Optimal dynamic hedging in incomplete futures markets

This article derives optimal hedging demands for futures contracts from an investor who cannot freely trade his portfolio of primitive assets in the context of either a CARA or a logarithmic utility function. Existing futures contracts are not numerous enough to complete the market. In addition, in the case of CARA, the nonnegativity constraint on wealth is binding, and the optimal hedging demands are not identical to those that would be derived if the constraint were ignored. Fictitiously completing the market, we can characterize the optimal hedging demands for futures contracts. Closed-form solutions exist in the logarithmic case but not in the CARA case, since then a put (insurance) written on his wealth is implicitly bought by the investor. Although solutions are formally similar to those that obtain under complete markets, incompleteness leads in fact to second-best optima.     

Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory

To study the influence of a bandwidth parameter in inference with conditional moments, we propose a new class of estimators and establish an asymptotic representation of our estimator as a process indexed by a bandwidth, which can vary within a wide range including bandwidths independent of the sample size. We study its behavior under misspecification. We also propose an efficient version of our estimator. We develop a procedure based on a distance metric statistic for testing restrictions on parameters as well as a bootstrap technique to account for the bandwidth’s influence. Our new methods are simple to implement, apply to non-smooth problems, and perform well in our simulations.     

Constant supervision of bathing in French public swimming pools: an unrealistic regulatory requirement?

In France, to prevent drowning accidents in public swimming pools (PSPs), bathing must be constantly supervised by qualified staff. However, fatal drowning regularly occurs in supervised aquatic facilities. A review of the literature shows that human supervision is a complex task. The aim of this research is to fully assess the periods during which supervision is not carried out, or carried out in an inadequate manner. The observations made in 108 French PSPs show that supervision is not carried out 18% of the time and that it is carried out inadequately 33% of the time. The medical literature shows that, in order to expect to survive without after-effects, an immersed victim requires intervention within a time limit of not more than three minutes; however, we noted, over a total observation time of 54 hours, 147 periods (29.8%) during which the supervision system was degraded for three minutes or more. This quantification research on the periods of degraded supervision is complemented by an identification of the causes leading to these degradations, from which we can draw interesting areas for improvement, particularly from an organizational point of view, in order to improve safety management in French PSPs.     

Home Bias in Primary Agricultural and Processed Food Trade: Assessing the Effects of National Degree of Uncertainty Aversion

This study investigates the effects of national degrees of uncertainty aversion (unfamiliarity avoidance) on the magnitude of bias towards domestic products rather than imports. The empirical analysis is implemented for primary agricultural and processed food products, using a panel dataset covering trade between and within OECD countries. Primary agricultural products are often blended and associated with reference prices. Conversely, processed food products exhibit higher levels of product differentiation. The empirical results confirm expectations by emphasizing the magnifying effects of uncertainty aversion on home bias in the case of processed food products but not in the case of primary agricultural products. These magnifying effects are primarily associated with processed food products destined for final household consumption. Other results reveal significant variations between different countries (based on geo‐economic and national income categories). Our results also indicate that home bias and uncertainty aversion effects on home bias have not decreased over time. The empirical results remain robust under different estimation methods.     

What Makes Business Statistics Special?

Non-specialists might have the feeling that building statistics on businesses is a very simple task: it seems one just has to "add facts". But for survey statisticians, business statistics are extremely complex: great heterogeneity of the universe, definition of the statistical units, difficulty of classifying businesses, quality of the register, variety of accounting standards, sample co-ordination, or reduction of survey burden. This paper argues that the issues raised by business survey methodology are conceptual and not only practical. It describes different aspects of statistical processing and tries to analyse the special features of business statistics.     

Retention of talented academic researchers: Evidence from a government intervention

The Canada Research Chairs (CRC) Program is designed primarily to retain academic talent in Canadian universities by providing targeted grants to outstanding researchers. Once awarded a chair at her home university, a researcher's compensation increases by 6.3% on average, with a significant decline over CRC tenure. Furthermore, the chance of the researcher changing jobs does not decrease. Although universities report spending more than half of the grant on compensation, only a small portion of the grant can be accounted for as a compensation increase. This demonstrates the difficulty in designing government interventions to have an impact on academic retention.     

The economic organization of tourism

This paper argues that it is inappropriate to portray tourism organisation as involving the coordination of firms producing conventional well-defined commodities with marginally differentiated technologies as in a conventional industry. A number of alternative theories of corporate and industrial organization are contrasted with respect to their applicability to the imperfectly specified tourism commodity. A perspective on firms and industry which emphasizes the coordination of changing technological and marketing competencies through network relationships is believed to be particularly suitable to represent the tourism learning system and to provide an alternative outlook on tourism industry, coordination and organizational structures.     

No country for young men: International migration and left‐behind children in Tajikistan

This paper investigates the effects of international migration on the schooling and labour outcomes of left‐behind children in rural Tajikistan. Using three‐wave panel survey data, I rely on an instrumental variable strategy to address the non‐random selection into migration. I identify important and gender‐differenced schooling and labour supply responses. My findings suggest that boys living in migrant households are less likely to lag behind at school or work. At the intensive margin, they also report fewer hours of work per week. On the other hand, left‐behind teenage females undertake a higher number of domestic chores. They appear to marry earlier as well. The migration impact on boys appears to be driven by remittances and the improved financial situation of households. The absence of any positive influence on the education of left‐behind girls is likely to be explained by Tajikistan's cultural norms and institutions.