A Fundamental Theorem of Asset Pricing for Large Financial Markets

We formulate the notion of “asymptotic free lunch” which is closely related to the condition “free lunch” of Kreps (1981) and allows us to state and prove a fairly general version of the fundamental theorem of asset pricing in the context of a large financial market as introduced by Kabanov and Kramkov (1994). In a large financial market one considers a sequence (Sⁿ)_n=1^∞ of stochastic stock price processes based on a sequence (Ωⁿ, Fⁿ, (F_tⁿ)_t∈In, Pⁿ)_n=1^∞ of filtered probability spaces. Under the assumption that for all n∈ N there exists an equivalent sigma‐martingale measure for Sⁿ, we prove that there exists a bicontiguous sequence of equivalent sigma‐martingale measures if and only if there is no asymptotic free lunch (Theorem 1.1). Moreover we present an example showing that it is not possible to improve Theorem 1.1 by replacing “no asymptotic free lunch” by some weaker condition such as “no asymptotic free lunch with bounded” or “vanishing risk.”     

Entertainment in retailing: The influences of advanced technologies

In recent years, the importance of an enjoyable experience during the shopping activity increased. As a consequence, many researchers are focusing on the best application of enjoyable elements in the points of sale in order to maintain existing consumers and attract new ones.The aim of this paper is to analyze how the introduction of advanced technologies modifies the retailing context and affects consumers shopping experience. In particular, three aspects of our results emerge from a theoretical standpoint: new advantages for retailers (the possibility to achieve fast information on consumer behavior and preferences); the improvement of the point of sale; and the positive influences on consumers shopping experience.     

Mechanism design in an integrated approach towards revenue management: the case of Empress Cruise Lines

This paper investigates an integrated form of revenue management through the case of Empress Cruise Lines (ECL). The case highlights a multidisciplinary approach towards how demand and supply factors should be integrated in the form of four decision sets in revenue management decisions – the value set, the segmentation set, the sensitivity set and the forecasting/allocation set. Also, the use of mechanism design allows the firm to separate markets for better forecasting of revenue from each segment. The case also shows that segments could be incentivized to behave differently, and to behave in alignment with ECL's policies so that capacity could be optimally allocated and revenue maximized.     

Career plateauing: reactions and moderators among managerial and professional employees

Questionnaire data obtained from managerial and professional employees in Singapore (N = 141) were used to examine reactions to and moderators of career plateauing. Zero-order correlation coefficients revealed that the perceptual measure of career plateauing was more significantly negatively related to the work attitudes and behaviours than was job tenure. Moderated regression analyses results also revealed that, in general, the perceptual measure of career plateau explained more of the variance in the work attitudes and behaviours than did job tenure. Further, the moderated regression analyses revealed that of the three moderators (job tenure, supervisor support and job characteristics) and the six work attitudes and behaviours examined, supervisor support and job challenge significantly positively moderated only the effects of career plateauing on in-role behaviours. Limitations of the study, directions for future research and implications of the findings are discussed.     

Advance Demand and a Critical Analysis of Revenue Management

This paper presents a theoretical framework of advance demand through six propositions. The framework introduces the concept of acquisition and valuation risks and suggests that advance demand distribution is rooted in the trade-off between them. Furthermore, since advance buyers may not consume, firms may be able to re-sell relinquished capacity. The study then proposes how refunds could provide additional revenue to firms. The study further suggests theoretical reasons why and when service firms are able to practise revenue management, suggesting that RM tools such as overbooking and demand forecasting may not be the only tools for higher revenue.     

Are performance measures equally stable?

Managed portfolio performance evaluation is an important issue from both academics’ and investors’ points of view. One important aspect concerns the choice of the measure used to assess performance, because each index offers a different perspective about the trade-off between return level and risk exposure. A related crucial issue is the stability of measures over time and, hence, their predictive power about future results. In this work, we address the problem of evaluating of the stability of a performance measure. First, we discuss the use of alternative criteria to measure stability and propose a stability index based on changes of ranks over several periods of time. We also propose a statistical test to evaluate the homogeneity of the stability of alternative performance measures. Second, we suggest a composite performance measure, built as a linear combination of various indexes, specifically conceived to be maximally stable over time while preserving information about risk-adjusted return behavior. An application to a set of US mutual funds belonging to the Large Blend category shows how these methods work.