ALBERT

Notes: Abstract Theory suggests that people facing higher uninsurable background risk buy more insurance against other risks that are insurable. This proposition is supported by Italian cross-sectional data. It is shown that the probability of purchasing casualty insurance increases with earnings uncertainty. This finding is consistent with consumer preferences being characterized by decreasing absolute prudence.

Notes: Abstract This article analyzes the behavior of an oligopoly of risk-averse insurers that insure many consumers facing identical independent risks; however, the probability of a loss is ex ante not known with certainty. It is shown that there is a continuum of equilibria in the Bertrand game. The most plausible equilibrium can be obtained by requiring that all insurers are content with the number of policies they sell given the equilibrium premium.

Notes: Abstract The demand for insurance against loss from a particular risky asset is likely to depend on other risks the decision-maker faces. For independently distributed other risks, referred to as background risk, Eeckhoudt and Kimball [1992] determine the effect on insurance demand of introducing background risk. Recently, Eeckhoudt, Gollier, and Schlesinger [1996] determine conditions on preferences such that first- and second-degree stochastic deteriorations in background risk lead to a decrease in the decision-maker's willingness to accept other risks. These results, although formulated in a general decision model, also apply to insurance demand. This article continues analysis of this question by determining the effect on insurance demand of several other general changes in background risk.

Notes: Abstract This article investigates the interaction between life insurance and long-term care insurance markets on the demand side. In the model utility depends on both consumption and bequest, and utility from consumption is contingent on the state of health. While the demand for life insurance increases both with decreasing income and with a rising degree of altruism, the influences of these two parameters on the demand for long-term care insurance are ambiguous. If the utility shock arising from disability declines, both insurance demands will rise.

Notes: Abstract Traditionally, policyholders in life insurance are classified in simple mortality tables, most often according to only a few risk characteristics. Instead of a risk classification according to the numerical rating system, this article describes how to classify by using a fuzzy inference methodology. By defining risk factors as fuzzy sets, it is shown that an insurer can utilize multiple prognostic factors that are imprecise and vague. The presented fuzzy risk classification provides a more realistic way of modeling mortality risks since it allows for compensations and interactions between multiple risk factors.

Notes: Abstract Recalling the class of risk measures introduced by Stone [1973], the authors survey measures from different academic disciplines—including psychology, operations research, management science, economics, and finance—that have been introduced since 1973. We introduce a general class of risk measures that extends Stone's class to include these new measures. Finally, we give four axioms that describe necessary attributes of a good financial risk measure and show which of the measures surveyed satisfy these. We demonstrate that all measures that satisfy our axioms, as well as those that do not but are commonly used in finance, belong to our new generalized class.

Notes: Abstract It is generally accepted that moving from an unfunded to a funded social security system implies a welfare loss for the transition generation—that is, the generation that has to pay twice: first, saving for its own retirement and, second, contributing to the pensions of the then retired generation. This article shows that in a setting of endogenous growth with positive externality such a transition can be Pareto improving. But it argues also that social security reform is more a pretext than a requirement for internalizing such a positive externality.

Notes: Abstract This article examines the relationship between risk, return, skewness, and utility-based preferences. Examples are constructed showing that, for any commonly used utility function, it is possible to have two continuous unimodal random variables X and Y with positive and equal means, X having a larger variance and lower positive skewness than Y, and yet X has larger expected utility than Y, contrary to persistent folklore concerning U″′ 〉 0 implying skewness preference for risk averters. In additon, it is shown that ceteris paribus analysis of preferences and moments, as occasionally used in the literature, is impossible since equality of higher-order central moments implies the total equality of the distributions involved.

Notes: Abstract The apparent banking market failure modeled by Diamond and Dybvig [1983] rests on their inconsistently applying their “sequential servicing constraint” to private banks but not to their government deposit insurance agency. Without this inconsistency, banks can provide optimal risk-sharing without tax-based deposit insurance, even when the number of “type 1” agents is stochastic, by employing a “contingent bonus contract.” The threat of disintermediation noted by Jacklin [1987] in the nonstochastic case is still present but can be blocked by contractual trading restrictions. This article complements Wallace [1988], who considers an alternative resolution of this inconsistency.

Notes: Abstract This article presents a model in which production causes pollution that diminishes the welfare of its agents. Each agent is concerned with the quality of its environment and may voluntary contribute to improve it by financing depollution technology. The effectiveness of this technology on the quality of the environment is uncertain. We show that if an agent is sufficiently risk averse, voluntary contribution is a decreasing function of the average efficiency of depollution technology. If, on the contrary, the pollution effect is weaker than the substitution effect, the opposite holds. We show that precaution about environmental quality has two possible consequences that depend on agents' risk aversion. Therefore, the implications of a precautionary attitude lead us to consider the agents' risk-aversion characterization, which implies knowledge about prudent attitude.

Notes: Abstract Formulating the minimum concave cost capacitated network flow problem as an integer concave minimization problem, we establish finite branch and bound algorithms, in which the branching operation is the so-called integral rectangular partition and the bounding procedure is performed by the classical minimum linear cost flow problem on subnetworks. For the special case that the flow cost function is concave on a fixed number of arcs and linear on the others, an upper bound of the running time is given.

Notes: Abstract One of the basic problems in transportation planning systems is the calculation of the fastest route between two points in a road network. General shortest path algorithms, which examine a large part of the whole graph for each shortest path, are very slow if the road network is large. Since the road network does not change very often it is possible to calculate auxiliary information in a preprocessing step. I will present a preprocessing algorithm which requires linear storage. It is substantially faster than the general algorithms without preprocessing.

Notes: Abstract. In a multi-processor-tasks job-shop problem (MPTJSP) there is a machine set associated with each operation. All machines are needed for the whole processing period to process the operation. The objective is to find a schedule which minimizes the makespan. In a multi-mode job-shop problem (MMJSP) there is a set of machine sets associated with each operation. One has to assign a machine set to each operation and to solve the resulting MPTJSP such that the resulting makespan is minimized. For the MMJSP a tabu-search algorithm is presented. Computational results are reported.

Notes: Abstract. Formulating the minimum concave cost capacitated network flow problem as an integer concave minimization problem, we establish finite branch and bound algorithms, in which the branching operation is the so–called integral rectangular partition and the bounding procedure is performed by the classical minimum linear cost flow problem on subnetworks. For the special case that the flow cost function is concave on a fixed number of arcs and linear on the others, an upper bound of the running time is given.

Notes: Abstract In inventory control and production planning one is tempted to use one of two strategies: produce all demand to stock or produce all demand to order. The disadvantages are well-known. In the ‘make everything to order’ case (MTO) the response times may become quite long if the load is high, in the ‘make everything to stock’ case (MTS) one gets an enormous inventory if the number of different products is large. In this paper we study two simple models which combine MTO and MTS, and investigate the effect of combining MTO and MTS on the production lead times.

Notes: Abstract This paper discusses the analysis of a single server finite queue with Poisson arrival and arbitrary service time distribution, wherein the arrival rates are state dependent which are all distinct or all equal, service times are conditioned on the system length at the moment of service initiation. The analytic analysis of the queue is carried out and the final results have been presented in the form of recursive equations which can be easily programmed on any PC to obtain the distributions of number of customers in the system at arbitrary, departure and pre-arrival epochs. It is shown that the method works for all service time distributions including the non-phase type and also for low and high values of the model parameters. Some performance measures, and relations among the state probabilities at arbitrary, departure and pre-arrival epochs are also discussed. Furthermore, it is shown that results for a number of queueing models can be obtained from this model as special cases. To demonstrate the effectiveness of our method some numerical examples have been presented.

Notes: Abstract LetE be a finite set, ℱ be a family of subsets ofE and¯C be a capacity vector for all elements ofE. For eachF∈ℱ, define thecapacity ofF as the minimum capacity occurring inF. The problem which we discuss in this paper is how to change the vector¯C as little as possible so that a givenF 0∈8o has the maximum capacity. This model contains inverse maximum capacity spanning tree problem, inverse maximum capacity path problem and etc. as its special cases. We transform the problem into the minimum weight cut set problem and show that this problem can be solved efficiently if an efficient algorithm for finding minimum weight cut set of ℱ is available.

Notes: Abstract. In inventory control and production planning one is tempted to use one of two strategies: produce all demand to stock or produce all demand to order. The disadvantages are well-known. In the ‘make everything to order’ case (MTO) the response times may become quite long if the load is high, in the ‘make everything to stock’ case (MTS) one gets an enormous inventory if the number of different products is large. In this paper we study two simple models which combine MTO and MTS, and investigate the effect of combining MTO and MTS on the production lead times.

Notes: Abstract. This paper discusses the analysis of a single server finite queue with Poisson arrival and arbitrary service time distribution, wherein the arrival rates are state dependent which are all distinct or all equal, service times are conditioned on the system length at the moment of service initiation. The analytic analysis of the queue is carried out and the final results have been presented in the form of recursive equations which can be easily programmed on any PC to obtain the distributions of number of customers in the system at arbitrary, departure and pre-arrival epochs. It is shown that the method works for all service time distributions including the non-phase type and also for low and high values of the model parameters. Some performance measures, and relations among the state probabilities at arbitrary, departure and pre-arrival epochs are also discussed. Furthermore, it is shown that results for a number of queueing models can be obtained from this model as special cases. To demonstrate the effectiveness of our method some numerical examples have been presented.

Notes: Zusammenfassung. Die Qualität von Entscheidungen einer Gruppe mit heterogenen Zielen wird aus Sicht einer gewinnorientierten Instanz untersucht. Dazu erfolgt eine Modellierung des Gruppenentscheidungsprozesses einschließlich Interaktion und Abstimmung mit statistischen und spieltheoretischen Hilfsmitteln (Harsanyi/Selten). Mit einem Simulationsmodell können die Bedeutung von persönlichen Interessen, Qualifikation, Gruppengröße, strategischem Verhalten, Risikoaversion und Konformität quantifiziert werden. Trade offs von Gruppeneigenschaften wie Qualifikation und Zielkonflikt und Implikationen für die Entscheidungsdelegation werden diskutiert. Wichtige Ergebnisse: Die mittlere Qualität verbessert sich durch strategisches Verhalten der Mitglieder, und es lassen sich situativ optimale Gruppengrößen ermitteln.

Notes: Zusammenfassung In der Arbeit wird gezeigt, wie mit Hilfe der Theorie der unscharfen Mengen geeignete Angebote aus Datenbanken bestimmt werden können. Zur Berechnung wird jedes der einzelnen Entscheidungskriterien durch den Kunden eingeschätzt. Seine Präferenzen werden in Zugehörigkeitsfunktionen umgesetzt. Ein geeignetes Angebot erhält man nun durch Maximierung einer Funktion, die sich als Komposition der einzelnen Zugehörigkeitsfunktionen ergibt. Für diese Verknüpfung schlagen wir den Werners-Operator vor, da er – die Suche nach einem geeigneten Angebot durch Lösung einer linearen Booleschen Optimierungsaufgabe zuläßt und – sensitiver auf die Kundenwünsche reagiert als der Minimumoperator. Dieser Zugang ist auch möglich bei nur verbal formulierbaren Kriterien und größeren Datenbanken.

Notes: Abstract The problem of planning instability caused by new and actualized data in material coordination systems with periodic review and replanning activities has been discussed from several viewpoints in literature and it is of great practical importance. The application of a rolling horizon planning framework in forecast-dependent inventory control leads to nervousness in the planning system caused by different order release decisions in successive planning cycles. In this paper a setup-oriented planning stability concerning deviations of planned orders in all periods of a given stability horizon in a single-stage inventory system with arbitrary stochastic demand is analyzed. The influence of an (s, S) control rule on planning stability is derived analytically. It is shown that the reorder points does not affect stability whereas the minimum reorder quantityS-s has a considerable impact. Especially, it is analyzed how planning stability depends on the length of the stability horizon, on period-specific weights, and on the accuracy of demand forecasts.

Notes: Zusammenfassung Gegenstand des Beitrags ist die Entwicklung eines Tabu Search-Verfahrens (TSV) für Containerbeladeprobleme mit schwach heterogenem Kistenvorrat. Das TSV basiert auf einem zweistufigen Verfahrensansatz. Ein integrierter Greedy-Algorithmus dient unmittelbar der Erzeugung von Stauplänen. Vermittelt über eine geeignete Repräsentation zulässiger Problemlösungen wird in einer zweiten Verfahrensstufe eine Tabu-Suche durchgeführt. Das TSV berücksichtigt einige praxisrelevante Restriktionen. Die Performance des TSV wird anhand von Benchmarkproblemen aus der Literatur demonstriert, wobei Containerbeladeverfahren verschiedener Autoren zu Vergleichszwecken herangezogen werden.

Notes: Abstract A well documented observation is that consumers (and also firms) use high implicit discount rates when deciding about energy conservation investments. This fact is almost universally labelled a ‘market failure’, which in turn has led many analysts (most famous Amory Lovins) to argue for either public or utility sponsored conservation programmes. This paper applies the theory of real options to a familiar example: the choice between conventional and energy saving bulbs assuming risk neutral decision makers. The results are that the implicit discount rates accounting for the option value of waiting and delaying the investment are close to reported implicit discount rates. Hence the conclusion of market failure from observed high implicit discount rates requires a more careful and subtle analysis. This applies a fortiori to the recommendation of conservation programmes.

Notes: Resümee Das Verdienst von Linx liegt darin, die Mächtigkeit der Modellierung und Lösung von LP's mit einer graphischbasierten Modellierungsumgebung und umfangreichen Datenbankfunktionen verbunden zu haben. In Summe ist so ein leistungsfähiges Werkzeug zur Lösung deterministischer Produktions- und Logistikprobleme entstanden. Der zunehmende Einsatz des Programms in der Unternehmenspraxis kann als Indiz für dieses Vermögen gewertet werden. Trotz weitestgehender Loslösung von den quantitativen Grundlagen sind Kenntnisse der Linearen Programmierung und der Modellierung von Produktion- und Logistikproblemen für den Planer wertvoll. Mit diesem Wissen läßt sich schneller beurteilen, welche Problemformulierungen effizient lösbar sind, welche Algorithmen zu wählen sind, wie die in der Lösung bereitgestellten Schattenpreise zu interpretieren sind und welche Kostenblöcke entscheidungsrelevant sind. In der Hochschullehre empfiehlt sich der Einsatz von Linx für Vorlesungen und Übungen in den Fächern Produktion, Logistik und Operations Research.

Notes: Abstract In this paper several heuristics and a genetic algorithm (GA) are described for the Shortest Common Supersequence (SCS) problem, an NP-complete problem with applications in production planning, mechanical engineering and data compression. While our heuristics show the same worst case behaviour as the classical Majority Merge heuristic (MM) they outperform MM on nearly all our test instances. We furthermore present a genetic algorithm based on a slightly modified version of one of the new heuristics. The resulting GA/heuristic hybrid yields significantly better results than any of the heuristics alone, though the running time is much higher.

Notes: Abstract After introducing the main topic of this paper (the study of purchase incidence and brand choice decisions) we explain basic concepts of hazard models and describe the probability distributions considered in the empirical study presented later. After a review of pure purchase incidence (product category) models as well as integrated models that include brand choice as well, we specify and discuss properties of one-state and multi-state hazard models, respectively. Our conclusions are based on applying hazard models to household scanner data.

Notes: Abstract Only very few of the existing container loading algorithms include in their logic any references to the weight or the load bearing abilities of the items to be stowed. The paper aims to make a contribution to overcoming this shortcoming. It shows how a procedure which has already been evaluated in some detail in the literature can be adapted in a fairly straightforward manner to deal with fragility considerations. The approach suggested is based on opportunity cost notions. It is demonstrated that the results obtained can be vastly superior to a procedure which considers load bearing ability merely in terms of a constraint on the packing options available at each stage. Additional refinements of the basic approach and questions related to its practical implementation are also discussed, as are possible extensions to enable ‘soft’ positioning rules to be incorporated.

Notes: Abstract. One of the basic problems in transportation planning systems is the calculation of the fastest route between two points in a road network. General shortest path algorithms, which examine a large part of the whole graph for each shortest path, are very slow if the road network is large. Since the road network does not change very often it is possible to calculate auxiliary information in a preprocessing step. I will present a preprocessing algorithm which requires linear storage. It is substantially faster than the general algorithms without preprocessing.

Notes: Abstract. We consider the problem of allocating the cost of an optimal traveling salesman tour in a fair way among the nodes visited; in particular, we focus on the case where the distance matrix of the underlying TSP problem satisfies the triangle inequality. We thereby use the model of TSP games in the sense of cooperative game theory. We give examples showing that the core of such games may be empty, even for the case of Euclidean distances. On the positive, we develop an LP-based allocation rule guaranteeing that no coalition pays more than $\alpha$ times its own cost, where $\alpha$ is the ratio between the optimal TSP-tour and the optimal value of its Held-Karp relaxation, which is also known as the solution over the “subtour polytope”. A well-known conjecture states that $\alpha\leq \frac{4}{3}$ . We also exhibit examples showing that this ratio cannot be improved below $\frac{4}{3}$ .

Notes: Abstract. After introducing the main topic of this paper (the study of purchase incidence and brand choice decisions) we explain basic concepts of hazard models and describe the probability distributions considered in the empirical study presented later. After a review of pure purchase incidence (product category) models as well as integrated models that include brand choice as well, we specify and discuss properties of one-state and multi-state hazard models, respectively. Our conclusions are based on applying hazard models to household scanner data.

Notes: Abstract. Only very few of the existing container loading algorithms include in their logic any references to the weight or the load bearing abilities of the items to be stowed. The paper aims to make a contribution to overcoming this shortcoming. It shows how a procedure which has already been evaluated in some detail in the literature can be adapted in a fairly straightforward manner to deal with fragility considerations. The approach suggested is based on opportunity cost notions. It is demonstrated that the results obtained can be vastly superior to a procedure which considers load bearing ability merely in terms of a constraint on the packing options available at each stage. Additional refinements of the basic approach and questions related to its practical implementation are also discussed, as are possible extensions to enable `soft' positioning rules to be incorporated.

Notes: Abstract This paper examines the location of duopolists on a tree. Given parametric prices, we first delineate necessary and sufficient conditions for locational Nash equilibria on trees. Given these conditions, we then show that Nash equilibria, provided they exist, can be reached in a repeated sequential relocation process in which both facilities follow short-term profit maximization objectives.

Notes: Abstract This paper deals with a new discrete event simulation modeling concept, calledqobj, which comes from two well-known paradigms:objects andqueuing networks. The first provides important conceptual tools for model organization, while the second one allows for nice visualization of models' internal state and processes. Thanks to the integration of these two paradigms, theqobj concept allows the suppression of several dichotomies characterizing current simulation modeling approaches. For instance,qobj allows the description of system elements which are both mobile and able to do processing, and allows the dynamic instantiation of static and mobile elements during simulation. The design of lift group models for an industrial project illustrates the main features of theqobj concept.

Notes: Zusammenfassung In jüngerer Zeit werden in zunehmendem Maße Ansätze der Arbitrage Pricing Theory im praktischen Portfoliomanagement eingesetzt. Eine wichtige Klasse stellen die „fundamentalen Faktoren-Modelle“ dar, bei denen unternehmensspezifische Variablen, wie z.B. Kurs/Gewinn-Verhältnis, Quotient aus Buch- und Marktwert, Dividendenrendite, Unternehmensgröße, historische Betas, als bewertungsrelevante Risikofaktoren vorab spezifiziert und in einem statistischen Querschnittsregressionsmodell empirisch auf Signifikanz geprüft werden. Eine andere Klasse von APT-Ansätzen spezifiziert die Faktoren durch makroökonomische Variablen, z.B. Inflationsrate, Zins oder Ölpreis. In einem ersten Schritt werden anhand von Zeitreihenregressionen die Sensitivitälen (Faktor-Betas) bezüglich der makroökonomischen Faktoren geschätzt, im zweiten Schritt wird die Querschnittsbeziehung zwischen Renditen und Sensitivitäten analysiert. Die zu den statistisch signifikanten Sensitivitäten gehörenden makroökonomischen Variablen werden als bewertungsrelevant angesehen. Im vorliegenden Beitrag wird gezeigt, daß eine derartige Vorgehensweise in aller Regel nicht gerechtfertigt ist und zu unzutreffenden Schlußfolgerungen in bezug auf die Bewertungsrelevanz der Risikofaktoren führen kann. Es zeigt sich, daß die den empirischen Tests zugrundeliegende Bewertungsgleichung im allgemeinen unsystematisches Risiko enthält. Als Folge davon sind sämtliche Schätzungen der Regressionskoeffizienten in der Querschnittsregression verzerrt. Damit sind die Beurteilung der Signifikanz der in den Ansatz aufgenommenen Variablen und der Versuch, die Faktoren empirisch zu identifizieren, nicht mehr möglich. Ferner wird gezeigt, daß auch in dem unrealistischen Fall einer exakten Faktorbewertung ohne unsystematisches Risiko die den Renditegenerierungsprozeß determinierenden Faktoren bekannt sein müssen. Dies steht jedoch exakt im Widerspruch zu den im Portfoliomanagement eingesetzten Ansätzen, die die bewertungsrelevanten Risikofaktoren auf empirischem Weg anhand eines statistischen Querschnittsmodells identifizieren möchten.

Notes: Abstract. This paper examines the location of duopolists on a tree. Given parametric prices, we first delineate necessary and sufficient conditions for locational Nash equilibria on trees. Given these conditions, we then show that Nash equilibria, provided they exist, can be reached in a repeated sequential relocation process in which both facilities follow short-term profit maximization objectives.

Notes: Zusammenfassung. Die Lufthansa Technical Training GmbH (LTT) ist verantwortlich für die Ausbildung des technischen Personals der Lufthansa AG und einiger anderer internationaler Fluggesellschaften. Hierzu bietet das Unternehmen ca. 670 verschiedene Typen von Lehrgängen in verschiedenen Schulungseinrichtungen an. Bei der Bestimmung eines deckungsbeitragsmaximalen Lehrgangsplanes sind neben komplexer Reihenfolgebeziehungen auch zeitliche und ressourcenbezogene Restriktionen zu beachten. Mathematisch wird die zugrundeliegende Problemstellung als Knapsack-Modell formalisiert. Zur Lösung skizzieren wir ein einfaches Prioritätsregelverfahren. Die verwendete Prioritätsregel stellt eine Kombination verschiedener gewichteter Prioritätswerte dar. Wir beschreiben ein lokales Suchverfahren zur Bestimmung geeigneter Gewichte. Die Ergebnisse auf der Basis der Frankfurter Schulungsreinrichtung des Jahres 1996 zeigen, daß die Erstellung eines Plans (ohne Datenerfassung bzw. -eingabe) in wenigen Minuten bis Stunden möglich ist, während die bisherige manuelle Planung mehr als einen Mannmonat erforderte. Weiterhin wird im Vergleich zur manuell ermittelten Lösung der Gesamtdeckungsbeitrag bei Verwendung der heuristischen Lösung um mehrere Hunderttausend DM gesteigert.

Notes: Zusammenfassung. In jüngerer Zeit werden in zunehmendem Maße Ansätze der Arbitrage Pricing Theory im praktischen Portfoliomanagement eingesetzt. Eine wichtige Klasse stellen die „fundamentalen Faktoren-Mo-delle“ dar, bei denen unternehmensspezifische Variablen, wie z.B. Kurs/Gewinn-Verhältnis, Quotient aus Buch- und Marktwert, Dividendenrendite, Unternehmensgröße, historische Betas, als bewertungsrelevante Risikofakto-ren vorab spezifiziert und in einem statistischen Querschnittsregressionsmodell empirisch auf Signifikanz geprüft werden. Eine andere Klasse von APT-Ansätzen spezifiziert die Faktoren durch makroökonomische Variablen, z.B. Inflationsrate, Zins oder Ölpreis. In einem ersten Schritt werden anhand von Zeitreihenregressionen die Sensitivitäten (Faktor-Betas) bezüglich der makroökonomischen Faktoren geschätzt, im zweiten Schritt wird die Querschnittsbeziehung zwischen Renditen und Sensitivitäten analysiert. Die zu den statistisch signifikanten Sensitivitäten gehörenden makroökonomischen Variablen werden als bewertungsrelevant angesehen. Im vorliegenden Beitrag wird gezeigt, daß eine derartige Vorgehensweise in aller Regel nicht gerechtfertigt ist und zu unzutreffenden Schlußfolgerungen in bezug auf die Bewertungsrelevanz der Risikofaktoren führen kann. Es zeigt sich, daß die den empirischen Tests zugrundeliegende Bewertungsgleichung im allgemeinen unsystematisches Risiko enthält. Als Folge davon sind sämtliche Schätzungen der Regressionskoeffizienten in der Querschnittsregression verzerrt. Damit sind die Beurteilung der Signifikanz der in den Ansatz aufgenommenen Variablen und der Versuch, die Faktoren empirisch zu identifizieren, nicht mehr möglich. Ferner wird gezeigt, daß auch in dem unrealistischen Fall einer exakten Faktorbewertung ohne unsystematisches Risiko die den Renditegenerierungsprozeß determinierenden Faktoren bekannt sein müssen. Dies steht jedoch exakt im Widerspruch zu den im Portfoliomanagement eingesetzten Ansätzen, die die bewertungsrelevanten Risikofaktoren auf empirischem Weg anhand eines statistischen Querschnittsmodells identifizieren möchten.

Notes: Abstract This paper examines irreversible decisions on innovative activities where it takes time to complete an R&D project. The total amount of R&D investments that the firm needs to undertake in order to obtain the breakthrough in the innovation process is uncertain. R&D investments are limited by the restriction that they must be self-financed. It is shown that R&D investments are more valuable when the level of uncertainty is large. Especially, it is very attractive to undertake R&D investments if a project faces many uncertainties during its early phases. Furthermore we study how R&D behavior is influenced by different levels of the discount rate and the financing limit. Moreover, the effects of R&D subsidies, spillover benefits and a payoff that decreases over time are analyzed.

Notes: Abstract. Returns of merchandise occur commonly in the retail and rental businesses. This paper presents a new continuous review (s, S) inventory system with returns. The system is fairly complicated as its performance is a function of important factors such as demand rate, return time, return rate and replenishment frequency. Based on a Markovian approach, we derive essential operating characteristics of the system, and propose an algorithm to search for the optimal replenishment parameters. The results enable us to obtain valuable insights into the rental system, such as the impact of partial returns.

Notes: Zusammenfassung. Die Einführung und Durchsetzung von Qualitätsmanagementsystemen sowohl in den Branchen als auch branchenübergreifend, insbesondere in der metallverarbeitenden Industrie, ist damit verbunden, daß in den Kunden-Lieferanten- Beziehungen Vereinbarungen über geforderte Fähigkeitskennziffern der Maschinen und Anlagen getroffen werden. Dabei treten Probleme auf, wenn mehrere Qualitätsmerkmale gleichzeitig betrachtet werden müssen und wenn die Merkmale nicht normalverteilt sind. Außerdem berücksichtigen die traditionellen Fähigkeitskennziffern die Funktionalität der gefertigten Werkstücke entweder gar nicht oder in nur ungenügender Weise. Vorgestellt werden neue Möglichkeiten zur Bewertung komplexer Merkmalsmuster, die sowohl dem multikriteriellen als auch dem zufälligen Charakter der Fähigkeitsbewertung Rechnung tragen und die genannten Nachteile vermeiden.

Notes: Abstract Problems with “blocking” (limited intermediate storage space) are used frequently for modelling and scheduling just-in-time and flexible manufacturing systems. In this paper, an approximation algorithm is presented for the problem of finding the minimum makespan in a two-machine permutation flow-shop scheduling problem with the mediating buffer of finite capacity. The algorithm is based on the tabu search approach supported by the reduced neighborhood, search accelerator and technique of back jumps on the search trajectory. Due to some special properties, the proposed algorithm provides makespans very close to optimal in a short time. It has been shown that this algorithm outperforms all known approximation algorithms for the problem stated.

Notes: Abstract. Problems with “blocking” (limited intermediate storage space) are used frequently for modelling and scheduling just-in-time and flexible manufacturing systems. In this paper, an approximation algorithm is presented for the problem of finding the minimum makespan in a two-machine permutation flow-shop scheduling problem with the mediating buffer of finite capacity. The algorithm is based on the tabu search approach supported by the reduced neighborhood, search accelerator and technique of back jumps on the search trajectory. Due to some special properties, the proposed algorithm provides makespans very close to optimal in a short time. It has been shown that this algorithm outperforms all known approximation algorithms for the problem stated.

Notes: Zusammenfassung Die Lufthansa Technical Training GmbH (LTT) ist verantwortlich für die Ausbildung des technischen Personals der Lufthansa AG und einiger anderer internationaler Fluggesellschaften. Hierzu bietet das Unternehmen ca. 670 verschiedene Typen von Lehrgängen in verschiedenen Schulungseinrichtungen an. Bei der Bestimmung eines deckungsbeitragsmaximalen Lehrgangsplanes sind neben komplexer Reihenfolgebeziehungen auch zeitliche und ressourcenbezogene Restriktionen zu beachten. Mathematisch wird die zugrundeliegende Problemstellung als Knapsack-Modell formalisiert. Zur Lösung skizzieren wir ein einfaches Prioritätsregelverfahren. Die verwendete Prioritätsregel stellt eine Kombination verschiedener gewichteter Prioritätswerte dar. Wir beschreiben ein lokales Suchverfahren zur Bestimmung geeigneter Gewichte. Die Ergebnisse auf der Basis der Frankfurter Schulungsreinrichtung des Jahres 1996 zeigen, daß die Erstellung eines Plans (ohne Datenerfassung bzw. -eingabe) in wenigen Minuten bis Stunden möglich ist, während die bisherige manuelle Planung mehr als einen Mannmonat erforderte. Weiterhin wird im Vergleich zur manuell ermittelten Lösung der Gesamtdeckungsbeitrag bei Verwendung der heuristischen Lösung um mehrere Hunderttausend DM gesteigert.

Notes: Abstract. This paper shows that Aigner and Chu's frontier production function (FPF) method is, at best, a special case of the Farrell method. That is, the FPF method implicitly creates a hypothetical decision-making-unit (DMU) from the original data and uses the frontier evaluating the hypothetical DMU to evaluate all the DMUs, which may make the estimated frontier, efficiency scores and the ranking of DMUs unidentifiable. The paper also shows that one of Sengupta's minimax methods is also at best a special case of the Farrell method (i.e., it uses the frontier evaluating the most inefficient DMU to evaluate all the DMUs), and Sengupta's other minimax method cannot produce meaningful efficiency scores and production frontiers. The Farrell method, which uses the whole piecewise linear frontier to evaluate DMUs, is concluded to be better than both the FPF and Sengupta's methods.

Notes: Abstract. This paper deals with a new discrete event simulation modeling concept, called qobj, which comes from two well-known paradigms: objects andqueuing networks. The first provides important conceptual tools for model organization, while the second one allows for nice visualization of models' internal state and processes. Thanks to the integration of these two paradigms, the qobj concept allows the suppression of several dichotomies characterizing current simulation modeling approaches. For instance, qobj allows the description of system elements which are both mobile and able to do processing, and allows the dynamic instantiation of static and mobile elements during simulation. The design of lift group models for an industrial project illustrates the main features of the qobj concept.

Notes: Zusammenfassung In der Arbeit wird gezeigt, wie mit Hilfe der Theorie der unscharfen Mengen geeignete Angebote aus Datenbanken bestimmt werden können. Zur Berechnung wird jedes der einzelnen Entscheidungskriterien durch den Kunden eingeschätzt. Seine Präferenzen werden in Zugehörigkeitsfunktionen umgesetzt. Ein geeignetes Angebot erhält man nun durch Maximierung einer Funktion, die sich als Komposition der einzelnen Zugehörigkeitsfunktionen ergibt. Für diese Verknüpfung schlagen wir den Werners-Operator vor, da er die Suche nach einem geeigneten Angebot durch Lösung einer linearen Booleschen Optimierungsaufgabe zuläßt und sensitiver auf die Kundenwünsche reagiert als der Minimumoperator. Dieser Zugang ist auch möglich bei nur verbal formulierbaren Kriterien und größeren Datenbanken.

Notes: Zusammenfassung Mit der Verabschiedung des Kreislaufwirtschafts- und Abfallgesetzes (KrW-/AbfG) hat der Gesetzgeber die Produktverantwortung über den gesamten Lebenszyklus dem Hersteller übertragen. Dieser ist zukünftig verpflichtet, die von ihm hergestellten Produkte am Ende ihrer Lebensdauer zurückzunehmen und einem qualitativ hochwertigen Recycling zuzuführen. Zur frühzeitigen Ermittlung der entscheidungsrelevanten Lebenszykluskosten sind somit die Kosten zur Demontage und Verwertung der demontierten Baugruppen und Bauteile bereits in der Phase der Produktentwicklung abzuschätzen. Die in dieser Phase vorliegende Planungsunsicherheit hinsichtlich der zukünftigen technischen und wirtschaftlichen Rahmenbedingungen kann mit Hilfe der Fuzzy Set Theorie berücksichtigt werden. Im vorliegenden Beitrag erfolgt daher die Modellierung der zukünftig zu internalisierenden Demontage- und Recyclingkosten mit Hilfe der Fuzzy Linearen Optimierung. Unternehmen werden damit in die Lage versetzt, zukünftige Recyclingkosten ihrer sich in der Entwicklung befindlichen Produkte bereits frühzeitig abschätzen und gezielt beeinflussen zu können.

Notes: Abstract. This paper examines irreversible decisions on innovative activities where it takes time to complete an R&D project. The total amount of R&D investments that the firm needs to undertake in order to obtain the breakthrough in the innovation process is uncertain. R&D investments are limited by the restriction that they must be self-financed. It is shown that R&D investments are more valuable when the level of uncertainty is large. Especially, it is very attractive to undertake R&D investments if a project faces many uncertainties during its early phases. Furthermore we study how R&D behavior is influenced by different levels of the discount rate and the financing limit. Moreover, the effects of R&D subsidies, spillover benefits and a payoff that decreases over time are analyzed.

Notes: Zusammenfassung. Mit der Verabschiedung des Kreislaufwirtschafts- und Abfallgesetzes (KrW-/AbfG) hat der Gesetzgeber die Produktverantwortung über den gesamten Lebenszyklus dem Hersteller übertragen. Dieser ist zukünftig verpflichtet, die von ihm hergestellten Produkte am Ende ihrer Lebensdauer zurückzunehmen und einem qualitativ hochwertigen Recycling zuzuführen. Zur frühzeitigen Ermittlung der entscheidungsrelevanten Lebenszykluskosten sind somit die Kosten zur Demontage und Verwertung der demontierten Baugruppen und Bauteile bereits in der Phase der Produktentwicklung abzuschätzen. Die in dieser Phase vorliegende Planungsunsicherheit hinsichtlich der zukünftigen technischen und wirtschaftlichen Rahmenbedingungen kann mit Hilfe der Fuzzy Set Theorie berücksichtigt werden. Im vorliegenden Beitrag erfolgt daher die Modellierung der zukünftig zu internalisierenden Demontage- und Recyclingkosten mit Hilfe der Fuzzy Linearen Optimierung. Unternehmen werden damit in die Lage versetzt, zukünftige Recyclingkosten ihrer sich in der Entwicklung befindlichen Produkte bereits frühzeitig abschätzen und gezielt beeinflussen zu können.

Notes: Abstract In steel production, scrap metal is used for cooling the enormous quantity of heat produced by blowing oxygen on hot metal. Scrap differs in regard to the content of iron and of some tramp elements. The price of the scrap depends on these attributes. Each melting bath unit of steel has its own material constraints for the amount of iron and tramp elements in order to guarantee the desired quality. In addition, the transportation of scrap is restricted because it needs time and space: the scrap is kept in some railroad cars in the scrap hall; empty cars must leave the hall, filled cars must be taken from several railroad tracks in the scrap yard and assembled to a train before transportation to the hall. There are upper limits for the number of cars in the hall and in the train, also for the number of railroad tracks used for assembly. Our objective is to find a minimum cost scrap combination for each melting bath unit of steel that obeys the material and transportation constraints. We model the problem using a MIP (mixed integer linear programming) approach. Real-life situations are solved with the commercial MIP-solver CPLEX. We present computational results which show significant improvement compared to the strategy applied today.

Notes: Abstract. The problem of planning instability caused by new and actualized data in material coordination systems with periodic review and replanning activities has been discussed from several viewpoints in literature and it is of great practical importance. The application of a rolling horizon planning framework in forecast-dependent inventory control leads to nervousness in the planning system caused by different order release decisions in successive planning cycles. In this paper a setup-oriented planning stability concerning deviations of planned orders in all periods of a given stability horizon in a single-stage inventory system with arbitrary stochastic demand is analyzed. The influence of an (s,S) control rule on planning stability is derived analytically. It is shown that the reorder point s does not affect stability whereas the minimum reorder quantity $S-s$ has a considerable impact. Especially, it is analyzed how planning stability depends on the length of the stability horizon, on period-specific weights, and on the accuracy of demand forecasts.

Notes: Zusammenfassung. In der Klimarahmenkonvention wie auch in anderen internationalen Abkommen zum Umweltschutz wird eine länderübergreifende Kooperation zur Minderung von Emissionen vorgesehen. Dabei erhalten Investoren Emissionsgutschriften für Emissionsminderungen in Drittländern. Um in nationale Strategien auch internationale Kompensationsansätze integrieren zu können, werden nationale Energie- und Stoffflußmodelle über einen Dekompositionsalgorithmus miteinander verknüpft. In einem iterativen Prozeß werden dabei die Grenzausgaben für eine CO $_{2}$ -Minderung in der Bundesrepublik Deutschland, die den Nachfragepreis nach Kompensationsprojekten wiedergeben und die Grenzausgaben für eine CO $_{2}$ -Minderung in Gastgeberländern, die den Angebotspreis darstellen, in ein Gleichgewicht gebracht. Die durchgeführten Analysen zeigen, daß durch Kompensationsansätze eine deutliche Reduzierung der gesamten Ausgaben für eine Emissionsminderung in der Bundesrepublik Deutschland erreichbar ist.

Notes: Abstract Long-term unemployment in Romania has grown in both absolute and relative terms in the last few years, leading to increased expenditures, both absolutely and in relation to unemployment benefits, for the support allowance and social assistance programs and for pensions to labor force drop-outs. The paper uses a variety of data sources, including registration information, labor force surveys, and our own survey of registered unemployed (SRU) to describe these trends in the characteristics of Romanian unemployment and to examine differences across unemployment benefit (UB), short-term and long-term support allowance (SA) recipients. We employ the data to estimate the transition flow probability from the UB to the SA program; discuss the work incentives, income maintenance effects, and public costliness of the labor market and social insurance (including pension and disability) policies; and investigate the effects of the policies and of other characteristics of the unemployed and the areas where they live on the hazard for the escape rate from unemployment for UB and SA recipients separately.

Notes: Abstract This paper provides a comprehensive account of the regulations governing the systems of unemployment support and social assistance in post-communist Poland. To provide a solid foundation for a further discussion of these issues, the paper extensively characterizes the Polish labor force in terms of the prevalence and duration of unemployment. A final aspect of our empirical analysis concerned the question of what are the main sources of personal income for labor force participants, unemployed workers and long-term unemployed workers. In conclusion, we argue for a reform of the Polish systems of income support that separates the objectives of employment growth and poverty alleviation, and that improves upon the implementation of support schemes.

Notes: Abstract In this paper we provide an account of most of the passive labor market policies (unemployment compensation, social assistance, state social support and the pension system) in the Czech Republic during the 1990–1996 period. The eligibility requirements and benefit levels are described in great detail. Using Labor Force Survey data, we compare the characteristics of unemployed people receiving unemployment benefits with those receiving social assistance and those not receiving any benefits and we find significant differences in their characteristics. Finally, we provide an analysis of the work disincentive effects of the unemployment and social assistance benefits by comparing these benefits to market wages and by analyzing the effect of being in the system on the duration of unemployment of two cohorts of unemployed in 1994 and 1995. We find that social assistance benefits are fairly generous for low income families with more children, individuals with these characteristics have a higher probability of receiving social assistance and they tend to stay unemployed longer than those people with relatively fewer dependants. We conclude that the social assistance scheme seems to be having some disincentive effects for at least one group in the population.

Notes: Abstract The compensation levels, duration structure and means-tested aspects of the income support system for the unemployed in Bulgaria are considered. The available evidence points to the emergence of long term unemployment as a major problem, to a system of social assistance (SA) which is not overly generous and to growing poverty. Nevertheless, econometric analysis using micro data indicates that disincentives for job search exist for SA recipients. In the context of an acute fiscal crisis, systemic efficiency might be improved by restricting access to some benefits, by some changes in scaling, in moves towards targeted contributions and in improvements in administrative capacity.

Notes: Abstract. Non-employment rates in all central and eastern European countries have increased dranatically thoroughout the transition and are currently larger than those of the lowest income OECD countries. Non-employment benefits other than unemployment benefits are providing income support to this growing number of able-bodied individuals out of work. Under the present design of unemployment benefits and social assistance, there may be serious incentive problems related to the shift from unemployment benefits to other, means-tested, non-employment benefits and this shift occurs in transition countries at rather early stages of an unemployment spell; these incentive problems are bound to become particularly acute in a less inflationary environment.

Notes: Abstract The topic of this paper is the transition from unemployment benefit schemes to social assistance in seven European OECD countries. The unemployment benefit schemes are formally quite different in the seven countries. Most are mandatory but Denmark and Sweden have voluntary unemployment insurance and Finland has a mandatory basic scheme with a voluntary income related component on top of that. Self employed people can join the U.B. schemes in the 3 Scandinavian countries. All the U.B. schemes have working or contribution conditions to be met by the members in order to obtain eligibility for benefits. These conditions are relatively tight in the Netherlands, France and Sweden and relatively easy in Denmark and Great Britain with Germany and Finland in between (based on rules in 1994–95). Recent developments in several countries have been to tighten the access conditions to the U.B. schemes and from 1997 Denmark will be ‘on line’ with Germany. The Netherlands have tightened the access criteria very significantly in 1995. There is a considerable variation as far as the duration of the unemployment benefit period is concerned. Sweden has a benefit period in fact without effective time limitations. The Danish benefit period is also very long, 7 years now being reduced to 5 years. 5 years is also the maximum duration in the Netherlands and in France, but only after many years of work and after a relatively high age has been reached. The maximum period in Germany, 22/3 years, also requires a long work history and a relatively high age. Finland and Great Britain have uniform benefit period (just as in Denmark and Sweden), in Finland it is appr. 2 years (longer for elderly unemployed just as in Sweden and Denmark) and in Great Britain it was 1 year but from October 1996 it was reduced to 1/2 year. The differences in the duration of the benefit periods between the seven countries are very considerable. As already mentioned, there has been a tendency to reduce the benefit period in several countries. Such a change is also being considered for the ‘never ending’ benefit period in the Swedish U.B. scheme. The benefit formula is purely flat rate in Great Britain and income related in the other countries. There is a maximum benefit level in 5 of these countries, but not in Finland, where the compensation is stepwise decreasing with increasing income. In the 5 countries with income related benefits and a maximum benefit level, this maximum level is reached at a relatively low income in Denmark (2/3 APW income) and Sweden (close to APW income) and at a relatively high income in the Netherlands (appr. 1.5 APW income) and Germany (appr. 1.7 APW income) and at a very high income level in France. France is the only country among the 7, where the benefits after an initial period are being reduced regularly (every 4 months) in the benefit period down to a minimum level. Sweden and Germany have reduced the benefit levels in recent years. Denmark has the highest gross compensation percentage, 90, in relation to lost income, but it is only effective over a relatively narrow income interval, from approx. 133,000 DKK to 162,000 DKK (1996), ‘between’ the min. and max. U.B. rates. According to the 3 institutional criteria applied here, access to the schemes, duration of the benefit period and the type of benefit formula, the U.B. schemes of the seven countries studied are very different. The exit scheme from U.B is social assistance in most of the countries, but not in Germany, where it is possible to continue in a scheme with lower compensation but still income related. For Sweden it is hardly meaningful to speak of an ‘exit scheme’ when the U.B. insurance is without effective time limitations. The exit schemes in the other countries are all characterized by having flat rate benefits. All the exit schemes are means tested and this is a crucial difference to the U.B. schemes, and they are without time limitations. Means testing and no effective time limitations are usual characteristics for social assistance and social assistance like schemes. In all the countries, except in Denmark and Sweden, there is ‘topping-up’ from social assistance to a guaranteed minimum level disregarding the income sources. In the two Scandinavian countries mentioned, a ‘social event’, i.e. illness or unemployment, is required in order to be eligible for social assistance benefits. Net replacement rates are used to illustrate the levels of compensation within the U.B. and the S.A. schemes, to identify possible incentives problems, and to illustrate the economic implications of the transition from U.B. to S.A. schemes. The net replacement rates presented are calculated by using the ‘disposable income after net housing costs’ income concept. The calculations include several family types, singles and couples with and without children and for the couples with one or two incomes. A general result but with some modifications, cf. the following, could be that the U.B. based replacement rates usually are higher than the S.A. based, but that the difference is minor when the U.B. scheme is flat rate or income related with a maximum benefit level being reached at a relatively low income, for Great Britain there are in several cases no difference at all. The ‘topping-up’ has the implication that the U.B. and S.A. based replacement rates are often identical at the lower end of the income scale. The very high S.A. based replacement rates (well over 100 per cent) often seen for Denmark and Sweden at low income levels do not necessarily imply, that social assistance in those two countries is more generous than in the other countries, it is very much an effect of not having more or less automatic ‘topping-up’ to a guaranteed minimum income level when earned income is low. The single parent family type seems to have incentives problems at relatively low income levels in most of the countries, especially when receiving U.B., she may temporarily be caught in the ‘unemployment trap’. The one earner couple with children may also be exposed to the ‘unemployment trap’ but on a more permanent basis. The S.A. based replacement rates for this family type are extraordinarily high (and higher than the U.B. based) in Denmark and Sweden, where this family type, however, is very rare. For the two earner family (where one of the spouses always has earned income) the means testing of S.A. makes an impact on the S.A. based net replacement rates, they are in most cases substantially lower than the U.B. based. The results of the net replacement calculations indicate no or only minor economic implications by a transition from U.B. to S.A. in the lower end of the income scale while the effect in most cases will be more substantial in the higher end of the income scale. This is not always the case in Sweden and Denmark where S.A. for some family types are preferable to U.B. and where the difference in other cases may be so small, that it implies incentives problems for joining the voluntary U.B. scheme. The calculation of ‘long term’ (5 years) net replacement rates for families at a low income level (the point in the income distribution where only 5 per cent have lower income) and only including one earner families, reveals that either the long benefit period in the U.B. scheme (Sweden and Denmark) or ‘topping-up’ (Germany, the Netherlands and Great Britain) generate ‘constant’ net replacement rates, and quite high ones, at low income levels. Only in France and to some extent in Finland will there be a decrease in net replacement rates over time. Most of the differences concerning the duration of unemployment benefit periods and to some extend the benefit formulas have no effect on the long term net replacement rates. At higher income levels the time limitations in the U.B. schemes will be visible again, except in Great Britain where the U.B. and S.A. benefits are almost identical. It is not possible to point out a ‘worst’ country wi

Notes: Abstract This paper examines several central issues in the empirical modeling of money demand. These issues include economic theory, data measurement, parameter constancy, the opportunity cost of holding money, cointegration, model specification, exogeneity, and inferences for policy. Review of these issues at a general level is paralleled by discussion of specific empirical applications, including some new results on the demand for narrow money in the United Kingdom.

Notes: Abstract We derive a theoretical model for the demand for money using the adjustment cost augmented money-in-the-utility-function approach. The steady-state-utility function-parameters of the model of narrow money (M1) estimated with cointegration techniques are stable over the foreign exchange rate regime shift; whereas in the model of harmonized M3 (M3H) they arenot stable. The theoretical model fits the M1 data. The adjustment cost parameters of the M1 model describing the dynamics of the demand for money might indicate technological improvements in banking and payments during the sample period. These results suggest that from the Finnish point of view M1 would be a more appropriate intermediate target for monetary policy than harmonized M3.

Notes: Abstract. The compensation levels, duration structure and means-tested aspects of the income support system for the unemployed in Bulgaria are considered. The available evidence points to the emergence of long term unemployment as a major problem, to a system of social assistance (SA) which is not overly generous and to growing poverty. Nevertheless, econometric analysis using micro data indicates that disincentives for job search exist for SA recipients. In the context of an acute fiscal crisis, systemic efficiency might be improved by restricting access to some benefits, by some changes in scaling, in moves towards targeted contributions and in improvements in administrative capacity.

Notes: Abstract. The stability of German money demand has been analyzed in a series of papers in recent years, especially since unification. In this paper the critical question of stability is reviewed, using various estimation techniques and testing procedures for long-run stability. To take financial innovations into account, the opportunity cost measure is calculated by differentiating between traditional savings deposits and special savings facilities, which are a major form of financial innovation in Germany. Overall, there are strong indications of a stable long-run money-demand relationship.

Notes: Abstract. Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is analysed.  The results indicate that shifts affecting the demand for ALP2 in recent years have substantially altered its long-run properties. As to the cause of this structural break, emphasis is placed on the role played by the increasing openness of the Spanish financial system to international markets as obstacles to free capital movements have progressively disappeared.

Notes: Abstract: This paper develops a constant, data-coherent, equilibrium correction model for broad money demand (M3) in Greece over 1976–1994. The aggregate M3 was targeted until recently, and current monetary policy still uses such aggregates as guidelines. In spite of financial innovation, financial liberalization, and large fluctuations in the inflation rate, the estimated model is remarkably stable. Dynamics are important, with price and income elasticities being much smaller in the short run than in the long run. The model provides a better understanding of the portfolio consequences of financial innovation and the effects of monetary policy in Greece.

Notes: Abstract. The paper presents a comparative analysis of monetary transmission mechanisms and changes in them after the “second ERM” in March 1983. The empirical model investigates the determination of money, income, prices, and interest rates in Germany, Denmark, and Italy based on the cointegrated VAR model. It provides empirical results on the macroeconomic effects of joining the ERM and financial deregulation.

Notes: Abstract. This study presents the results of an empirical analysis of the demand for money in the European Union as a whole over the period 1971–1995, with a particular focus on the impact of financial wealth. The empirical evidence shows a substantial impact of wealth on the demand for M2 and M3, whereas no influence of wealth on the demand for M1 is found. This finding may explain the remarkable increase of the broad monetary aggregates over the last decade or so. This means that taking into account the growth of wealth, the monetary expansion has been fairly modest. The evidence thus indicates that the strong increase of M2 and M3 should be attributed to portfolio investment considerations rather than to an expansionary monetary policy.

Notes: Abstract This study empirically tests the hypothesis that trade liberalization increases capacity utilization. It calculates capacity utilization for the Turkish rubber industry by using a production theory framework. More specifically, plant-level capacity utilization levels are calculated using a Generalized Leontief cost function system. Capacity utilization levels were low but improved when the trade regime shifted from a restrictive to a more liberalized one. The size and location of plants were two significant factors which created capacity utilization differences within the industry. However, capacity utilization levels appeared to improve primarily because of trade liberalization.

Notes: Abstract This paper develops a dynamic analysis of the trade balance to investigate the roles of supply and demand shocks. It also introduces global shocks in the analysis to take into account the comovement of income across countries. The results, based on the long-run historical data and a structural VAR analysis, show that, in the U.K., Australia, Canada, and Sweden, domestic and global supply shocks, while dominant causes in long-term and cyclical changes in output, are unimportant for the trade balance. The trade balance is explained mostly by shocks that cause transitory changes in income. Transitory income shocks cause income and the trade balance to move in opposite directions in all countries except Sweden. The countercyclical behavior of the trade balance seems to be a robust feature in the U.K. and Canada but not in the smaller economies of Australia and Sweden.

Notes: Abstract The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.

Notes: Abstract The decline in the service flow from a stock of capital goods with age, due to the physical retirement of capital units and to the gradual loss of efficiency of each unit remaining, can be described by survival curves and efficiency curves. The paper reconsiders the relationship between these curves and the vintage prices of capital under neo-classical assumptions about perfect second hand markets and malleability, using duality between quantites and prices. Three examples with parametric survival and efficiency curves are presented. Concavity of the survival and efficiency curves may be compatible with convexity of the age-price profile. This approach is contrasted with the frequently cited Hulten-Wykoff approach. Empirical illustrations, focusing on the cenvexity/concavity issue, are given.

Notes: Abstract. This paper examines the dynamics of deviations from covered interest parity using daily data on the UK/US spot, forward exchange rates and interest rates over the period January 1974 to September 1993. Like other studies we find a substantial number of instances during the sample in which the covered interest parity condition exceeds the transaction costs band, implying arbitrage profit opportunities. While most of these implied profit opportunities are relatively small, there is also evidence of some very large deviations from covered interest parity in the sample. In order to examine the persistence of these deviations, we estimated a threshold autoregression in which the dynamics behavior of deviations from covered interest parity is different outside the transaction costs band than inside them. We find that while the impulse response functions when inside the transaction costs band are nearly symmetric, those for the outside the bands are asymmetric-suggesting less persistence outside of the transaction costs band than inside the band.

Notes: Abstract. This paper examines the determinants of the prices of domestic and imported goods in the domestic market using time-series data for a broad sample of Canadian manufacturing industries. It is found that the costs of both goods are the fundamental determinants of their prices, that the pass-through of costs into prices depends on the levels of domestic and import costs, real income per capita and concentration, and that factors which increase the sensitivity of both prices to domestic costs also reduce their sensitivity to import costs. In addition, it appears that the way in which prices are determined differs between industries with low versus high advertising-sales ratios.

Notes: Abstract. The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.

Notes: Abstract. Using a new survey data set of matched exchange rate and interest rate expectations for eight currencies relative to the German mark, we examine empirically the relationship between exchange rate returns, `news' and risk premia. “News” on interest differentials enters significantly in equations for the difference between the spot rate and the lagged forward rate for the British pound, Japanese yen, Spanish peseta and the US dollar. An unexpected rise in the interest rate differential tends to strengthen the domestic exchange rate. For each of these currencies, we also find significant effects of our ex-ante measure of the risk premium. In addition, we investigate the effect of lagged interest rate differentials as proxy for the risk premium and find that they do not capture time-varying risk premia as is widely suggested in the literature, but probably capture a peso-problem, learning about a policy change, a market-inefficiency or a combination of these factors.

Notes: Abstract. This study empirically tests the hypothesis that trade liberalization increases capacity utilization. It calculates capacity utilization for the Turkish rubber industry by using a production theory framework. More specifically, plant-level capacity utilization levels are calculated using a Generalized Leontief cost function system. Capacity utilization levels were low but improved when the trade regime shifted from a restrictive to a more liberalized one. The size and location of plants were two significant factors which created capacity utilization differences within the industry. However, capacity utilization levels appeared to improve primarily because of trade liberalization.

Notes: Abstract. This paper develops a dynamic analysis of the trade balance to investigate the roles of supply and demand shocks. It also introduces global shocks in the analysis to take into account the comovement of income across countries. The results, based on the long-run historical data and a structural VAR analysis, show that, in the U.K., Australia, Canada, and Sweden, domestic and global supply shocks, while dominant causes in long-term and cyclical changes in output, are unimportant for the trade balance. The trade balance is explained mostly by shocks that cause transitory changes in income. Transitory income shocks cause income and the trade balance to move in opposite directions in all countries except Sweden. The countercyclical behavior of the trade balance seems to be a robust feature in the U.K. and Canada but not in the smaller economies of Australia and Sweden.

Notes: Abstract. The decline in the service flow from a stock of capital goods with age, due to the physical retirement of capital units and to the gradual loss of efficiency of each unit remaining, can be described by survival curves and efficiency curves. The paper reconsiders the relationship between these curves and the vintage prices of capital under neo-classical assumptions about perfect second hand markets and malleability, using duality between quantites and prices. Three examples with parametric survival and efficiency curves are presented. Concavity of the survival and efficiency curves may be compatible with convexity of the age-price profile. This approach is contrasted with the frequently cited Hulten-Wykoff approach. Empirical illustrations, focusing on the cenvexity/concavity issue, are given.

Notes: Abstract Increasingly firms are being encouraged to move away from traditional, transactional marketing and instead adopt a relationship marketing orientation. Concurrently another emerging academic concept is entrepreneurial marketing. Interest in this latter area has, in part, been stimulated by research on marketing processes within the SME sector. It is proposed that the merger of relationship and entrepreneurial marketing might result in 4 alternative marketing styles. To determine whether these styles exist, a mail survey of 300 small UK manufacturing firms was undertaken in the summer of 1996. The survey tool used the Covin/Slevin entrepreneurial measurement scale and a new scale developed specifically to measure relationship marketing style. Competence was measured by seeking managing directors' assessment of the current capability of their firm in the areas of positioning, innovation, H.R.M., employee productivity, quality and information management. Applying ANOVA to the responses from 104 firms suggests that respondent firms can be classified into 4 different marketing styles and that an orientation towards an entrepreneurial-transactional marketing style will generate the highest overall sales growth rate. Discriminant function analysis indicates that relationship orientated firms exhibit higher competences in areas such as the management of quality and the utilisation of information to enhance decision-making. The implications of these findings in relation to the future provision of support services to smaller firms are discussed, as is the need for further research.

Notes: Abstract The marketing literature makes a distinction between products and services. We argue that, in the Internet, the characteristic features of services disappear making services more like products. Is it therefore necessary or even possible to differentiate products from services on the Internet? In this paper we review the basic assumptions about services. We show that these assumptions are no longer valid in Web-based marketing. We review the traditional service model and show that it is no longer sufficient for modeling electronic services. We propose an expanded model, the electronic marketing model, which does not necessitate the distinction between products and services. Instead, the model prompts managers to focus on the key player—the customer.

Notes: Abstract As the use, development, and control of information systems diffuses through organizations and society, the importance of the information technology help desk in effective management and use of information resources increases. This study examines service encounters with help desks to understand the events and behaviors that cause customers to distinguish very satisfactory from very dissatisfactory service. While considerable research has investigated the determinants of customer satisfaction with service encounters in retail industries such as airlines, restaurants, and hotels, there has been little work investigating the dimensions of professional service encounters. Using the critical incident technique, the authors analyzed over 500 incidents from customers of information services. Help desk critical incidents were classified into three broad categories which were further subdivided into 12 categories which lead to satisfaction and dissatisfaction. The three broad categories, core service delivery failures, customer situation, and helper characteristics and behavior, were consistent with categories found in previous service encounter research, while the subcategories were different in several ways. This suggests that some dimensions of service encounter satisfaction are consistent across service industries, while others are context specific.