Search results for "transaction cost"

Optimal contract length for biodiversity conservation under conservation budget constraint

2014

We examine the optimal length of a contract period in a conservation program with payments for ecosystem services aiming at protecting biodiversity on privately owned forests. The government chooses the number of stands and the length of contracts so as to maximize biodiversity benefits under a binding conservation budget. We examine the implication of two alternative budgets: a separate budget for each period (periodic budget) or one budget that to be used in all periods (intertemporal budget). The impact of the budget type shows up in the fact that with intertemporal budget choice set is larger and more high quality stands are available for contracting. Based on theoretical characterizati…

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

2004

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…

The effect of buyer specific-monitoring procedures on buyer control in dynamic supply chain links

2015

Based on transaction cost analysis (TCA), resource dependency theory (RDT), and supply chain management literature, this study explores the effect of buyer-specific monitoring procedures on buyer control in industrial buyer-seller transactions, particularly in relation to how environmental uncertainty affects the buying firm's ability to exercise control over the supplier firm. The research design is based on primary data from a survey of 168 industrial buyer-seller relationships which map a broad set of dimensions of the economic transactions and structures in these business-to-business relationships. The empirical findings provide support for the hypotheses, and demonstrate that the effec…

Optimal Hedging of Option Portfolios with Transaction Costs

2006

One of the most successful approaches to option hedging with transaction costs is the utility based approach pioneered by Hodges and Neuberger (1989). However, this approach has one major drawback that prevents the broad application of this approach in practice: the lack of a closed-form solution. The direct numerical computations of the utility based hedging strategy are cumbersome in a practical implementation. Despite some recent advances in finding an explicit description of the utility based hedging strategy by using either asymptotic, approximation, or other methods, so far they were concerned primarily with hedging a single plain-vanilla option. However, in practice one often faces t…

Institutional Arrangements Matter for Both Efficiency and Distribution: Contributions and Challenges of the New Institutional Economics

2011

Are scholars in the New Institutional Economics tradition systematically disregarding distributive aspects when approaching policy issues as was the case during the 1970s and 1980s? Do economic and political agents usually care about distribution too? To provide an answer to these questions is the basic purpose of this chapter. The analysis carried out demonstrates that not all NIE oriented scholars disregard distributive issues. Some contributions are examined as examples, mainly in the so-called political economy branch of NIE. By means of a well-known graphical tool, the chapter also emphasizes that all of us clearly care about distribution, not just about efficiency, when participating …

El componente de selección adversa de la horquilla de precios cotizada: una revisión de los modelos de estimación

2005

-Jose.E.Farinos@uv.es -Ana.M.Ibanez@uv.es Una de las principales preocupaciones en el área de la microestructura del mercado ha sido la estimación de los componentes no observables de la horquilla de precios a partir de las series de datos que proporcionan los mercados financieros, despertando quizá un mayor interés el de selección adversa por la implicaciones que supone la existencia del mismo. Esto ha provocado el desarrollo de numerosos modelos empíricos que, basándose en las propiedades estadísticas de las series de precios, proporcionan dichas estimaciones. La mayor disponibilidad de datos existentes en los mercados ha permitido el desarrollo en los últimos años de modelos basados en t…

The Effect of EMU on Tourism

2007

Abstract This paper estimates the effect of the euro on intra-EMU tourist flows by using a panel dataset of 20 OECD countries over the period 1995–2002. The results reveal that the euro has increased tourism, with an effect of around 6.5%. This is a noticeable impact given the early stage of the EMU analyzed. The robustness checks show that the evidence of a positive impact is quite widespread across EMU destinationcountries. 1. Introduction The aim of this paper is to analyze the impact of the euro on tourism among the 12members of the Economic and Monetary Union (EMU) in Europe. One of theexpected effects of the creation of the single European currency was the increase in trade of goods an…

American Option Pricing and Exercising with Transaction Costs

2005

In this paper we examine the problem of finding the reservation option prices and corresponding exercise policies of American options in a market with proportional transaction costs using the utility based approach proposed by Davis and Zariphopoulou (1995). We present a model where the option holder has a constant absolute risk aversion. We discuss the numerical algorithm and propose a new characterization of the option holder's value function. We suggest original discretization schemes for computing reservation prices and exercise policies of American options. The discretization schemes are implemented for the cases of American put and call options. We present the study of the optimal tra…

Internal vs. external R&D teams: Evidences from the Italian wine industry

2021

R&D teams' internationalization attracts interests from different research-streams. However, the decision on what type of R&D structure is more convenient to invest in may differ, based on several factors, such as risk-taking propensity and internal resource availability. With an aim to enrich the extant literature and to provide practical insights for managers working in the wine industry, this case study explores the determinants of an Italian family-owned winery that attempts to keep a balance between its internal and external R&D teams' decision, using an integrated theoretical framework based on the transaction costs and the resource-based view theory. The optimal R&D s…

Inter-firm relationship design for achieving supply network responsiveness

2008