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  • Articles  (46,186)
  • Blackwell Publishing Ltd  (46,186)
  • 1995-1999  (25,582)
  • 1980-1984  (20,446)
  • 1925-1929  (158)
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  • Articles  (46,186)
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  • 101
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    Electronic Resource
    THE PALAEOECOLOGY OF TASEK BERA, A LOWLAND SWAMP IN PAHANG, WEST MALAYSIA (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 2 (1981), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1981.tb00118.x
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  • 102
    Electronic Resource
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    VARIATION OF SOIL CHEMICAL PROPERTIES OVER NIGERIAN SAVANNA (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 16 (1996), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Notes: An analysis of relationships between selected soil chemical properties and parameters of parent material, climate and relief was undertaken for the savanna of north central Nigeria. Step by step examination of individual properties and the environmental parameters reveals numerous invariably disparate relationships often explicable in terms of local conditions. However, an analysis of covariance involving all variables shows that variations in base elements and cation exchange capacity are more strongly related to lithology than climatic or relief parameters. Soil pH and base saturation percentage, on the other hand, are influenced more by rainfall than parent material, altitude and slope position. Temperature and slope gradient are relatively unimportant in the variability of all soil properties. On the whole, the soil properties show significantly greater values over basalt, shale and alluvium than gneiss, schist and colluvium which in turn show greater values than sandstone, granite, granite gneiss, aeolian and ironpan-rich deposits. Exchangeable cations and cation exchange capacity increase with an increase in rainfall, altitude and downslope position while pH and base saturation per cent show a decreasing trend.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1995.tb00073.x
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  • 103
    Electronic Resource
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    THE NON-ECONOMIC FACTORS IN RURAL-URBAN MIGRATION IN THAILAND (1984)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 5 (1984), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1984.tb00155.x
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  • 104
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    THE ROLE OF PARATRANSIT IN SOUTHEAST ASIAN CITIES (1984)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 5 (1984), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1984.tb00145.x
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  • 105
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    THE ROLE OF STANDING WATER AND WATER-LOGGED SOILS IN RAISED-FIELD, DRAINED-FIELD AND ISLAND-BED AGRICULTURE (1984)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 5 (1984), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1984.tb00146.x
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  • 106
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    THE VEGETATIONAL CHANGES OF THE LAST 20,000 YEARS AT TELEFOMIN, PAPUA NEW GUINEA (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 4 (1983), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1983.tb00129.x
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  • 107
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    THE ARCHIPELAGIC CONCEPT AND ITS IMPACT ON SOUTHEAST ASIA (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 4 (1983), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1983.tb00130.x
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  • 108
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    THE DROUGHT OF 1970–77 IN UPPER VOLTA (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 4 (1983), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1983.tb00132.x
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  • 109
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    ATTITUDES AND ADJUSTMENTS TO THE FLOOD HAZARD IN A MIXED ETHNIC COMMUNITY IN MALACCA TOWN, PENINSULAR MALAYSIA (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 4 (1983), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1983.tb00131.x
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  • 110
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    International R&D Rivalry and Industrial Strategy without Government Commitment (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 4 (1996), S. 0 
    Details
    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: We examine optimal industrial and trade policies in a series of dynamic oligopoly games in which a home and a foreign firm compete in R&D and output. Alternative assumptions about the timing of moves and the ability of agents to commit intertemporally are considered. We show that the home export subsidy, R&D subsidy and welfarc are higher when government commitment is credible than in the dynamically consistent equilibrium without commitment. Commitment thus yields welfare gains (though they are small) but so does unanticipated reneging, whereas reneging which is anticipated by firms yields the lowest welfare of all.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1996.tb00107.x
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  • 111
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    Time-Series Support for Balassa's Productivity-Bias Hypothesis: Evidence from Korea (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 4 (1996), S. 0 
    Details
    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: In this paper we use the Johansen and Juselius cointegration technique and quarterly data over the period 1979–1993 to test the productivity-bias hypothesis between Korea and four of its major trading partners (Germany, Japan, the United Kingdom, and the United States). The results show that in all four cases the deviation of purchasing-power parity (PPP) from the equilibrium exchange rate has a long-run relationship with the productivity ratios, supporting the notion that as Korea becomes relatively more productive, the Korean won appreciates in real terms.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1996.tb00110.x
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  • 112
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    Akira Takayama: A Memoir (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 4 (1996), S. 0 
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    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: When Akira Takayama passed away this winter, the economics profession lost one of its most productive and most passionate members. This memoir catalogues Professor Takayama's publications and offers some insight into his contributions and personality from a few of his colleagues.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1996.tb00111.x
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  • 113
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    Special ProfileJames E. Meade, 1907–1995 (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 4 (1996), S. 0 
    Details
    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1996.tb00112.x
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  • 114
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    International Economic Policy in the 1990s (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 4 (1996), S. 0 
    Details
    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1996.tb00114.x
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  • 115
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    Reforming Planned Economies in an Integrating World Economy (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 4 (1996), S. 0 
    Details
    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1996.tb00115.x
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  • 116
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    Incentive Pay, Worker Effort, and Trade Protection (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Review of international economics 4 (1996), S. 0 
    Details
    ISSN: 1467-9396
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Positive and normative aspects of trade policy are examined when firms offer incentive pay to workers, such as piece-rate pay and profit sharing, to deal with worker moral hazard. Protection increases the incentive pay rate. Its effect on effort depends upon the degree of labor mobility and the type of the incentive pay. In the presence of a piece-rate pay, protection induces second-order welfare losses. But in the presence of profit sharing, there is a direct impact of protection on the incentive-compatibility constraint facing firms and hence there is a first-order positive effect on welfare.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9396.1996.tb00092.x
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  • 117
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    MIGRATION AND THE TRANSFORMATION OF EMPLOYMENT AND HOUSEHOLD STRUCTURES (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00228.x
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  • 118
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    HUMAN ECOLOGY RESEARCH ON TROPICAL AGROECOSYSTEMS IN SOUTHEAST ASIA (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00232.x
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  • 119
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    BEYOND THE GEOGRAPHY OF DEVELOPMENT (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 2 (1981), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1981.tb00120.x
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  • 120
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    SEDIMENTATION PATTERNS IN A MANGAL ON MAGNETIC ISLAND NEAR TOWNSVILLE, NORTH QUEENSLAND, AUSTRALIA (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00233.x
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  • 121
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    DUNES OF FRIDAY ISLAND, TORRES STRAIT, NORTH QUEENSLAND (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 2 (1981), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1981.tb00124.x
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  • 122
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    THE RELATIONSHIP BETWEEN PUERTO RICO'S ECONOMIC STRUCTURE AND DEVELOPMENT (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 2 (1981), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1981.tb00125.x
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  • 123
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    Is the Preference for Children so Low, or is the Price of Time so High? A simultaneous model of fertility and participation in Italy with cohort effects (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 10 (1996), S. 0 
    Details
    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: : This paper presents a simultaneous model of fertility and female participation in Italy, estimated with a sequence of cross-sections of micro data. Cohort dummies are used to capture permanent effects, including cohort changes in preferences. The cohort effects turn out to be not very significant, the point estimates suggesting a decreasing trend in participation and an increasing trend in fertility. The wage effects are instead rather strong and significant. The model produces simulations which are close to actual trends, which would seem largely explained by wage incentives. The explanation for a particularly high elasticity of fertility with respect to female wage should ultimately be searched for in the specific differences which characterize the Italian social and institutional environment.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1996.tb00096.x
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  • 124
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    The Effect of the Supply of Subsidized Day-care Facilities on Female Labour Supply (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 10 (1996), S. 0 
    Details
    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: : In this article the hypothesis that a higher level of subsidized day-care facilities leads to an increase in female labour supply is tested for the Netherlands on the basis of two surveys. The results show that (allowing for the women's wage rate, her non-labour income, her age, and the presence of children) labour supply is higher when subsidized day-care supply is higher. However, after including variables that reflect social norms the effect of day-care supply on female labour supply, though still positive and significant, becomes much weaker.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1996.tb00100.x
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  • 125
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    Heterogeneity and Unemployment Duration (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 10 (1996), S. 0 
    Details
    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: : Various unemployment duration models are estimated on a large Norwegian dataset covering labour market history 1.1.1989-31.12.1992 for all persons who became unemployed during October 1990. As many unemployed leave the unemployment register without going directly to a job, two alternative definitions of unemployment are used — register unemployment and joblessness. The problem of heterogeneity is addressed both by partitioning the individuals into four categories by previous unemployment history, and by including a random term in the job hazard. Observed as well as unobserved heterogeneity affects the estimates of expected duration to a great extent. When gamma-distributed unobserved heterogeneity is accounted for, the estimates of duration dependence become more positive relative to models where unobserved heterogeneity is ignored. Among persons who are entitled to unemployment benefit, the duration dependence appears to be significantly positive. Alternative specifications of the baseline hazard hardly affect estimates of the effects of the covariates on duration.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1996.tb00085.x
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  • 126
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    Immigration and Occupational Crowding in the United States (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 10 (1996), S. 0 
    Details
    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: : The 1990 National Longitudinal Survey of Youth is utilized to explore the effects that the occupational crowding of immigrants has on the real wages of indigenous and non-US citizen workers already in the United States. Findings include adverse wage effects as a result of the crowding of immigrants on the following worker categories: (1) indigenous, unskilled, white or black workers and (2) non-US citizen, skilled or unskilled black workers. Foreign-born, skilled, and white workers already in the US realize a positive effect on their real wages as a result of having a large relative number of non-US citizens in their occupations.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1996.tb00089.x
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  • 127
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    An Integrated Model of Cumulative Growth: Empirical Evidence for Nine OECD Countries, 1960-1990 (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 10 (1996), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: : This paper is an empirical analysis of the interaction between the dynamics of demand, productivity and employment in nine industrial countries: the United States, Canada, Japan, West Germany, France, Italy, the United Kingdom, the Netherlands and Belgium, 1960-1990. Its theoretical framework derives from the Kaldorian approach to cumulative growth in both its external and internal causation versions. The model we adopt is of an integrated kind, in which foreign demand is determined endogenously and domestic demand is divided into various component parts: exogenous for the public sector and endogenous for the private. More specifically, this is carried out by describing the way the dynamics of private consumption and private investments depend on economic variables located in the spheres of distribution and of technology, so that we can consider the operations of income compensation effects induced by technological change — via changes in income and its social distribution — as well as price compensation effects— the higher competitiveness of national products in foreign markets — mediated through the dynamics of exports.
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    URL: http://dx.doi.org/10.1111/j.1467-9914.1996.tb00080.x
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  • 128
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    MINIMIZING TRANSACTION COSTS OF OPTION HEDGING STRATEGIES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper introduces a method for constructing option hedging strategies in the presence of transaction costs. the approach begins with the prescription of a large, but tractable class of strategies. A variational problem is constructed in which the expected square replication error is minimized subject to a fixed initial portfolio value from among the class of strategies. the solution of this variational problem results in a replicating strategy which simulations show outperforms strategies previously considered. We illustrate this method in a particular class of strategies which contains Leland's discrete time replication scheme. We show that a strategy which uses varying time intervals between hedging can significantly reduce replication error for a given initial wealth. We will also construct and assess strategies obtained by optimizing a mean-variance criterion. This methodology extends to other optimization problems involving initial portfolio value and expected square replication error, as well as to other classes of strategies.
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    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00121.x
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  • 129
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    ERRATUM TO “A STOCHASTIC EXTENSION OF THE MILLER-MODIGLIANI FRAMEWORK” (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00124.x
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  • 130
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    A YIELD-FACTOR MODEL OF INTEREST RATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with “stochastic volatility.” the yield of any zero-coupon bond is taken to be a maturity-dependent affine combination of the selected “basis” set of yields. We provide necessary and sufficient conditions on the stochastic model for this affine representation. We include numerical techniques for solving the model, as well as numerical techniques for calculating the prices of term-structure derivative prices. the case of jump diffusions is also considered.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00123.x
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  • 131
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    PRICING AND HEDGING DOUBLE-BARRIER OPTIONS: A PROBABILISTIC APPROACH (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Barrier options have become increasingly popular over the last few years. Less expensive than standard options, they may provide the appropriate hedge in a number of risk management strategies. In the case of a single-barrier option, the valuation problem is not very difficult (see Merton 1973 and Goldman, Sosin, and Gatto 1979). the situation where the option gets knocked out when the underlying instrument hits either of two well-defined boundaries is less straightforward. Kunitomo and Ikeda (1992) provide a pricing formula expressed as the sum of an infinite series whose convergence is studied through numerical procedures and suggested to be rapid. We follow a methodology which proved quite successful in the case of Asian options (see Geman and Yor 1992,1993) and which has its roots in some fundamental properties of Brownian motion. This methodology permits the derivation of a simple expression of the Laplace transform of the double-barrir price with respect to its maturity date. the inversion of the Laplace transform using techniques developed by Geman and Eydeland (1995), is then fairly easy to perform.
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  • 132
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    PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Stochastic dominance (SD) is a very useful tool in various areas of economics and finance. the purpose of this paper is to provide the results of SD relations developed in other areas such as applied probability which, we believe, are useful for many portfolio selection problems. In particular, the bivariate characterization of SD relations given by Shanthikumar and Yao (1991) is a powerful tool for the demand and the shift effect problems in optimal portfolios. the method enables one to extend many results that hold for the case where the underlying lying assets are statistically independent to the dependent case directly.
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  • 133
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    MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study the pricing of American options on two stocks without expiration date and with payoff functions which are positively homogeneous with respect to the two stock prices. Examples of such options are the perpetuai Margrabe option, whose payoff is the amount by which one stock outperforms the other, and the perpetual maximum option, whose payoff is the maximum of the two stock prices Our approach to pricing such options is to take advantage of their stationary nature and apply the optional sampling theorem to two martingales constructed with respect to the risk-neutral measure the optimal exercise boundaries, which do not vary with respect to the time variable, are determined by the smooth pasting or high contact condition the martingale approach avoids the use of differential equations.
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    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00118.x
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    CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In markets where dealers play a central role, bid-ask spreads inhibit asset valuation as defined by the formation cost of a replicating portfolio. We introduce a nonlinear valuation formula similar to the usual expectation with respect to the risk-adjusted probability measure. This formula expresses the asset's selling and buying prices set by dealers as the Choquet integrals of their random payoffs We investigate several price puzzles: the violation of the put-call parity and the fact that the components of a security can sell at a premium to the underlying security (primes and scores).
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    OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In the stochastic volatility framework of Hull and White (1987), we characterize the so-called Black and Scholes implied volatility as a function of two arguments the ratio of the strike to the underlying asset price and the instantaneous value of the volatility By studying the variation m the first argument, we show that the usual hedging methods, through the Black and Scholes model, lead to an underhedged (resp. overhedged) position for in-the-money (resp out-of the-money) options, and a perfect partial hedged position for at the-money options These results are shown to be closely related to the smile effect, which is proved to be a natural consequence of the stochastic volatility feature the deterministic dependence of the implied volatility on the underlying volatility process suggests the use of implied volatility data for the estimation of the parameters of interest A statistical procedure of filtering (of the latent volatility process) and estimation (of its parameters) is shown to be strongly consistent and asymptotically normal.
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    INFINITE HORIZON INCOMPLETE MARKETS WITH A CONTINUUM OF STATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we address existence of equilibria in an incomplete markets economy with countably many periods and a continuum of states at each node of the infinite tree. We consider two models: one where agents have to honor their commitments and another where default is allowed. In both models, marginal utility of income, at each node, is shown to be bounded, and we prove existence by taking finite-dimensional approximations and applying Fatou's lemma sequentially.
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    GENERAL EQUILIBRIUM WITH CONSTANT RELATIVE RISK AVERSION AND VASICEK INTEREST RATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider a pure exchange economy consisting of a single risky asset whose dividend drift rate is modeled as an Omstein-Uhlenbeck process, and a representative agent with power-utility who, in equilibrium, consumes the dividend paid by the risky asset. Endogenously determined interest rates are found to be of the Vasicek (1977) type the mean and variance of the equilibrium stock price are stochastic and have mean-reverting components A closed-form solution for a standard call option is determined for the case of log-utility. Equilibrium values have interesting implications for the equity premium puzzle observed by Mehra and Prescott (1985)
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    INCOMPLETE MARKETS IN INFINITE HORIZON: DEBT CONSTRAINTS VERSUS NODE PRICES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The general equilibrium model with incomplete markets is here extended to infinite horizon economies populated by a finite number of infinitely lived agents. the crucial issue that divides the infinite horizon setting from the finite horizon setting is in the nature of borrowing constraints, which added to spot constraints, define a plausible budget set for individual agents. the paper relates seven alternative definitions of equilibrium and states corresponding equilibrium existence theorems when assets are one-period and purely financial.
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    HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We derive a formula for the minimal initial wealth needed to hedge an arbitrary contingent claim in a continuous-time model with proportional transaction costs; the expression obtained can be interpreted as the supremum of expected discounted values of the claim, over all (pairs of) probability measures under which the “wealth process” is a supermartingale. Next, we prove the existence of an optimal solution to the portfolio optimization problem of maximizing utility from terminal wealth in the same model, we also characterize this solution via a transformation to a hedging problem: the optimal portfolio is the one that hedges the inverse of marginal utility evaluated at the shadow state-price density solving the corresponding dual problem, if such exists. We can then use the optimal shadow state-price density for pricing contingent claims in this market. the mathematical tools are those of continuous-time martingales, convex analysis, functional analysis, and duality theory.
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    WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper addresses the problem of estimating and analyzing the residual risk that is not hedged by a discrete hedging strategy. the use of die chaotic representation allows an elegant decomposition of the residual risk to be hedged by adequate assets. Alternative strategies to the classical delta hedging and optimization under the risk-neutral and historical probabilities are discussed.
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    EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In a stochastic volatility model, the no-free-lunch assumption does not induce a unique arbitrage price because of market incompleteness. In this paper, we consider a contingent claim on the primitive asset, traded in zero net supply. Given a system of Arrow-Debreu state prices, we provide necessary and sufficient conditions for consistency with an intertemporal additive equilibrium model that we fully characterize. We show that the risk premia corresponding to the minimal martingale of Föllmer and Schweizer (1991) are consistent with logarithmic preferences, while the Hull and White model (1987) (volatility risk premium independent of the asset price) is consistent with a class of utility functions including constant relative risk aversion (CRRA) ones.
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    PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of pricing path-dependent contingent claims. Classically, this problem can be cast into the Black-Scholes valuation framework through inclusion of the path-dependent variables into the state space. This leads to solving a degenerate advection-diffusion partial differential equation (PDE). We first estabilish necessary and sufficient conditions under which degenerate diffusions can be reduced to lower-dimensional nondegenerate diffusions. We apply these results to path-dependent options. Then, we describe a new numerical technique, called forward shooting grid (FSG) method, that efficiently copes with degenerate diffusion PDEs. Finally, we show that the FSG method is unconditionally stable and convergent. the FSG method is the first capable of dealing with the early exercise condition of American options. Several numerical examples are presented and discussed./〉
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    DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT? (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Ross (1976) has shown, in a static framework, how options can complete financial markets. This paper examines the possible extensions of Ross's idea in a dynamic setup. Surprisingly enough, we find that the answer is very sensitive to the choice of the stochastic model for the underlying security returns. More specifically we obtain the following results: In a discrete-time model, classical European options typically become redundant with some probability (Proposition 2.1). Obnly path dependent (“exotic”) options may generate dynamic spanning (Proposition 4.1). In a continuous-time model with stochastic volatility of the underlying security, and under reasonable assumptions, a European option is always a good instrument for completing markets (Proposition 5.2).
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    ANNOUNCEMENT (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00115.x
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    PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper derives a closed-form solutin for the price of the European and semi-Amirican callable bond for two popular one-factor models of the term structure of interest rates which have been proposed by Vasicek as well as Cox, Ingersoll, and Ross. the price is derived by means of repeated use of Green's function, which, in turn, is derived from a series solution of the partial differential equation to value a discount bond. the boundary conditions which lead to the well-known formulae for the price of a discount bond are also identified. the algorithm to implement the explicit solution relies on numerical quadrature involving Green's function. It offers both higher accuracy and higher speed of computation than finite difference methods, which suffer from numerical instabilites due to discontinuous boundary values. For suitably small time steps, the proposed algorithm can also be applied to American callable bonds or to any American-type option with Green's function being explicitly known.
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    DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The purpose of this note is to analyze the diffusion coefficient estimator suggested by Chesney, Elliott, Madan, and Yang (1993). I start by correcting their formula (4.1), and by showing that their procedure is a member of a class of estimators sharing the same Milstein approximation. I then show how to select the minimum variance estimator (for constant μσ) within a two-parameter subclass of procedures which do not depend on the current realization of the process. I also show that if μ is small the best procedure only allows moderate reduction in variance with respect to the classical quadratic variation estimator (which is a member of the same class). the note concludes by highlighting the fact that the empirical use of the filtered volatilities poses an error in variables problem which can be addressed using instrumental variables methods.
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    SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The extended Cox-Ingersoll-Ross (ECIR) models of interest rates allow for time-dependent parameters in the CIR square-root model. This article presents closed-form pathwise unique solutions of these unsolved stochastic differential equations (s.d.e.s) in terms of functionals of their driving Brownian motion and parameters. It is shown that quadratics in solution of linear s.d.e.s solve the ECIR model if and only if the dimension of the model is a positive integer and that this solution can be achieved by construction of a pathwise unique generalized Ornstein-Uhlenbeck process from the ECIR Brownian motion. For real valued dimensions an extension of the time-change theorem of Dubins and Schwarz (1965) is presented and applied to show that a lognormal process solves the model through a stochastic time change. Pathwise equivalence to a rescaled time-changed Bessel square process is also established. These novel results are applied to characterize zero-hitting time and to produce transition density and zero-hitting conditions for the ECIR spot rate. the CIR term structure is then extended to ECIR under no arbitrage, and its solutions and the transition density are represented under a new ECIR martingale measure. the findings are employed to derive a closed-form ECIR bond option valuation formula which generalizes that obtained by CIR (1985).
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    OPTIMAL INVESTMENT OF A LIFE INTEREST (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of a trustee faced with investing a sum of money, the interest from which will be received by one party (the life-tenant) during his lifetime while the capital will go to another party (the survivor) on the death of the life-tenant. We assume mat there are n+ 1 assets in which the trustee may invest—n risky assets of geometric Brownian motion type and one nonrisky asset. Under assumptions as to the utility functions of the two parties, we find the collection of Pareto optimal investment strategies for the trustee together with the corresponding payoffs. We do this by optimizing the payoff of the Lagrangian for the problem. We go on to present the Nash optimal solution for the trustee.
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    CERTAINTY EQUIVALENCE AND LOGARITHMIC UTILITIES IN CONSUMPTION/INVESTMENT PROBLEMS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We investigate an optimal consumption/investment decision problem with partially observable drift. Logarithmic utilities are shown to be necessary and sufficient for the certainty equivalence principle to hold. For the sufficiency part of the proof, we allow a general stochastic structure about the unobservable drift. On the other hand, a simple Bayesian structure is assumed for the necessity part in order to utilize the Hamilton-Jacobi-Bellman equations.
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    OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper demonstrates the use of term-structure-related securities in the design of dynamic portfolio management strategies that hedge certain systematic jump risks in asset return. Option pricing formulas based on the absence of arbitrage opportunities in this context are also developed. the analysis is for the case where assets returns are driven by a finite number of Brownian motions and an m-variate point process. the inclusion of :the additional traded assets in the term structure makes it possible to hedge systematic jumps imbedded in the m variate point process.
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    OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study optimal portfolio management policies for an investor who must pay a transaction cost equal to a fixed Traction of his portfolio value each time he trades. We focus on the infinite horizon objective function of maximizing the asymptotic growth rate, so me optimal policies we derive approximate those of an investor with logarithmic utility at a distant horizon. When investment opportunities are modeled as m correlated geometric Brownian motion stocks and a riskless bond, we show that the optimal policy reduces to solving a single stopping time problem. When there is a single risky stock, we give a system of equations whose solution determines the optima! rule. We use numerical methods to solve for the optima! policy when there are two risky stocks. We study several specific examples and observe the general qualitative result that, even with very low transaction cost levels, the optimal policy entails very infrequent trading.
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    BOOK REVIEW (1995)
    Oxford, UK : Blackwell Publishing Ltd
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Book Review in this Articleeconomic and financial modelling with mathematica, hal R. varian (editor), telos/springer-verlag. new york 1993
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    PORTFOLIO MANAGEMENT WITH TRANSACTION COSTS: AN ASYMPTOTIC ANALYSIS OF THE MORTON AND PLISKA MODEL (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We examine the Morton and Pliska (1993) model for the optimal management of a portfolio when there are transaction costs proportional to a fixed fraction of the portfolio value. We analyze this model in the realistic case of small transaction costs by conducting a perturbation analysis about the no-transaction-cost solution. Although the full problem is a free-boundary diffusion problem in as many dimensions as there are assets in the portfolio, we find explicit solutions for the optimal trading policy in this limit. This makes the solution for a realistically large number of assets a practical possibility.
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    DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper uses the existence of secondary markets for debt instruments with default risk (e.g. corporate bonds) to define default insurance along the lines of financial economics. It examines whether, in the case of several risk-neutral measures, characteristics of default can be uniquely determined by the prices of contracts involving default-prone securities.
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    ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we derive the implications of the absence of arbitrage in securities markets models where traded securities are subject to short-sales constraints and where the borrowing and lending rates differ. We show that a securities price system is arbitrage free if and only if there exists a numeraire and an equivalent probability measure for which the normalized (by the numeraire) price processes of traded securities are supermartingales. Also, the tightest arbitrage bounds that can be inferred on the price of a contingent claim without knowing agents’preferences are equal to its largest and smallest expected normalized payoff with respect to the supermartingale measures. In the case where the underlying security price follows a diffusion process and where short selling is possible but costly, we derive partial differential equations that must be satisfied by the arbitrage bounds on derivative securities prices, and we determine optimal hedging strategies. We compute the arbitrage bounds on common securities numerically for several values of the borrowing and short-selling costs and show that they can be quite sharp.
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    EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We derive a necessary and sufficient condition for the existence of a nonnegative equilibrium price vector under which the total demand and supply of each asset balances in the standard mean-variance capital market. Also, we give an explicit formula for such a price vector. This formula shows that the price of assets is an increasing function of p̄, the weighted average of the requested rate of return of individual investors, which tends to infinity as p̄ approaches the expected rate of return on the market portfolio. Further, we construct a macroeconomic index which gives information about the soundness of the capital market.
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    TAKEOVERS OF DIFFUSELY HELD FIRMS: A NONSTANDARD APPROACH (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A common theme in the literature on corporate control is that, when share ownership is diffuse, the free-rider problem prevents raiders from making acquisitions at tender prices below the postacquisition share price. In this paper, we address this question by formulating a nonstandard model of takeovers of diffusely held firms. It is demonstrated that, even when individual shareholdings are infinitesimal relative to firm size, takeovers succeed with positive probability and equilibria exist in which the raider earns substantial per share profits. Further, the Nash equilibria of the game are characterized with regard to raider profit, the aggregate fraction of shares tendered, and the relation between raider profit and the degree of randomization exhibited by shareholder tendering strategies.
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    CRITICAL STOCK PRICE NEAR EXPIRATION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study the critical price of an American put option near expiration in the Black-Scholes model. Our main result is an estimate for the difference P̄ (t)- K between the critical price at time t and the exercise price as t approaches the maturity of the option.
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    ATTAINABLE CLAIMS IN A MARKOV MARKET (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: It is shown how, even when the market is incomplete, certain contingent claims are attainable: that is, they can be represented as stochastic integrals with respect to the process which describes the evolution of the asset prices.
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    MULTIVARIATE STABLE FUTURES PRICES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper introduces new techniques for modeling financial data under the assumption that the data belong to the domain of attraction of a multivariate stable Pareto law. We provide tail estimators for the index of stability parameter a and the corresponding spectral measure. These estimators are then applied to test the associtation of the individual components and to compute estimates of portfolio risk and the covariation of commodities. A practical example is given using DM-dollar and JY-dollar exchange rates data.
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    ISOLATING THE WILD CARD OPTION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Many embedded options are difficult to value the wild card option in the Treasury bond futures contract is one of these embedded options. We illustrate how narrow theoretical bounds on the value of this option, relative to the price of the contract, may be obtained in the presence of other embedded options. Simulations suggest that the value of the wild card option is close to zero. This implies that, in this economy, a simpler pricing model of the Treasury bond futures contract, which ignores the wild card option, will result in only a small loss of accuracy.
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    TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The value of a future cash stream is often taken to be its net present value with respect to some term structure. This means that a linear formula is used in which each future payment is discounted by a factor deemed appropriate for the date on which the payment will be made. In a money market with taxes and shorting costs, however, there is no theoretical support for the existence of a universal term structure for this purpose. What is worse, reliance on linear formulas can be seriously inaccurate relative to true worth and can lead to paradoxes of disequilibrium. A consistent no-arbitrage theory of valuation in such a market requires instead that taxed and untaxed investors be grouped in separate classes with different valuation operators. Such operators are linear to scale but nonlinear with respect to addition. Here it is established that although these valuation operators provide general bounds applicable across an entire class, individual investors within a tax class can have more special operators because of the influence of existing holdings. These customized valuation operators have the feature of not even being linear to scale. In consequence of this nonlinearity, investors from the same or different tax classes can undertake advantageous trades even when the market is in a no-arbitrage state, but such trade opportunities are limited. Some degree of activity in financial markets can thereby be understood without appeal to differences in utility functions or temporary disequilibrium due to random disturbances.
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    ANNOUNCEMENT (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
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    FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider a two-country economy under the nonarbitrage assumption and where volatilities are stochastic. Assuming the existence of state variables, we show that, under some mild volatility assumptions, the model is actually fully specified. In particular, both term structure dynamics and the exchange rate process can be given endogeneously under the risk-neutral probability. We then derive the exact dependence of the zero-coupon bonds and the exchange rate on the underlying state variables. As a result, some closed-form solutions can be proposed for the derivative assets as futures and options written on foreign zero-coupon bonds.
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    APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We construct a financial market with countably many securities for which there are two equivalent martingale measures under which the market is approximately complete. Thus, approximate completeness does not in general guarantee unique consistent prices for nonmarketed claims. the construction also produces an economy with two agents and infinitely many traded goods which is in equilibrium but has no equilibrium when a new good (recognized by all as redundant) is tentatively traded.
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    THE GARCH OPTION PRICING MODEL (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This article develops an option pricing model and its corresponding delta formula in the context of the generalized autoregressive conditional heteroskedastic (GARCH) asset return process. the development utilizes the locally risk-neutral valuation relationship (LRNVR). the LRNVR is shown to hold under certain combinations of preference and distribution assumptions. the GARCH option pricing model is capable of reflecting the changes in the conditional volatility of the underlying asset in a parsimonious manner. Numerical analyses suggest that the GARCH model may be able to explain some well-documented systematic biases associated with the Black-Scholes model.
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    BOOK REVIEW (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Book Review in this Article Dynamic Asset Pricing Theory, By Darrell Duffie
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    ARBITRAGE AND INFORMATION IN A SEQUENTIAL ECONOMY WITH MANY CREDIT AGENCIES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper augments the theoretical foundations of organized commodity futures markets and uncovers singular facts about arbitrage and the role of information. Using the term “credit agency” to embrace organized futures markets such as the Chicago Board of Trade as well as independent brokerage houses, we extend the extant theory of temporary equilibrium for an economy with a single credit agency to economies with many credit agencies. In the process, we find that arbitrage with no risk of bankruptcy and with perfect interagency trade information can be incompatible with equilibrium (exact or approximate). On the other hand, the usual regularity assumptions are sufficient for the existence of at least an approximate equilibrium, provided that interagency trade information is imperfect (or risky). However, such imperfect information limits arbitrage so different agencies can have different prices.
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    VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 5 (1995), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: For general volatility structures for forward rates, the evolution of interest rates may not be Markovian and the entire path may be necessary to capture the dynamics of the term structure. This article identifies conditions on the volatility structure of forward rates that permit the dynamics of the term structure to be represented by a two-dimensional state variable Markov process. the permissible set of volatility structures that accomplishes this goal is shown to be quite large and includes many stochastic structures. In general, analytical characterization of the terminal distributions of the two state variables is unlikely, and numerical procedures are required to value claims. Efficient simulation algorithms using control variates are developed to price claims against the term structure.
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    Wage Premium in the Industrial Sector of the Spanish Economy: Empirical Evidence (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 9 (1995), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. This paper presents evidence that firm-level productivity increases when the relative wage rises, or the level of unemployment rises. Both facts are consistent with the efficiency wage model. Moreover, there is support for the idea that an increase in the sector's wage with respect to the previous year also increases productivity. We obtain the empirical evidence through a double-hurdle model. We use this estimation technique because it can be established that the differences in productivity between sectors could be explained by differences in effort. It means that some of the industrial sectors of the Spanish economy may pay wage premia while others do not. We also test this implication through panel data.
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    Part-Time Work in the Nordic Countries: A Trap for Women? (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 9 (1995), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. The aim of the study is to examine the consequences of part-time employment at the individual level, especially for women. Are part-time jobs precarious as compared to full-time jobs, and are they traps, or perhaps rather bridges, in the labour market? The results indicate that the situation of part-timers varies in the Nordic countries. On one hand, the gap between part-time and full-time work has narrowed in Sweden and Norway, which may reflect a normalization of part-time work in these countries. On the other, part-timers' situation in the Finnish labour market still seems more precarious than that of full-timers. However, in most cases part-time work is a bridge rather than a trap in the Nordic labour market.
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    The Redistributive Effects of the Tax Wedge in Italy (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 9 (1995), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. This paper presents an original data set of microdata on the tax wedge in Italy, obtained by using the microsimulation model ITAXMOD, developed at ISPE (Institute for Studies on Economic Planning). These data are used to measure the components of the tax wedge and their burden on the total cost of labour at the individual level. The results have been aggregated across income brackets, socio-economic groups and sectors of employment. These data are the necessary preliminary input for any redistributive analysis and in addition they make the available data for Italy comparable with those of other countries. Scant attention has been paid up to now to the redistributive aspects of the tax wedge, since most analyses are based on the income of the “average production worker” which is far from an ideal standard for comparison. The computation of the tax wedge for different brackets of total labour cost has been explored in two ways. The first is related to the differing weights of the components of the tax wedge on cost of labour and no particular hypothesis has been made about the incidence of these components. The results show that the burden of personal income taxation and of social security contributions is very high even for wage-earners in the lowest brackets (in 1992, the estimated tax wedge is more than 44% of total labour cost even in the second decile of the labour cost). That might discourage both labour supply and labour demand across the entire spectrum of deciles of cost of labour. The second line of research studies the incidence of personal income taxes and employees' social security contributions on gross earnings, under the maintained hypothesis that these two components of the tax wedge are shouldered by the employees.
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    Real versus Nominal Convergence: National Labour Markets and the European Integration Process (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 9 (1995), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: : This paper investigates the role of national labour market characteristics for the chances of successful transition to EMU in Europe as well as for its viability The conclusions are rather pessimistic Although overlooked by the Maastricht Treaty the need for real convergence (I e convergence of real macroeconomic variables like unemployment) is emphasized as a major condition for success However current labour market characteristics in the EC make it quite unlikely that this condition will be fulfilled We show that the implementation of the Maastricht programme might turn into an obstacle to monetary unification
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    Bargaining Power and Wage Determination: The Role of Outside Options (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 9 (1995), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: : The paper analyses the wage bargaining process between an entrepreneur and his workforce when delays in agreement intrinsically reduce the amount of returns to be shared It is shown that the outside options of the workforce and the entrepreneur can be a systematic determinant of their bargaining power in contrast to what the Rubinstein (1982) model predicts The basic model is extended to analyse: (i) bargaining under multiple unionism; (ii) the- possible relationship between bargaining and efficiency wages; and (iii) under investment in workforce training.
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    Editorial Foreword (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 10 (1996), S. 0 
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    Topics: Economics
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    Decomposing the Male/Female Wage Gap: Within and Between Establishment Differences (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 10 (1996), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: : Using Norwegian data from interviews with about 3,500 employees in 759 establishments, the male-female wage differential is decomposed into its between and within establishment components. In the private sector, the gross wage differential of 23 percent is reduced to 13 by checking for human capital and job characteristics, and to 8 by (also) checking for industry and establishment affiliation. Only this within-establishment differential will be affected by equal pay and comparable worth legislation. In the public sector the gross wage gap between men and women is smaller (17 percent). The inter-establishment component is very small, probably due to centralized wage setting and standardized pay schemes. This has not, however, affected the within-establishment differential which is as large as in the private sector.
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    WEST GERMAN IDEAS ON EMPLOYMENT POLICY DURING THE FIRST YEARS OF THE ‘ECONOMIC MIRACLE’ (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 47 (1996), S. 0 
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    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Employment policies were a concern throughout history but not always in the sense of Keynes. German neoliberals (who had anticipated Keynesian ideas around 1930) emphasised the need for productive employment in the period of growth after the war. According to the vision of a social market economy, jobs should not be only temporary, but offer lasting employment, in industries with good development prospects, and in conditions conductive to good work.
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    MARKETS AND GAMES: A SIMPLE EQUIVALENCE AMONG THE CORE, EQUILIBRIUM AND LIMITED ARBITRAGE (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 47 (1996), S. 0 
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    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This note provides simple proofs of the equivalence among the core, equilibrium and limited arbitrage in markets with short sales, and with uniform strictly convex preferences.
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    CAPACITY UTILIZATION, INVESTMENT AND NORMAL PRICES: SOME ISSUES IN THE SRAFFA-KEYNES SYNTHESIS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 47 (1996), S. 0 
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    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Drawing on recent debate over the theoretical significance of (Sraffian) normal prices this paper begins by outlining an interpretation of the relation between normal prices and administered pricing. This interpretation takes the anticipated average or normal rate of capacity utilization in each sector as data in the calculation of prices and profit rates. However, anticipated average utilization in each sector, in a cyclically disturbed system, will depend on relative prices and thus on distribution. This interdependence between prices, profit rates and utilization has an important bearing on certain issues arising out of attempts at a Sraffa-Keynes synthesis. The paper attempts to shed light on those issues by exploring further the links between pricing, utilization and investment, using a simplified three-sector model.
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    NEGATIVE LABOUR VALUES AND THE PRODUCTION POSSIBILITY FRONTIER (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 47 (1996), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Steedman's theoretical finding of negative labour values associated with positive equilibrium prices has been criticised on the grounds that this situation obtains only in inefficient economies. A recent paper by Hosoda claims that this criticism is valid only in two-dimensional joint-product systems. It is argued here that the dimensionality of the system is of no relevance to the “inefficiency critique” of Steedman. Rather, the validity of the critique turns on matters relating to the growth rate and the rate of profit. The argument that processes inefficient in a static context may be viable in the context of von Neumann growth is considered, and the implications for the labour theory of value are assessed. Marx's critique of capitalist economic calculation is supported by reference to the divergence of Sraffian prices and Samuelsonian values when the rate of profit is in excess of the rate of growth.
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    THE ROLE OF SUBSTITUTION IN WICKSELL'S DURABLE CAPITAL MODEL (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 46 (1995), S. 0 
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    Topics: Economics
    Notes: In this paper the author shows that the absence of a good which is used directly or indirectly for the production of other goods is a crucial feature of Wicksell's two-sector model, without which a positive relation between the value of machine stock and the consumption good output cannot be guaranteed. In fact he proves that, if that model is generalised by assuming that the capital good is used as an input also in its own production, the sign of the “marginal product of social capital” is indeterminate, even when both sectors have “well-behaved” production functions of a Cobb-Douglas type.
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    DIRECTED GRAPH THEORY AND THE ECONOMIC ANALYSIS OF INNOVATION (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 46 (1995), S. 0 
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    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This article applies digraph theory to the theory of technological regimes. The first part of the paper identifies a number of links between the evolutionary approach and a particular version of the neoclassical approach to the economic analysis of technological change. Both these approaches are shown to take the body of presently-available technological knowledge as a quantifiable magnitude allowing firms varying in strategy, structure and core capabilities to explore a range of feasible alternatives within the frontiers imposed by such knowledge. The second part of the paper therefore considers technological knowledge to be a cognitive empirical structure which can be better defined and calculated by using the theorems of digraph theory.
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    TAKING EFFORT SERIOUSLY: A REPLY TO CURRIE AND STEEDMAN (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 46 (1995), S. 0 
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    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
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    RICARDO'S THEOREMS ON RELATIVE PRICES A NOTE ON PROF. MORISHIMA (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 46 (1995), S. 0 
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    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: It is argued that Prof. Morishima's treatment of Ricardo's theorems concerning relative price movements following changes in income distribution cannot count as a reasonable interpretation of Ricardo. Firstly, Ricardo linked up these price movements not only to diverging capital intensities, but also to diverging depreciation rates. Secondly, Prof. Morishima's proof seems to depend on a technology specification which is also characteristic of Sraffa's nonbasic commodity. A more reasonable interpretation seems to be that Ricardo tried to investigate a number of modifications on the ‘principle’ that relative prices are regulated by labour values. It is shown that Ricardo's theorems were, as first approximations, not at all bad.
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    REDUCIBLE VON NEUMANN MODELS AND UNIQUENESS (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 46 (1995), S. 0 
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    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper can be regarded as a result of basic research on the technological characteristics of the von Neumann models and their consequences. It introduces a new taxonomy of reducible technologies, explores their key distinguishing features, and specifies which ones ensure the uniqueness of von Neumann equilibrium. A comprehensive comparison is also given between the familiar (in)decomposability ideas and the reducibility concepts suggested here. All these are carried out with a modern approach. Simultaneously, the reader may also acquire a complete picture of and guidance on the fundamental von Neumann models here.
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    WALRASIAN EQUILIBRIUM AND RATIONAL EXPECTATIONS: A DIFFICULT COEXISTENCE (1984)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 36 (1984), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1984.tb00679.x
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  • 187
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    A NOTE ON THE « BOTTOM-UP » APPROACH TO MEASURING COMPENSATING VARIATIONS (1984)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 36 (1984), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1984.tb00681.x
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  • 188
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    TECHNICAL CHANGES AND THEIR EFFECTS ON THE PRICE STRUCTURE (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 35 (1983), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1983.tb00889.x
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  • 189
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    ON A POSSIBILITY OF CLOSING THE PRODUCTION PRICE SYSTEM FROM THE SIDE OF WAGES () (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 34 (1982), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1982.tb00069.x
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  • 190
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    FACTS AND POLICIES OF DEVELOPED COUNTRIES: SOME SOCIAL DEMOCRATIC EXPERIENCES FROM NORWAY () (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 34 (1982), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1982.tb00071.x
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  • 191
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    REINVESTED EARNINGS ON DIRECT FOREIGN INVESTMENT (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 47 (1996), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Reinvested earnings on direct foreign investment are accounted for differently in A System of National Accounts 1968 and the System of National Accounts 1993. In this paper these treatments are compared in relation to the connection between national income accounting and macroeconomic theory. For this purpose, macroeconomic modelling is represented by an attempt to extend the closed-economy Cambridge model of growth and distribution to a two-country trading world.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1996.tb00394.x
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  • 192
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    WAGE FLEXIBILITY AND THE STABILITY ARGUMENTS OF THE NEOCLASSICAL SYNTHESIS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 47 (1996), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This note fills a lacuna in the neoclassical synthesis and completes its dynamic disequilibrium processes by including adjustments of the money wage rate in response to excess demand on the labour market. A Walrasian and a Keynesian variant are distinguished. While in the first case local asymptotic stability is always ensured, the equilibrium is unstable in the Keynesian case if money wages are too flexible relative to the adjustment speeds on the product and money markets.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1996.tb00384.x
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  • 193
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    FISCAL ACTIONS AND « CROWDINGOUT » IN THE UNITED KINGDOM (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 33 (1981), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1981.tb00676.x
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  • 194
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    A TRANSCENDENTAL LOGARITHMIC COST FUNCTION: AN EMPIRICAL CASE (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 33 (1981), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This is a first attempt to study the way imports interact with the primary factors in the Italian technology. We use a two-output, three-input transcendental cost function specification and reject the traditional functions as being inappropriate in explaining the production process. We conclude that value-added is not produced exclusively by capital and labor and, also, that all inputs are substitutes for each other. The model justifies the incorporation of imports as a factor input.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1981.tb00675.x
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  • 195
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    MISUSE AND OPTIMUM INSPECTING STRATEGY IN AGENCY PROBLEMS (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 47 (1996), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Assets misuse by an agent and the optimal audit inspecting strategy are analyzed in this paper. The agent and the principal are acting to maximize their expected utility and both are characterized by risk aversion. The agent's decision about a theft takes into account the probability of benefiting from the stolen assets but also the probability of being penalized if caught. The principal's decision about the optimal number of audit teams, hence, the probability of uncovering the theft, takes into account the cost involved, the probability of one team of auditors uncovering the theft and the agent's decision about the theft. We get two response curves which describe the optimal behavior of both the agent and the principal and show that there may be a Nash solution to the problem. Since in real life there are often many principals (shareholders) with different utility functions, a set of efficient strategies is offered using the First and Second degree Stochastic Dominance rules. A numerical illustration which clarifies the methodology and displays the applicability of the model is also provided.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1996.tb00389.x
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  • 196
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    VALUE, NATURAL PRICE, DUALITY, AND TIME: A REEXAMINATION OF SOME PROPOSITIONS IN MARXIAN ECONOMICS (1980)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 32 (1980), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1980.tb00003.x
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  • 197
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    CLASSICAL AND BAYESIAN HYPOTHESIS TESTING: A COMPROMISE (1980)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 32 (1980), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1980.tb00005.x
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  • 198
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    THE IMPACT OF REGULATION ON PRICING PUBLIC UTILITY SERVICE WHEN DEMANDS ARE TEMPORALLY INTERDEPENDENT (1980)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 32 (1980), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1980.tb00007.x
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  • 199
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    THE EVOLUTIONARY DYNAMICS OF FINANCIAL PRACTICES (1995)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 46 (1995), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: This paper presents a model in which financial practices are chosen by decentralized units on the basis of expectations regarding financial market conditions, while the probability distribution governing market conditions itself depends on the choices made. If all agents are unboundedly rational, there is a unique equilibrium in which expectations are self-fulfilling. The assumption of universal unbounded rationality is relaxed by introducing an optimization cost, which leads to the possibility that optimizers may not have a sufficiently great evolutionary advantage to eliminate nonoptimizers entirely. In this case behavioral heterogeneity can persist even in the long run. For certain classes of probability distributions governing financial conditions, the evolutionary dynamics of population composition can help explain a number of stylized facts regarding the dynamics of financial practices which have hitherto been explained on the basis of learning dynamics or systematic cognitive biases.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1995.tb00381.x
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  • 200
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    AN ANALYSIS OF DETERMINANTS OF PUBLIC-SECTOR INCOME REDISTRIBUTION POLICIES IN THE UNITED STATES AND CANADA (1980)
    Oxford, UK : Blackwell Publishing Ltd
    Metroeconomica 32 (1980), S. 0 
    Details
    ISSN: 1467-999X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-999X.1980.tb00008.x
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