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Local risk-minimization under transaction costs
Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998
We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...
Persistent link: https://www.econbiz.de/10009576212
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Using private job agencies : optimal screening or cream skimming?
Kübler, Dorothea - 1997
In a model with private information of the worker about her ability and unobservable effort choice, the role of public and private employment services is analyzed. The coexistence of an inefficient employment exchange and an efficient private agency may lead to optimal screening with first best...
Persistent link: https://www.econbiz.de/10009658470
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On the regulation of social norms
Kübler, Dorothea - 2000
A model is developed to understand how norms can be influenced by "norm entrepreneurs", e.g. lawmakers, government agencies, unions etc. Two instruments of influencing the dynamics of normfollowing behavior are analyzed, namely transforming the (monetary) incentives and changing the meaning or...
Persistent link: https://www.econbiz.de/10009583884
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Long-term work contracts versus sequential spot markets : experimental evidence on firm-specific investment
Anderhub, Vital; Königstein, Manfred; Kübler, Dorothea - 1999
Dismissal rules, i.e. legally enforced long term contracts, have beem defended against criticism for, among other things, providing efficient incentives to invest in relationship specific skills. However, in many situations efficient investment can also be attained by spot contracts. We...
Persistent link: https://www.econbiz.de/10009580472
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Efficient contracting and fair play in a simple principal-agent experiment
Anderhub, Vital; Gächter, Simon; Königstein, Manfred - 1999
Modern 'principal-agent theory' has made a lot of progress in proposing theoretical Solutions to agency problems. This … evidence on offered contracts and effort choices in a simple agency game. In line with principal-agent theory we find that in … design has to regard an equity constraint that has so far been neglected by contract theory. In fact, most contract offers …
Persistent link: https://www.econbiz.de/10009581090
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Auctions and corruption
Lengwiler, Yvan; Wolfstetter, Elmar - 2000
In many auctions, the auctioneer is an agent of the seller. This delegation invites corruption. In this paper we propose a model of corruption, examine how corruption affects the auction game, how the anticipation of corruption affects bidding, and how it altogether changes the revenue ranking...
Persistent link: https://www.econbiz.de/10009583882
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876
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On model based seasonal adjustment procedures
Breitung, Jörg - 1998
In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment...
Persistent link: https://www.econbiz.de/10009574877
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The monetary model of the exchange rate : a structural interpretation
Moersch, Mathias; Nautz, Dieter - 1998
We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...
Persistent link: https://www.econbiz.de/10009574885
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Sequential versus independent commitment : an indirect evolutionary analysis of bargaining rules
Güth, Werner - 1998 - Rev.
Rational bargaining behavior depends crucially on the rules of bargaining, especially on whether parties decide sequentially or independently. Whereas in ultimatum bargaining the proposer can exploit the responder, independent commitments result in more balanced payoffs. To limit the scope of...
Persistent link: https://www.econbiz.de/10009574886