Innovation Measurement & Indicators eJournal最新文献_第4页

Reconstructing the Joint Probability Distribution From Basket Prices: A Mildly Ill-Posed Problem 从篮子价格重构联合概率分布:一个轻度不适定问题

Innovation Measurement & Indicators eJournal Pub Date : 2014-09-10 DOI: 10.2139/ssrn.2766054

Shuren Tan

{"title":"Reconstructing the Joint Probability Distribution From Basket Prices: A Mildly Ill-Posed Problem","authors":"Shuren Tan","doi":"10.2139/ssrn.2766054","DOIUrl":"https://doi.org/10.2139/ssrn.2766054","url":null,"abstract":"In this thesis, we study basket options which are contracts on N assets. It is known that the risk neutral joint probability density of the assets is uniquely defined by the prices of basket options with positive weights. However, the proof of this fact requires a step involving the inversion of a Laplace transform. It is known that inversion of a Laplace transform is a severely ill-posed problem. The purpose of this thesis is to understand whether inversion of the basket transform is ill-posed or not.In our dissertation, we propose three methods to determine and prove the order of ill-posedness for the case when the basket contains only one asset and then map the problem to Radon transform to address two or higher dimensional case. Our proofs show that that problem is mildly ill-posed of order 1/2 (N -1) 2 given N dimensions.We also conduct numerical experiments under the Black-Scholes setting. First, using the reconstruction method from Cohen and Pagliacci, our results show that this method functions well in one-dimension but it becomes numerically intensive in our two-dimensional implementation, and we were unable to achieve convergence. Alternatively, we have looked at using an inverse Radon transform method to reconstruct the joint density numerically. As this requires knowledge of basket prices with negative weights, we have tried extending the basket price in this region as an odd function. For comparison, we compared this against the reconstruction from approximate basket prices calculated directly in the negative weight region. It is fascinating that these two approaches give similar results. This may indicate that the errors are due to the two-moment matching approximation rather than the odd extension. This intriguing possibility would certainly merit further investigation if more time were available.We believe that our mathematical particularly, but also our numerical results indicate there is cause for optimism that a stable numerical algorithm to reconstruct the joint density function from basket prices will be found in the future.","PeriodicalId":346559,"journal":{"name":"Innovation Measurement & Indicators eJournal","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127355974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Intellectual Capital and the Relevance of Non-Financial Information About Innovation in the Spanish Automotive Sector from an Accounting Perspective: A Proposal of an Indicator 会计视角下西班牙汽车行业创新的智力资本与非财务信息的相关性:一个指标的建议

Innovation Measurement & Indicators eJournal Pub Date : 2014-09-04 DOI: 10.2139/ssrn.2864269

J. López-Fernández, Francisco M. Somohano, Francisco J. Martinez Garcia

引用次数: 1

The Role of Industry Classification in the Estimation of Research and Development Expenditures 行业分类在研发支出估算中的作用

Innovation Measurement & Indicators eJournal Pub Date : 2014-08-26 DOI: 10.2139/ssrn.2527174

Christian Awuku-Budu, Carol Robbins

引用次数: 2

Bornhuetter-Ferguson Reserving Method with Repricing 带重定价的bornhutter - ferguson预订法

Innovation Measurement & Indicators eJournal Pub Date : 2014-03-17 DOI: 10.2139/ssrn.2697167

Annina Saluz, H. Bühlmann, Alois Gisler, F. Moriconi

引用次数: 3

Internet Measurements and Public Policy: Mind the Gap 互联网测量和公共政策:注意差距

Innovation Measurement & Indicators eJournal Pub Date : 2013-12-31 DOI: 10.2139/ssrn.2294456

H. Asghari, M. V. Eeten, Milton L. Mueller

引用次数: 2

Understanding the Increase of Energy Efficiency in the Polish and German Industry – For an Effective EU ETS and a Common Industrial Policy 了解波兰和德国工业能源效率的提高-为有效的欧盟排放交易体系和共同的工业政策

Innovation Measurement & Indicators eJournal Pub Date : 2013-11-13 DOI: 10.2139/SSRN.2392292

Andrzej Ancygier, Anna Serzysko

引用次数: 0

A Framework for Human Capital Indicators in Knowledge-Based Industries: Evidence from Pharmaceutical Industry 知识型产业人力资本指标框架:来自医药行业的证据

Innovation Measurement & Indicators eJournal Pub Date : 2013-10-19 DOI: 10.1108/MBE-10-2012-0053

G. Mehralian, Peyman Akhavan, H. Rasekh, A. Rajabzadeh

{"title":"A Framework for Human Capital Indicators in Knowledge-Based Industries: Evidence from Pharmaceutical Industry","authors":"G. Mehralian, Peyman Akhavan, H. Rasekh, A. Rajabzadeh","doi":"10.1108/MBE-10-2012-0053","DOIUrl":"https://doi.org/10.1108/MBE-10-2012-0053","url":null,"abstract":"Purpose – During the last decade, intellectual capital (IC) has been widely considered as a critical tool to deliver successful business in an intensive knowledge environment. The main goal of this paper is therefore to develop and prioritize human capital indicators as an important component of IC in knowledge-based industries.Design/methodology/approach – Based on an extensive literature review, a valid and reliable questionnaire was designed. In order to data gathering, it was sent out to 108 participants from academic and university who qualified well in pharmaceutical practice. Besides statistical analysis, we also used fuzzy TOPSIS technique as a MADM model in order to exact prioritization of indicators. Findings – The analysis indicates that there is little difference between academic and university respondents. Furthermore, the fuzzy TOPSIS results show that participants remark high concerns especially about knowledge and skills of managers and employees.Research limitations/implications – The findings offer valuable insights in order to evaluation of human capital state as a key component of IC in knowledge-based industry.Practical implications – There is an immediate need that the policy makers and corporate managers wake up to the need and start to measure and disclosure the intangible assets of firms. Intellectual capital measurement is of primary interest for top executives of pharmaceutical firms in Iran as well.Originality/value – This is an initial and pioneering study to develop a valid tool to evaluate IC in Iranian pharmaceutical industry. The present study provides a new aspect of performance measurement for research-based industries in emerging economies and would be a good topic for further research.","PeriodicalId":346559,"journal":{"name":"Innovation Measurement & Indicators eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116386744","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 21

Measuring National Innovation Systems Efficiency – A Review of DEA Approach 衡量国家创新体系的效率--DEA 方法评述

Innovation Measurement & Indicators eJournal Pub Date : 2013-08-01 DOI: 10.2139/ssrn.2304735

M. Kotsemir

{"title":"Measuring National Innovation Systems Efficiency – A Review of DEA Approach","authors":"M. Kotsemir","doi":"10.2139/ssrn.2304735","DOIUrl":"https://doi.org/10.2139/ssrn.2304735","url":null,"abstract":"The paper reviews the application of the data envelopment analysis (DEA) method for measuring the efficiency of national innovation systems (NIS). The paper firstly visualizes the logic of DEA method and briefly summarizes the key advantages and main limitations of the DEA method. Further, this paper provides a comprehensive review of 11 empirical studies on cross-country analysis of NIS efficiency with DEA technique. In its main part the paper analyses the specifications of DEA models used in the reviewed studies, the content of the country samples, sets of input and output variables used and the resulting lists of efficient countries. The review detects general trends and differences in the sets of variables and the content of country samples. Moreover, this paper highlights the problem of “small countries bias” in the reviewed studies: situation when “small” (in terms of national innovation system scope and the level of development) countries (like Venezuela, Kyrgyzstan etc.) are included in the country sample, these “small” countries become the efficient ones. In general, empirical studies on cross-country analysis of national innovation systems efficiency using DEA method pay little attention to profound analysis of previous relevant studies. Therefore, this paper is among the first papers with deep review of such empirical studies","PeriodicalId":346559,"journal":{"name":"Innovation Measurement & Indicators eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129875305","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 38

Innovation Analysis 创新分析

Innovation Measurement & Indicators eJournal Pub Date : 2013-05-19 DOI: 10.2139/ssrn.2266998

Paul I. Louangrath

引用次数: 0

The Intellectual Capital Performance of Polish Banks in 2005-2011 Perspective – An Application of KCE™ Model 2005-2011年波兰银行智力资本绩效研究——基于KCE™模型的应用

Innovation Measurement & Indicators eJournal Pub Date : 2013-04-29 DOI: 10.2139/ssrn.2257785

K. Śledzik

引用次数: 0