Review of Industrial Organization - Reorganization of public utilities is on the currentpolitical agenda in many European countries. However,in many cases the most fundamental question in termsof... 相似文献
When there is uncertainty about interest rates (typically due to either illiquidity or defaultability of zero coupon bonds) the cash‐additivity assumption on risk measures becomes problematic. When this assumption is weakened, to cash‐subadditivity for example, the equivalence between convexity and the diversification principle no longer holds. In fact, this principle only implies (and it is implied by) quasiconvexity. For this reason, in this paper quasiconvex risk measures are studied. We provide a dual characterization of quasiconvex cash‐subadditive risk measures and we establish necessary and sufficient conditions for their law invariance. As a byproduct, we obtain an alternative characterization of the actuarial mean value premium principle. 相似文献
In empirical productivity analysis it has become customary to use flexible functional forms to represent a firm's production technology by estimating cost functions. In this note we suggest a procedure to calculate the region where an estimated translog cost function meet the required regularities (positive cost, positive marginal cost, homogeneous, monotonicity and concavity in input prices). We calculate this region for the US Bell cost function as reported by Evans and Heckman (1984, 1986), and show that the estimated cost function had negative marginal cost in most of the test region. 相似文献
In a complete financial market model, the shortfall-risk minimization problem at the terminal date is treated for the seller of a derivative security F . The worst conditional expectation of the shortfall is adopted as the measure of this risk, ensuring that the minimized risk satisfies certain desirable properties as the dynamic measure of risk, as proposed by Cvitanić and Karatzas (1999) . The terminal value of the optimized portfolio is a binary functional dependent on F and the Radon-Nikodym density of the equivalent local martingale measure. In particular, it is observed that there exists a positive number x * that is less than the replicating cost xF of F , and that the strategy minimizing the expectation of the shortfall is optimal if the hedger's capital is in the range [ x *, xF ]. 相似文献
In this paper we study both market risks and nonmarket risks, without complete markets assumption, and discuss methods of measurement of these risks. We present and justify a set of four desirable properties for measures of risk, and call the measures satisfying these properties "coherent." We examine the measures of risk provided and the related actions required by SPAN, by the SEC/NASD rules, and by quantile-based methods. We demonstrate the universality of scenario-based methods for providing coherent measures. We offer suggestions concerning the SEC method. We also suggest a method to repair the failure of subadditivity of quantile-based methods. 相似文献
In Ethiopia, there is a renewed interest in agricultural cooperatives as an institutional tool to improve the welfare of smallholder farmers. One of the pathways through which cooperatives benefit their members is scale economies. However, the establishment of cooperatives in Ethiopia seems to pay little attention to the size of the organizations. This article aims at investigating the effect of size on cost efficiency of agricultural cooperatives. More specifically, the purpose is to examine whether a single cooperative can serve a given number of farmers at a lower cost than two or more smaller cooperatives could. We employ the concept of cost subadditivity to compare the cost efficiency of large versus small cooperatives, and by extension unilateral actions. We estimate a flexible production technology using cross‐sectional cooperative‐level data. Findings show that costs would drop by 78% to 181% if farmers join hands in relatively large rather than small cooperatives. 相似文献
This paper considers an economy where there are many firms with increasing-returns-to-scale technologies and attempts to derive sufficient conditions ensuring that monopoly achieves aggregate production efficiency. In a setting of one output and many inputs, we obtain such sufficient conditions which can be interpreted as a nondecreasing generalized average productivity of inputs for each firm. We also show that a special class of generalized Cobb-Douglas production functions has such a property that monopoly always achieves aggregate production efficiency. 相似文献
This paper discusses the value of information in supermodular and submodular games, using a simple duopoly model where the
level of demand is uncertain. It is shown that the value of information issuperadditive (resp.,subadditive) between players if the game issupermodular (resp.,submodular). For example, in a Bertrand (resp., Cournot) market with (possibly imperfect) substitute products, one firm's information
acquisition increases (resp., decreases) the other firm's incentive to acquire the same information. Furthermore, when the
game is either supermodular or submodular, the value of information is higher when the player isexpected to be informed according to the opponent's belief than when the player is expected to be uninformed; this result is reversed
when the game has asymmetric modularity (i.e., one player's action is substitutional to the other's, and the latter's action
is complemental to the former's). These qualitative observations have a potential to be applied to a larger class of games
with uncertainty where payoffs are smooth (e.g., twice continuously differentiable) in actions and states. 相似文献