EFFICIENT HEDGING OF EUROPEAN OPTIONS WITH ROBUST CONVEX LOSS FUNCTIONALS: A DUAL‐REPRESENTATION FORMULA

Motivated by numerical representations of robust utility functionals, due to Maccheroni et al., we study the problem of partially hedging a European option H when a hedging strategy is selected through a robust convex loss functional L(·) involving a penalization term γ(·) and a class of absolutely continuous probability measures . We present three results. An optimization problem is defined in a space of stochastic integrals with value function EH(·) . Extending the method of Föllmer and Leukerte, it is shown how to construct an optimal strategy. The optimization problem EH(·) as criterion to select a hedge, is of a “minimax” type. In the second, and main result of this paper, a dual‐representation formula for this value is presented, which is of a “maxmax” type. This leads us to a dual optimization problem. In the third result of this paper, we apply some key arguments in the robust convex‐duality theory developed by Schied to construct optimal solutions to the dual problem, if the loss functional L(·) has an associated convex risk measure ρ^L(·) which is continuous from below, and if the European option H is essentially bounded.     

The Razor's edge: Managing MNC affiliates in Iran

Much has been written on the nature of international assignees’ experiences of managing Multinational Corporation (MNC) affiliates in the context of Western economies. This study aims to broaden the debate and elucidate these issues in the largely overlooked region of Middle East with a particular focus on Iran. Data from six MNC affiliates across two high growth global industries reveals that the nature of international assignees’ experiences can be explained in terms of desirable, indifference, and undesirable effects of managing MNC affiliates. Specifically, it was found that the international assignees’ perceptions of managing MNC affiliates were formed prior to their appointments. Furthermore, while conformance to headquarter (HQ) managerial orientations was seen to serve as a proxy for earlier desirable experiences of these international assignees, their current performance was seen to deteriorate by the need to fully comply with the HQ's way of doing things. Together, these findings support the view that the degree of congruence or fit between, on the one hand, the HQ and international assignees’ orientations, and on the other hand, between the international assignees and the host country culture could have implications for the success or failure of the international assignees in the context of Iranian-based MNCs. Finally, the paper concludes with implications and lessons for policy makers, practitioners and academics.     

Activists and Animal Welfare: Quality Verifications in the Canadian Pork Sector

Animal welfare is an emotive topic. Although most governments legislate against outright animal cruelty, animal welfare organisations have actively lobbied for more stringent farm animal welfare regulations. Food retailers and restaurant chains have faced pressure from animal welfare organisations to implement more stringent animal welfare requirements for their suppliers. Is the demand for more stringent farm animal welfare protocols primarily determined by a subset of consumers with very strong preferences or does it signal a more fundamental underlying change in societal preferences? Given the credence nature of farm animal welfare, whom do consumers trust for credible quality assurances? This article analyses the role of quality verification in a market characterised by consumers with heterogeneous preferences for animal welfare. Of particular interest are the relative strength of preferences for humane animal treatment assurances and the credibility of these quality claims. Using data from a Canadian survey targeted at two distinct samples – a general population group and members of animal welfare organisations – a discrete choice experiment is used to assess consumer attitudes towards animal welfare assurances for pork products. The credibility of quality verification by public sector, private sector and third party agents is assessed. Evidence confirms that consumer preferences for farm animal welfare assurance and the source of verification are indeed heterogeneous. Although a portion of consumers remain largely indifferent to pork products with animal welfare assurances, a group of highly motivated consumers exist with an economic incentive to lobby for tougher animal welfare standards.     

Over the moon or sick as a parrot? The effects of football results on a club's share price

This article considers the impact of match results on the stock returns of English football clubs. We propose that the magnitude of the response to a given result depends on the importance of the game, which is measured in two ways. First, we consider the extent to which the clubs are close rivals vying for similar league positions, as winning such games is particularly significant. Second, we argue that each individual game becomes more important for those clubs likely to be promoted or relegated as the season draws to a close, since a given match will have increasing information content concerning the final league position of the club. Using a fairly large panel comprising data for 19 clubs, we find some support for the notion that stock prices are affected more by the results of important matches than matches of lesser importance. We also observe that the difference between the number of points the club secures from a given match, and the number it was expected to secure, affects its stock price, as does the number of goals that the club under question scores in the match, relative to its competitor.     

A Recursive Protocol for Negotiating Contracts Under Non-monotonic Preference Structures

Negotiating contracts with multiple interdependent issues may yield non-monotonic preference spaces for the participating agents. These negotiations are specially challenging because of the complexity and dimension of the search space. Automated negotiation mechanisms designed and proven useful for monotonic utility spaces may fail in these negotiation scenarios. This paper presents a novel solution to the problem of automated multi-issue negotiations in the context of complex utility spaces. We seek to address the challenge of intractably large contract spaces and utility functions with multiple local optima in automated negotiation scenarios. A protocol for automated bilateral multi-attribute negotiation processes is proposed, in which the individual agents??preferences can be non-monotonic and discontinuous. The protocol is based on a recursive non-mediated bargaining mechanism, which involves two agents who simultaneously exchange proposals defined as regions within the negotiation space. An agreement on a region implies a new bargaining which is restricted to that region. This recursive process is governed by a set of rules which modulate the joint exploration of the negotiation space until an agreement is found or a deadline expires. The protocol is experimentally evaluated under monotonic and non-monotonic preference scenarios, confirming that the protocol is able to produce outcomes close to the Pareto frontier in acceptable negotiation time, outperforming previous approaches.     

Practices and Practicalities In Human Resource Management1

A wide-ranging research project covering change and its implementation in 27 companies provides the opportunity for the authors of this article to reassess the meaning and significance of HRM. They suggest that ‘it is too simple to dismiss HRM as “old wine in new bottles”.’ Rather, they find important changes taking place. But the true significance of HRM, they suggest, lies not in the fact that its practice actually does resolve underlying tensions but rather in its capacity to ‘manage’ these by ‘reducing, suppressing and glossing’ them. HRM itself is an outcome of the tensions in the employment relationship and, perhaps not surprisingly therefore, it continues to express them. the article ends with suggestions for future research.     

Synchronization of cycles

Many interesting issues are posed by synchronization of cycles. In this paper, we define synchronization and show how the degree of synchronization can be measured. We propose heteroscedasticity and serial correlation robust tests of the hypotheses that cycles are either unsynchronized or perfectly synchronized.     

Human Resource Management In Building Societies: Making the Transformation?

Ed Snape, Tom Redman and Adrian Wilkinson examine the implications of the changing competitive environment for the management of staff in building societies. In particular, they draw on the results of a detailed case study to discuss attempts to introduce policies and practices associated with ‘HRM’. the conclusion is that the competitive pressures which led to the demand for these policies and practices may also make their successful implementation especially dificult. Ed Snape is a Lecturer in the Department of Human Resource Management at the University of Strathclyde, Tom Redman a Lecturer at Teesside Business School, and Adrian Wilkinson a Lecturer at the Manchester School of Management (UMIST).