Simulating the Evolution of the Implied Distribution

Motivated by the implied stochastic volatility literature (Britten–Jones and Neuberger, forthcoming; Derman and Kani, 1997; Ledoit and Santa–Clara, 1998) this paper proposes a new and general method for constructing smile–consistent stochastic volatility models. The method is developed by recognising that option pricing and hedging can be accomplished via the simulation of the implied risk neutral distribution. We devise an algorithm for the simulation of the implied distribution, when the first two moments change over time. The algorithm can be implemented easily, and it is based on an economic interpretation of the concept of mixture of distributions. It can also be generalised to cases where more complicated forms for the mixture are assumed.     

An appropriate model for joint regional action in southern Africa after apartheid

Market‐based integration is not appropriate to the joint development of the southern African region; the region's political, technical and institutional immaturity requires instead loose, function‐based economic cooperation. This will also facilitate intraregional trade. Subregions in the meantime could progress to higher levels of integration: international experience has shown that successful integration is most likely when it takes place on the basis of ‘regions within regions’. Cooperative development of the subcontinent is likely to be best achieved through the ‘concentric circles’ approach to regional cooperation, in which a revised Southern African Customs Union‐Common Monetary Area forms the highly integrated core of a loose, function‐based cooperative arrangement covering the whole of southern Africa.     

Making Financial Goals and Reporting Policies Serve

The main. nancial goal of Progressive Insurance, the third largest underwriter of auto insurance in the U.S., has remained the same since the late 1960s. Expressed in three words, "96 and grow," the goal tells the company's managers to pursue all growth opportunities while maintaining a "combined ratio" no higher than 96, or what amounts to a minimum 4% spread between revenues (premiums) and costs (including expected losses). Thanks in part to the clarity of mission provided by this goal, the company has produced an average 15% rate of growth in revenues and earnings, along with a remarkably stable 15% return for its shareholders, since going public in 1971.
Progressive's simplicity and clarity of mission is also partly responsible for another of the company's distinctive policies: product pricing that, while disciplined, is aggressive and highly decentralized. Having invested some $500 million per year developing statistical models for pricing individual customer risks and acquisition costs, the company was among the. rst in its industry to underwrite "non-standard" risks. And aided by sophisticated pricing models, each of Progressive's 100 or so local product managers are charged with adapting those models to come up with premiums for their own regions.
To go along with its strategic and organizational innovations, Progressive also has an innovative disclosure policy. Apart from SEC reports, the company's communications seldom mention earnings or earnings per share, and the company has never provided earnings guidance. With the passage of Reg. FD in late 2000, the company brie. y considered offering guidance. But in the spring of 2001, the board decided instead to provide monthly releases of its realized combined ratio. Since adoption of this new disclosure policy, Progressive has seen a 50% drop in the volatility of its stock price.     

Learning, Asset-Pricing Tests, and Market Efficiency

This paper studies the asset-pricing implications of parameter uncertainty. We show that, when investors must learn about expected cash flows, empirical tests can find patterns in the data that differ from those perceived by rational investors. Returns might appear predictable to an econometrician, or appear to deviate from the Capital Asset Pricing Model, but investors can neither perceive nor exploit this predictability. Returns may also appear excessively volatile even though prices react efficiently to cash-flow news. We conclude that parameter uncertainty can be important for characterizing and testing market efficiency.     

STUDIES OF MANAGERIAL JOBS AND BEHAVIOUR: THE WAYS FORWARD

The main achievements and limitations of studies of managerial jobs and behaviour are summarized drawing upon the review articles of Martinko and Gardner (1985) and Hales (1986). Ways forward are explored by developing a map of the field for future studies, which is shown in figure 1. The figure has three aims: to show different areas for research; to help in identifying neglected areas that could be fruitful ways forward; and to show the interrelationship between different aspects of the study and thus to act as a guide for data collection. The main purpose of the article is to be a guide to what can, and what might most fruitfully, be studied, but some suggestions are also made about methods.     

The Self-concept of Black and White Women: The Influences Upon Its Formation of Welfare Dependency, Work Effort, Family Networks, and Illnesses

Abstract . The concept of “self-efficacy” is used to test the hypothesis that the negative self-concept of welfare recipients coniributes to long term psychological and material dependency on such assistance. Self-efficacy focuses on the extent to which people are able to produce and regulate events in their lives and is associated with self-imposed performance expectations. The extent to which the minority status which Blacks occupy in this society decreases self efficacy relative to Whites is examined, using information generated from structured interviews with 290 low income Black and White women. Operationalizing the concept of self-efficacy with appropriate controls for socioeconomic status, family composition and other factors results in finding no racial differences in sense of self-efficacy between Black and White women. Observed differences in patterns of receipt of public assistance are found to be more directly related to the persistence of structural barriers to upward mobility that have differential impacts on Blacks and Whites. Long term receipt of public assistance is found to adversely affect both self-worth and work orientation/perceived efficacy for all women.     

Alliance competence, resources, and alliance success: Conceptualization, measurement, and initial test

This research examines the effect of an alliance competence on resource-based alliance success. The fundamental thesis guiding this research is that an alliance competence contributes to alliance success, both directly and through the acquisition and creation of resources. Using survey data gathered from 145 alliances, empirical tests of the hypotheses provide support for the posited explanation of alliance success. The findings indicate that an alliance competence is not only antecedent to the resources that are necessary for alliance success but also to alliance success itself. C. Jay Lambe (Ph.D., The Darden School at University of Virginia) is an assistant professor of marketing in the Pamplin College of Business at Virginia Tech. For 10 years prior to entering academe, he was engaged in business-to-business marketing for both Xerox and AT&T. His research interests include business-to-business marketing, relationship marketing, marketing strategy, and sales management. He has publications in theJournal of the Academy of Marketing Science, theJournal of Product Innovation Management, theEuropean Journal of Marketing, theJournal of Personal Selling and Sales Management, theInternational Journal of Management Reviews, theJournal of Business-to-Business Marketing, and theJournal of Relationship Marketing. He also serves as a reviewer for theJournal of Business-to-Business Marketing. Prior to joining the faculty at Virginia Tech, he was one of five Texas Tech University faculty members chosen in 1999 from the entire university for the annual Outstanding Faculty Member Award by the Mortar Board and Omicron Delta Kappa (Texas Tech University student organizations that recognize excellence in teaching). Robert E. Spekman is the Tayloe Murphy Professor of Business Administration at the Darden School at the University of Virginia. He was formerly a professor of marketing and associate director of the Center for Telecommunications at the University of Southern California. He is an internationally recognized authority on business-to-business marketing and strategic alliances. His consulting experiences range from marketing research and competitive analysis, to strategic market planning, supply chain management, channels of distribution design and implementation, and strategic partnering. He has taught in a number of executive programs in the United States, Canada, Latin America, Asia, and Europe. His executive program experience ranges from general marketing strategy, to sales force management, to channels strategy, to creating strategic alliances, to business-to-business marketing strategy, to a number of single-company and senior executive management programs. He has edited and/or written seven books and has authored (coauthored) more than 80 articles and papers. He also serves as a reviewer for a number of marketing and management journals, as well as for the National Science Foundation. Prior to joining the faculty at the University of Southern California, he taught in the College of Business at the University of Maryland, College Park. During his tenure at Maryland, he was granted the Most Distinguished Faculty Award by the MBA students on three separate occasions. Shelby D. Hunt is the J. B. Hoskins and P. W. Horn Professor of Marketing at Texas Tech University, Lubbock. A past editor of theJournal of Marketing (1985–87), he is the author ofModern Marketing Theory: Critical Issues in the Philosophy of Marketing Science (South-Western, 1991) andA General Theory of Competition: Resources, Competences, Productivity, Economic Growth (Sage, 2000). He has written numerous articles on competitive theory, macromarketing, ethics, channels of distribution, philosophy of science, and marketing theory. Three of hisJournal of Marketing articles—“The Nature and Scope of Marketing” (1976), “General Theories and Fundamental Explananda of Marketing” (1983), and “The Comparative Advantage Theory of Competition” (1995) (with Robert M. Morgan)—won the Harold H. Maynard Award for the best article on marketing theory. His 1985Journal of Business Research article with Lawrence B. Chonko, “Ethics and Marketing Management,” received the 2000 Elsevier Science Exceptional Quality and High Scholarly Impact award. His 1989 article, ”Reification and Realism in Marketing: in Defense of Reason,” won theJournal of Macromarketing Charles C. Slater Award. For his contributions to theory and science in marketing, he received the 1986 Paul D. Converse Award from the American Marketing Association, the 1987 Outstanding Marketing Educator Award from the Academy of Marketing Science, and the 1992 American Marketing Association/Richard D. Irwin Distinguished Marketing Educator Award.     

Anonymous monotonic social welfare functions

This paper presents two results about preference domain conditions that deepen our understanding of anonymous and monotonic Arrovian social welfare functions (ASWFs). We characterize the class of anonymous and monotonic ASWFs on domains without Condorcet triples. This extends and generalizes an earlier characterization (as Generalized Majority Rules) by Moulin (Axioms of Cooperative Decision Making, Cambridge University Press, New York, 1988) for single-peaked domains. We also describe a domain where anonymous and monotonic ASWFs exist only when there are an odd number of agents. This is a counter-example to a claim by Muller (Int. Econ. Rev. 23 (1982) 609), who asserted that the existence of 3-person anonymous and monotonic ASWFs guaranteed the existence of n-person anonymous and monotonic ASWFs for any n>3. Both results build upon the integer programming approach to the study of ASWFs introduced in Sethuraman et al. (Math. Oper. Res. 28 (2003) 309).     

A solution to the random assignment problem on the full preference domain

We consider the problem of allocating a set of indivisible objects to agents in a fair and efficient manner. In a recent paper, Bogomolnaia and Moulin consider the case in which all agents have strict preferences, and propose the probabilistic serial (PS) mechanism; they define a new notion of efficiency, called ordinal efficiency, and prove that the probabilistic serial mechanism finds an envy-free ordinally efficient assignment. However, the restrictive assumption of strict preferences is critical to their algorithm. Our main contribution is an analogous algorithm for the full preference domain in which agents are allowed to be indifferent between objects. Our algorithm is based on a reinterpretation of the PS mechanism as an iterative algorithm to compute a “flow” in an associated network. In addition we show that on the full preference domain it is impossible for even a weak strategyproof mechanism to find a random assignment that is both ordinally efficient and envy-free.