ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES

We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible Lévy triplets, that is, possible instantaneous drift, volatility, and jump characteristics of the price process. We show that an optimal investment strategy exists and compute it in semi‐closed form. Moreover, we provide a saddle point analysis describing a worst‐case model.     

Limit Theorems for Estimating the Parameters of Differentiated Product Demand Systems

We provide an asymptotic distribution theory for a class of generalized method of moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: sampling error in estimating market shares, simulation error in approximating the shares predicted by the model, and the underlying model error. It is shown that the estimators are CAN provided the size of the consumer sample and the number of simulation draws grow at a large enough rate relative to the number of products. We consider the implications of the results for the Berry, Levinsohn and Pakes (1995) random coefficient logit model and the pure characteristics model analysed in Berry and Pakes (2002) . The required rates differ for these two frequently used demand models. A small Monte Carlo study shows that the differences in asymptotic properties of the two models are reflected, in quite a striking way, in the models' small sample properties. Moreover the limit distributions provide a good approximation to the actual Monte Carlo distribution of the parameter estimates. The results have important implications for the computational burden of the two models.     

The Allocation of Food Expenditure in Married‐ and Single‐Parent Families

Differences in food expenditures in married‐ and single‐parent families are examined using the Consumer Expenditure Survey Diary Component (1990–2003). Single parents, compared to married parents, allocate a greater share of their food budget to alcohol and food purchased away from home; conversely, they spend a smaller share of their food budget on vegetables and fruits. Compared to married parents, single fathers spend a greater share on alcohol and food purchased away from home and a lesser share on vegetables, fruits, meat and beans, desserts and snacks, and prepared foods. Single mothers, compared to married parents, spend a greater share on grains and nonalcoholic beverages and a lesser share on vegetables and alcohol. Single mothers and fathers differ from each other in almost all categories of food and beverage expenditure. We also find important differences based on the employment status of parents in the household: families where all parents are employed, irrespective of family structure, spend a greater share of their food budgets on food purchased away from home and a lesser share on vegetables, fruits, milk, and meat and beans compared with married‐couple families in which the mother is not employed. We discuss ways in which family structure and parental employment status may be associated with food purchasing decisions.     

Discretion in Context: A Moderated Mediation Model of the Relationship between Discretion and Turnover Intentions

This paper examines the relationship between employee discretion and turnover intentions. We test the proposition that this relationship is mediated by employee stress and moderated by employee perceptions of staffing adequacy. We maintain that in assessing the potential effects of increased employee discretion, scholars must also examine the mechanisms through which these benefits are delivered, and the context in which it is provided. In an effort to study discretion in context, we develop and test a “moderated mediation” model in the healthcare setting. Our findings support the hypotheses that employee stress mediates the relationship between discretion and turnover intentions. In addition, employee perceptions of staffing adequacy are shown to moderate the relationship between employee discretion and stress.     

High Stock Returns before Holidays: Existence and Evidence on Possible Causes

On the trading day prior to holidays, stocks advance with disproportionate frequency and show high mean returns averaging nine to fourteen times the mean return for the remaining days of the year. Over one third of the total return accruing to the market portfolio over the 1963–1982 period was earned on the eight trading days which each year fall before holiday market closings. Examination of hourly pre-holiday stock returns reveals high returns throughout the day. Pre-holiday stock returns in the post-test 1983–1986 period are also examined.