Optimal choice of order statistics under confidence region estimation in case of large samples

The problem of optimal estimation of location and scale parameters of distributions, by means of two-dimensional confidence regions based on L-statistics, is considered. The case, when the sample size tends to infinity, is analyzed.     

Sectoral price data and models of price setting

In the median sector, 100 percent of the long-run response of the sectoral price index to a sector-specific shock occurs in the month of the shock. The standard Calvo model and the standard sticky-information model can match this finding only under extreme assumptions concerning the profit-maximizing price. The rational-inattention model of Ma?kowiak and Wiederholt [2009a. Optimal sticky prices under rational inattention. American Economic Review 99, 769–803] can match this finding without an extreme assumption concerning the profit-maximizing price. Furthermore, there is little variation across sectors in the speed of response of sectoral price indexes to sector-specific shocks. The rational-inattention model matches this finding, while the Calvo model predicts too much cross-sectional variation.     

Dynamische Wirtschaft und ihre schematische Darstellung

Ohne Zusammenfassung     

Asymptotic behaviour of mean-quantile efficient portfolios

In this paper we investigate portfolio optimization in the Black–Scholes continuous-time setting under quantile based risk measures: value at risk, capital at risk and relative value at risk. We show that the optimization results are consistent with Merton’s two-fund separation theorem, i.e., that every optimal strategy is a weighted average of the bond and Merton’s portfolio. We present optimization results for constrained portfolios with respect to these risk measures, showing for instance that under value at risk, in better markets and during longer time horizons, it is optimal to invest less into the risky assets.This research was partially supported by the National Science and Engineering Research Council of Canada, and the Mathematics of Information Technology and Complex Systems (MITACS) Network of Centres of Excellence.     

Strengthening the link between marketing strategy and financial performance

From the perspective that integrates marketing and banking practice and theory, this work reaffirms the relevance of interactions between the issues of ‘what’ (marketing strategy) and ‘why’ (financial performance). The key finding is that the marketing strategy–financial performance link faces serious difficulties, but they do not inevitably prevent the promotion and greater acceptance of the basic idea. The strongest barriers include negative attitudes of marketers to the language of financial indicators, different paradigms of people from marketing and banking, insufficient presence of the key concepts in the basic literature and unrealistic requirements of academic models. On the other side, the demand that becomes more powerful and sophisticated, and intensifying competition, are the major drivers of positive changes in practice and theory. Greater respect for risk indicators, improved short-term/long-term balance, stronger integration of marketing strategy elements, as well as more realistic general frameworks, constitute the group of encouraging trends.     

Large Deviations for the Extended Heston Model: The Large-Time Case

We study here the large-time behaviour of all continuous affine stochastic volatility models [in the sense of Keller-Ressel (Math Finan 21(1):73–98, 2011)] and deduce a closed-form formula for the large-maturity implied volatility smile. We concentrate on (rescaled) strikes around the money, which are the most common in practice, and extend the results in Forde and Jacquier (Finan Stoch 15(4):755–780, 2011) and Gatheral and Jacquier (Quant Finan 11(8):1129–1132, 2011).     

Temporary Migration and the Flow of Savings to the Source Country

The saving behavior of temporary migrants when the duration of their stay abroad is set by the immigration policy of the host country is studied in this paper. The focus is on the implied flow of savings back to the source country and how it depends on migration costs, duration of the work permit, and international wage, interest and price‐level differentials. The amount of time that migrants are allowed to work in the host country is shown to be a key policy variable that affects the flow of savings repatriated to the source country.