregressive settings using feedforward neural networks. The approach accommodates unknown dependence structures between elements of high-dimensional multivariate time series with weak and strong persistence. To do this, we propose a two-stage procedure: first, we maximize the transfer of information between input and output variables in the network in order to obtain an optimal number of nodes in the intermediate hidden layers. Second, we apply a novel sparse double group lasso penalty function in order to identify the variables that have the predictive ability and, hence, indicate that Granger causality is present in the others. The penalty function inducing sparsity is applied to the weights that characterize the nodes of the neural network. We show the correct identification of these weights so as to increase sample sizes. We apply this method to the recently created Tobalaba network of renewable energy companies and show the increase in connectivity between companies after the creation of the network using Granger causality measures to map the connections.     

Antecedents and outcomes of bifurcated compensation in family firms: A multilevel view

Through a multilevel view, this article challenges the dominant assumption in the literature suggesting that family employees will receive more compensation than their non-family peers, which will violate the latter group justice perceptions and will lead them to lower their inputs to retrieve equity. We start by discussing how competing socioemotional priorities combine with the degree of collectivism at the societal level to affect which group will bifurcated compensation favor. We suggest that embeddedness in a collectivist culture will generate a strong desire and a moral obligation to cater to the financial well-being of family members, hence leading to bifurcated compensation favoring family employees. In individualist cultures, however, the family will accord high importance to achieving family prominence, which leads to bifurcated compensation favoring non-family employees. Moving forward, we discuss how nepotism types shape the effect of bifurcated compensation on the under-privileged group work inputs and how this relationship is moderated by the extent of power distance embedded in society. Theoretical and empirical implications are discussed at the end of the paper.