This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the...

Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavytail feature...

This paper focuses on the stability aspects of cross-border banking. We first argue that cross-border banking brings about various benefits and costs for financial stability. Based on this, we draw conclusions for the desirability of cross-border banking in the EU, and derive implications for...

Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner...

This discussion paper has led to a publication in the <I>Journal of Business Ethics</I>, 2013, 117(3), 601-13.<P> Halal certification of financials product may reduce transaction costs for its buyers when it provides a trusted standard for investors that seek to comply with Islamic law. However, we show...</p></i>

This discussion paper led to a publication in (W.D. Nelson (Ed.)), <I>Advances in Business and Management</I> (pp. 1-32), New York: Nova Publishers, 2011. In this era of globalization we see an increase in specialization: the production chain issplit up in more and more parts and the production of...</i>

According to economic theory, there are no strong reasons to tax (or to subsidise) residential moves, although low levels of taxation may be potentially justified to deal with the presence of externalities and economic stability. This is in contrast to practise in most countries where...

A major question in the globalization debate is whether outsourcing and offshoring activities are beneficial to the home country. This paper investigates the effects on productivity and trade from the perspective of transaction costs, using a recent theory on trade in tasks. A production...

Transaction costs play a key role in the behaviour of smallholders in developing countries. We exploit the introduction of an additional tobacco auction floor in Malawi to investigate the impact of a reduction in transaction costs and improved market access on production per hectare and the...

One of the policy options to increase the efficiency in the provision of scarce water resources is a reduction in transaction costs in water chains by developing integrated forms of water management. Integrated water management in case of river basin areas may comprise inter alia: (1) increasing...