Optimal Portfolios with Bounded Capital at Risk

We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the capital at risk. In a Black–Scholes setting we obtain closed-form explicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price processes that allow for larger fluctuations in the returns.     

My Boss is Morally Disengaged: The Role of Ethical Leadership in Explaining the Interactive Effect of Supervisor and Employee Moral Disengagement on Employee Behaviors

The popular press is often fraught with high-profile illustrations of leader unethical conduct within corporations. Leader unethical conduct is undesirable for many reasons, but in terms of managing subordinates, it is particularly problematic because leaders directly influence the ethics of their followers. Yet, we know relatively little about why leaders fail to apply ethical leadership practices. We argue that some leaders cognitively remove the personal sanctions associated with misconduct, which provides them with the “freedom” to ignore ethical shortcomings. Drawing on moral disengagement theory (Bandura 1986, 1999), we examine the relationship between supervisor moral disengagement and employee perceptions of ethical leadership. We then examine the moderating role of employee moral disengagement, such that the negative relationship between supervisor moral disengagement and employee perceptions of ethical leadership is stronger when employee moral disengagement is low versus high. Finally, we examine ethical leadership as a conditional mediator (based on employee moral disengagement) that explains that relationship between supervisor moral disengagement and employee job performance and organizational citizenship behavior (OCB). Results from a multi-source field survey provide general support for our theoretical model.     

Efficient rank tests for semiparametric competing risk models

We consider a semiparametric competing risk model given by k independent survival times. The paper offers an asymptotic treatment of tests for the semiparametric null hypothesis of equality of the underlying risks. It turns out that modified rank tests are asymptotically efficient for certain semiparametric submodels, where the baseline hazard is a nuisance parameter. In addition, the asymptotic relative efficiency of the present tests is derived. A comparison of asymptotic power functions can then be used to classify various tests proposed earlier in the literature. For instance a chi-square type test is efficient for proportional hazards. Data driven tests of likelihood ratio type are proposed for cones of alternatives. We will consider certain stochastically increasing alternatives as a special example. The paper shows how the concept of local asymptotic normality of Le Cam works for hazard oriented models.