Portfolio optimization based on GARCH-EVT-Copula forecasting models

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-$t$ and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student-$t$ copulas, are best at reducing the portfolio risk.     

The relationship between national culture and the use of professional services: Evidence from two cross-country studies

Each year, clients spend large sums on professional services, such as accounting services, legal services and consulting services. While research has found significant cross-country differences in organizations’ spending on professional services, we do not know why they occur. Inspired by the organizational buying behavior literature, this paper investigates the influence of national culture on the use of professional services, particularly management consulting services. As the use of professional services involves considerable uncertainties—particularly for the buyer—it can be assumed to be influenced by cultural differences regarding the level of Uncertainty Avoidance, Individualism and Masculinity. By drawing on two independent cross-country studies, we show that organizations in high uncertainty avoidance and individualistic cultures use professional services less than organizations in low uncertainty avoidance and collectivist cultures. We found no relationship between Hofstede's dimension of Masculinity and the use of professional services. The findings contribute to the theorizing on how the cultural context influences organizational buying behavior and the purchasing of professional services.     

The customer value proposition: evolution,development, and application in marketing

The customer value proposition (CVP) has a critical role in communicating how a company aims to provide value to customers. Managers and scholars increasingly use CVP terminology, yet the concept remains poorly understood and implemented; relatively little research on this topic has been published, considering the vast breadth of investigations of the value concept. In response, this article offers a comprehensive review of fragmented CVP literature, highlighting the lack of a strong theoretical foundation; distinguishes CVPs from related concepts; proposes a conceptual model of the CVP that includes antecedents, consequences, and moderators, together with several research propositions; illustrates the application of the CVP concept to four contrasting companies; and advances a compelling agenda for research.     

Corporate social responsibility: The disclosure–performance gap

As increased stakeholder pressure requires companies to be transparent about their CSR practices, it is essential to know how reliable corporate disclosure mechanisms are, testing the gap between corporate social responsibility claims and actual practice. This study benchmarks corporate social responsibility policies and practices of ten international hotel groups of particular importance to the European leisure market. We found that corporate systems are not necessarily reflective of actual operations, environmental performance is eco-savings driven, labour policies aim to comply with local legislation, socio-economic policies are inward looking with little acceptance of impacts on the destination, and customer engagement is limited. Generally larger hotel groups have more comprehensive policies but also greater gaps in implementation, while the smaller hotel groups focus only on environmental management and deliver what they promised. As the first survey of its kind in tourism, both the methodology and the findings have implications for further research.     

Taking agricultural technologies to scale: experiences from a vegetable technology dissemination initiative in Tanzania

One of the widely suggested approaches to meet the increasing food demand of a substantially growing world population is sustainable intensification. We present a unique agricultural research and scaling programme in Tanzania, focusing on the key elements necessary for results related to: gender analysis; private sector engagement; social capital; improvement and adaptation; and programme performance monitoring and evaluation. Since 2014, more than 6000 farmers have benefited from either the adaptive research or the scaling component of the programme. Preliminary impact analysis results from six pilot locations indicate that programme participants realized significantly higher yields compared to non-participants. In addition to productivity improvements, introducing resistant and drought-tolerant elite vegetable varieties improved the resilience of the existing farming systems. Finally, considering the needs of both male and female participants had a positive impact on technology adoption rates and reach.     

Setting prices in mixed logit model designs

We investigate different procedures to set prices in designs for choice-based conjoint analysis using the mixed logit model which captures latent consumer heterogeneity. Besides discrete attributes, we include a linear price term in the deterministic utility function thereby treating price as continuous variable. We consider two different price intervals and several price sets which contain either two or three prices. We compare these alternatives to set prices by simulating choices for different constellations on the basis of the mixed logit model. Furthermore, we generate ten designs simultaneously instead of just one. Using these simulated choices, we estimate the parameters of the mixed logit model in the next step. To reduce the needed sample size and computation time caused by accounting for latent consumer heterogeneity, we apply Halton draws and set a minimum potential design for prior draws. ANOVA with root mean squared error between estimated and true price coefficient values of individual consumers as dependent variable shows that using more extreme prices as interval bounds and one intermediate price positioned to the right of the interval performs best.     

MEASURING RICHNESS AND POVERTY: A MICRO DATA APPLICATION TO EUROPE AND GERMANY

In this paper, we define a new class of richness measures. In contrast to the often used headcount, these new measures are sensitive to changes in rich individuals' incomes and, therefore, allow for a more sophisticated analysis of richness. We demonstrate the application of these new measures in analyzing the development of poverty and richness over time in Germany. Moreover, we compare Germany to many other European countries and investigate the impact of tax reforms on poverty and richness. Using these examples, we show the importance of taking the intensity of changes into account and not only the number of people beyond a given richness line (headcount). We propose to use the new measures in addition to the headcount index for a more comprehensive analysis of richness.