UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME

We give a general formulation of the utility maximization problem under nondominated model uncertainty in discrete time and show that an optimal portfolio exists for any utility function that is bounded from above. In the unbounded case, integrability conditions are needed as nonexistence may arise even if the value function is finite.     

The process and experiences with creating user-driven innovation programmes in the Netherlands1

In 2005 the Netherlands drafted a new innovation policy, consisting of a basic package for all entrepreneurs and a programme-based package aimed at supporting the Dutch industry in achieving global excellence in a limited number of (business) areas. The programme-based package is characterized by an integral approach, resulting in user-driven public–private innovation programmes. In the new approach, industrial foresight processes are integrated with actual policy implementation. In this paper, we include the lessons learned during the process that led to the first innovation programmes. Also, some unresolved issues in the new approach are discussed.     

Asset pricing with heterogeneous beliefs and illiquidity

This paper studies the equilibrium price of an asset that is traded in continuous time between N agents who have heterogeneous beliefs about the state process underlying the asset's payoff. We propose a tractable model where agents maximize expected returns under quadratic costs on inventories and trading rates. The unique equilibrium price is characterized by a weakly coupled system of linear parabolic equations which shows that holding and liquidity costs play dual roles. We derive the leading‐order asymptotics for small transaction and holding costs which give further insight into the equilibrium and the consequences of illiquidity.     

Imports and productivity: the impact of geography and factor intensity

Usingmicro-data for Dutch firms, we argue that both the geographic component (what country is the import from) and the intensity component (what type of good is imported) is crucial for measuring and understanding productivity premia associated with importing. For example, our results indicate that the productivity premium associated with importing technology-intensive products from Taiwan differs from importing unskilled-labor-intensive products from Switzerland. We show that increasing distance and decreasing levels of development of the origin economy are negatively associated with the productivity premia of importing. Similarly, these premia are larger for technology- intensive goods and smaller for unskilled-labor-intensive goods. This implies that the geographic-intensity markets are unique and cannot be lumped together. In addition, a more dispersed import portfolio (the extensive dimension) is always positively associated with firm-level productivity.     

Finding the True Voice of the Customer in CPG Supply Chains: Shopper‐Centric Supply Chain Management

Demand and supply integration is the subject of increasing scholarly attention. The theoretical emphasis on combining market and supply chain data as the basis for strategic and operational decision making is particularly relevant in the context of Consumer Packaged Goods (CPG) supply chains, and offers the basis for advancing our understanding and knowledge in this field. Point‐of‐sale (POS) data are commonly used as the demand signal in CPG supply chains. Using empirical data, this research demonstrates that POS data can be influenced by nondemand factors. We present a number of issues raised by this finding.     

Sovereign debt, structural adjustment, and conditionality

The lack of a proper enforcement mechanism for sovereign debt generates a commitment failure. As a result, a sovereign may seek to improve its position in debt renegotiations and thus evade its debt obligations by reducing exports. Conditionality seeks to provide a solution to the incentive problem by addressing the commitment failure. Formalizing this argument, we show that conditionality helps the repayment of sovereign debt. In certain circumstances, it can eliminate debt overhang, especially when it is coupled with concessionary lending of sufficient magnitude. It is, however, unable to restore first best. When it is anticipated by lenders, conditionality may get international financial institutions and sovereign debtors into a trap where the debt overhang persist, debt rescheduling takes place periodically, and conditionality continues indefinitely.     

The formation of risk sharing networks

This paper examines the formation of risk sharing networks in the rural Philippines. We find that geographic proximity–possibly correlated with kinship–is a major determinant of mutual insurance links among villagers. Age and wealth differences also play an important role. In contrast, income correlation and differences in occupation are not determinants of network links. Reported network links have a strong effect on subsequent gifts and loans. Gifts between network partners are found to respond to shocks and to differences in health status. From this we conclude that intra-village mutual insurance links are largely determined by social and geographical proximity and are only weakly the result of purposeful diversification of income risk. The paper also makes a methodological contribution to the estimation of dyadic models.