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Duality theory for portfolio optimisation under transaction costs 交易成本下投资组合优化的对偶理论
LSE Research Online Documents on Economics Pub Date : 2014-08-01 DOI: 10.1214/15-aap1136
Christoph Czichowsky, W. Schachermayer
{"title":"Duality theory for portfolio optimisation under transaction costs","authors":"Christoph Czichowsky, W. Schachermayer","doi":"10.1214/15-aap1136","DOIUrl":"https://doi.org/10.1214/15-aap1136","url":null,"abstract":"We consider the problem of portfolio optimisation with general cadlag price processes in the presence of proportional transaction costs. In this context, we develop a general duality theory. In particular, we prove the existence of a dual optimiser as well as a shadow price process in an appropriate generalised sense. This shadow price is defined by means of a \"sandwiched\" process consisting of a predictable and an optional strong supermartingale, and pertains to all strategies that remain solvent under transaction costs. We provide examples showing that, in the general setting we study, the shadow price processes have to be of such a generalised form.","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132823269","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: 41
Giving a little help to girls? evidence on grade discrimination and its effect on students' achievement 给女孩一点帮助?年级歧视及其对学生成绩影响的证据
LSE Research Online Documents on Economics Pub Date : 2014-07-27 DOI: 10.2139/SSRN.2502458
Christian Thimann
{"title":"Giving a little help to girls? evidence on grade discrimination and its effect on students' achievement","authors":"Christian Thimann","doi":"10.2139/SSRN.2502458","DOIUrl":"https://doi.org/10.2139/SSRN.2502458","url":null,"abstract":"This paper aims at providing a conceptual distinction between banking and insurance with regard to systemic regulation. It discusses key differences and similarities as to how both sectors interact with the financial system. Insurers interact as financial intermediaries and through financial market investments, but do not share the features of banking that give rise to particular systemic risk in that sector, such as the institutional interconnectedness through the interbank market, the maturity transformation combined with leverage, the prevalence of liquidity risk and the operation of the payment system. The paper also draws attention to three salient features in insurance that need to be taken account in systemic regulation: the quasi-absence of leverage, the fundamentally different role of capital and the ‘built-in bail-in’ of a significant part of insurance liabilities through policy-holder participation. Based on these considerations, the paper argues that if certain activities were to give rise to concerns about systemic risk in the case of insurers, regulatory responses other than capital surcharges may be more appropriate.","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115477055","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: 17
Shake me the money 摇我的钱
LSE Research Online Documents on Economics Pub Date : 2014-07-23 DOI: 10.17863/CAM.4954
F. Porcelli, R. Trezzi
{"title":"Shake me the money","authors":"F. Porcelli, R. Trezzi","doi":"10.17863/CAM.4954","DOIUrl":"https://doi.org/10.17863/CAM.4954","url":null,"abstract":"During a natural disaster, the negative supply shock due to the destruction of productive capacity is counteracted by a positive demand shock due to public grants for assistance and reconstruction, positing an identification issue in empirical work. Focusing on the 2009 ’Aquilano’ earthquake in Italy as a case study, we take advantage of quantified measure of damages for 75,424 buildings to estimate the negative supply shock and of a law issued to allocate reconstruction grants, which resulted in a sharp, exogenous discontinuity in transfers and output behavior across neighboring municipalities to estimate the positive demand shock. Diff-in-diff analysis suggests that local output multipliers of reconstruction grants (net of marginal tax rebates) are below unity. Yet the size of the grants act as a public insurance scheme, preventing a fall in output.","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121808476","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: 3
Greek fiscal crisis and repercussions for the property market 希腊财政危机及其对房地产市场的影响
LSE Research Online Documents on Economics Pub Date : 2014-06-20 DOI: 10.1108/JPIF-08-2013-0052
Prodromos Vlamis
{"title":"Greek fiscal crisis and repercussions for the property market","authors":"Prodromos Vlamis","doi":"10.1108/JPIF-08-2013-0052","DOIUrl":"https://doi.org/10.1108/JPIF-08-2013-0052","url":null,"abstract":"The aim of the paper is to present a review of the fiscal imbalances and debt crisis in Greece and identify the possible links with the recent developments in the Greek property market. We follow a non-technical approach to discuss a number of factors that have contributed to the fiscal crisis that Greece has been experiencing since October 2009. We critically analyse both the “internal” causes of the deteriorating fiscal stance of the Greek economy (that is, the prolonged macroeconomic imbalances that the Greek economy faces and the credibility problem of macroeconomic policy) and the “external” factors that might have contributed to the Greek fiscal crisis (that is implications of the recent financial turmoil and the timing of the response of Europe to the Greek fiscal crisis). We then study the extent to which fiscal imbalances and the debt crisis have affected the Greek property sector. One of the distinctive features of the paper is to critically discuss the direct and indirect effects of the prolonged macroeconomic imbalances on the Greek property sector. Our analysis indicates that the current fiscal stance of the Greek economy and the Greek property market crisis are intertwined. We believe that these results are useful and provide some evidence that current economic recession has a considerable adverse effect on the property sector in Greece.","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121906707","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: 37
DynEmp: A Stata® Routine for Distributed Micro-data Analysis of Business Dynamics DynEmp:用于商业动态的分布式微数据分析的Stata®例程
LSE Research Online Documents on Economics Pub Date : 2014-05-22 DOI: 10.1787/5JZ40RSCDDD4-EN
Chiara Criscuolo, P. Gal, C. Menon
{"title":"DynEmp: A Stata® Routine for Distributed Micro-data Analysis of Business Dynamics","authors":"Chiara Criscuolo, P. Gal, C. Menon","doi":"10.1787/5JZ40RSCDDD4-EN","DOIUrl":"https://doi.org/10.1787/5JZ40RSCDDD4-EN","url":null,"abstract":"This paper introduces a new Stata® command, dynemp, which implements a distributed micro-data analysis of business and employment dynamics and firm demographics. The data source it requires are business registers or comparable firm- or establishment- level longitudinal databases which cover the (near-) universe of companies in all business sectors. Access to such confidential data is usually restricted and the micro-level data cannot be brought together to a single platform for cross-country analysis. To solve this confidentiality problem while also maintaining a high level of harmonisation of the key economic concepts (gross job flows, growth rates of employment, definition of high-growth firms, etc.), dynemp can be distributed in a network of researchers who have access to the national confidential microdata. In such manner, the rich firm-level employment dynamics can be analysed from new angles (such as firm age and size), significantly expanding the scope of the analysis insofar possible using more aggregated data.","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124620305","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: 10
The Dynamics of Employment Growth: New Evidence from 18 Countries 就业增长的动力:来自18个国家的新证据
LSE Research Online Documents on Economics Pub Date : 2014-05-21 DOI: 10.1787/5JZ417HJ6HG6-EN
Chiara Criscuolo, P. Gal, C. Menon
{"title":"The Dynamics of Employment Growth: New Evidence from 18 Countries","authors":"Chiara Criscuolo, P. Gal, C. Menon","doi":"10.1787/5JZ417HJ6HG6-EN","DOIUrl":"https://doi.org/10.1787/5JZ417HJ6HG6-EN","url":null,"abstract":"Motivated by the ongoing interest of policy makers in the sources of job creation, this paper presents results from a new OECD project on the dynamics of employment (DynEmp) based on an innovative methodology using firm-level data (i.e. national business registers or similar sources). It demonstrates that among small and medium sized enterprises (SMEs), young firms play a central role in creating jobs, whereas old SMEs tend to destroy jobs. This pattern holds robustly across 17 OECD countries and Brazil, extending recent evidence found in the United States. The paper also shows that young firms are always net job creators throughout the business cycle, even during the financial crisis. During the crisis, entry and post-entry growth by young firms were affected most heavily, although downsizing by old firms was responsible for most job losses. The results also highlight large cross-country differences in the growth potential of young firms, pointing to the role played by national policies in enabling successful firms to create jobs.","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128964595","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: 283
Transparency and deliberation within the FOMC: a computational linguistics approach 联邦公开市场委员会的透明度和审议:计算语言学方法
LSE Research Online Documents on Economics Pub Date : 2014-05-01 DOI: 10.1093/qje/qjx045
Stephen Hansen, Michael McMahon, A. Prat
{"title":"Transparency and deliberation within the FOMC: a computational linguistics approach","authors":"Stephen Hansen, Michael McMahon, A. Prat","doi":"10.1093/qje/qjx045","DOIUrl":"https://doi.org/10.1093/qje/qjx045","url":null,"abstract":"How does transparency, a key feature of central bank design, aect the deliberation of monetary policymakers? We exploit a natural experiment in the Federal Open Market Committee in 1993 together with computational linguistic models (particularly Latent Dirichlet Allocation) to measure the eect of increased transparency on debate. Commentators have hypothesized both a benecial discipline eect","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117029317","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: 443
Video killed the radio star? Online music videos and digital music sales 视频扼杀了电台明星?在线音乐视频和数字音乐销售
LSE Research Online Documents on Economics Pub Date : 2014-04-11 DOI: 10.5167/UZH-99275
T. Kretschmer, Christian Peukert
{"title":"Video killed the radio star? Online music videos and digital music sales","authors":"T. Kretschmer, Christian Peukert","doi":"10.5167/UZH-99275","DOIUrl":"https://doi.org/10.5167/UZH-99275","url":null,"abstract":"Sampling poses an interesting problem in markets with experience goods. Free samples reveal product quality and help consumers to make informed purchase decisions (promotional effect). However, sampling may also induce consumers to substitute purchases with free consumption (displacement effect). We study this trade-o_ in the market for digital music where consumers can sample the quality of songs by watching free music videos online. Identification comes from a natural experiment in Germany, where virtually all videos that contain music are blocked on a popular video platform due to a legal dispute with representatives of the rights-holders. We show that promotional and displacement effects cancel out in the sales performance of individual songs, whereas online music videos trigger sales of albums.","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123980457","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: 30
Custody Chains and Remoteness - Disconnecting Investors from Issuers 托管链和远程-断开投资者与发行人
LSE Research Online Documents on Economics Pub Date : 2014-03-22 DOI: 10.2139/SSRN.2413025
Eva Micheler
{"title":"Custody Chains and Remoteness - Disconnecting Investors from Issuers","authors":"Eva Micheler","doi":"10.2139/SSRN.2413025","DOIUrl":"https://doi.org/10.2139/SSRN.2413025","url":null,"abstract":"This paper shows that the current market infrastructure systemically prevents investors, both shareholders and bondholders, from exercising their rights against issuers. Equity and debt securities are now normally held through a chain of custodians. These custodians are connected with each other through contract law. There also exists legislation determining the relationship between custodians and their clients. It will be shown in the paper that custody chains have become independent from investors and issuers. Neither issuers nor investors are able to control the length of the chain or the content of the legal arrangements that governs the custody chain. Custodians are connected through a series of bilateral links that are independent of each other. This erodes the rights of investors. The paper will illustrate this by reference to the liability of custodians for their services and by reference to the ability of custodians to contract with sub-custodians on terms that are independent from the terms that they have entered into with their customers.","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124638305","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: 2
Intermediated Securities and Legal Certainty 中介证券与法律确定性
LSE Research Online Documents on Economics Pub Date : 2014-02-10 DOI: 10.2139/SSRN.2336889
Eva Micheler
{"title":"Intermediated Securities and Legal Certainty","authors":"Eva Micheler","doi":"10.2139/SSRN.2336889","DOIUrl":"https://doi.org/10.2139/SSRN.2336889","url":null,"abstract":"This contribution shows that holding securities through chains of intermediaries compromises the ability of investors to exercise their rights. This problem is not remedied by Geneva Securities Convention (‘the Convention’ or ‘GSC’). It will be argued in the paper that research should be carried out to determine if a mechanism can be created that enables ultimate investors to hold securities directly. Further work on creating a harmonized set of rules at a functional level will not improve legal certainty, reduce systemic risk or enhance market efficiency. The problems associated with the current framework are a function of the process of intermediation itself. Legal and systemic risk and market efficiency are adversely affected by the number of intermediaries operating in this context. Law cannot help here. Structural reform can. It is worth investigating if a framework can be created that allows for securities to be held directly by ultimate investors.","PeriodicalId":359449,"journal":{"name":"LSE Research Online Documents on Economics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114942677","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: 6
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