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Review of “The stigma trap college-educated, experienced, and long-term unemployed"
No full textReview of “The Stigma Trap: College-Educated, Experienced, and Long-term Unemployed” By Ofer Sharone Oxford University Press, 2024, 208 pages, price: $29.95 (cloth). https://global.oup.com/academic/product/the-stigma-trap-9780190239244?cc=us&lang=en
The law of one price in quadratic hedging and mean–variance portfolio selection
No full textThe law of one price (LOP) broadly asserts that identical financial flows should command the same price. We show that when properly formulated, the LOP is the minimal condition for a well-defined mean–variance portfolio allocation framework without degeneracy. Crucially, the paper identifies a new mechanism through which the LOP can fail in a continuous-time L2 -setting without frictions, namely “trading from just before a predictable stopping time”, which surprisingly identifies LOP violations even for continuous price processes. Closing this loophole allows us to give a version of the “fundamental theorem of asset pricing” appropriate in the quadratic context, establishing the equivalence of the economic concept of the LOP with the probabilistic property of the existence of a local ℰ-martingale state price density. The latter provides unique prices for all square-integrable contingent claims in an extended market and subsequently plays an important role in mean–variance portfolio selection and quadratic hedging. Mathematically, we formulate a novel variant of the uniform boundedness principle for conditionally linear functionals on the L0-module of conditionally square-integrable random variables. We then study the representation of time-consistent families of such functionals in terms of stochastic exponentials of a fixed local martingale
The Goldie equation: III. Homomorphisms from functional equations
No full textThis is the second of three sequels to (Ostaszewski in Aequat Math 90:427–448, 2016)—the third of the resulting quartet—concerning the real-valued continuous solutions of the multivariate Goldie functional equation (GFE) below of Levi–Civita type. Following on from the preceding paper (Bingham and Ostaszewski in Homomorphisms from Functional Equations: II. The Goldie Equation, arXiv:1910.05816), in which these solutions are described explicitly, here we characterize (GFE) as expressing homomorphy (in all but some exceptional “improper” cases) between multivariate Popa groups, defined and characterized earlier in the sequence. The group operation involves a form of affine addition (with local scalar acceleration) similar to the circle operation of ring theory. We show the affine action in (GFE)may be replaced by a general continuous acceleration yielding a functional equation (GGE) which it emerges has the same solution structure as (GFE). The final member of the sequence (Bingham and Ostaszewski, The Gołąb–Schinzel and Goldie functional equations in Banach algebras, arXiv:2105.07794) considers the richer framework of a Banach algebra which allows vectorial acceleration, giving the closest possible similarity to the circle operation
The importance of interdisciplinary collaboration in researching and publishing accounting history: a personal journey
No full textI review how my work on accounting history has been made possible through collaboration with experts in various fields
Tackling nonlinear price impact with linear strategies
No full textEmpirical studies in various contexts find that the price impact of large trades approximately follows a power law with exponent between 0.4 and 0.7. Yet, tractable formulas for the portfolios that trade off predictive trading signals, risk, and trading costs in an optimal manner are only available for quadratic costs corresponding to linear price impact. In this paper, we show that the resulting linear strategies allow to achieve virtually optimal performance also for realistic nonlinear price impact, if the “effective” quadratic cost parameter is chosen appropriately. To wit, for a wide range of risk levels, this leads to performance losses below 2% compared to a numerical algorithm proposed by Kolm and Ritter, run at very high accuracy. The effective quadratic cost depends on the portfolio risk and concavity of the impact function, but can be computed without any sophisticated numerics by simply maximizing an explicit scalar function
Exact simulation of quadratic intensity models
No full textWe develop efficient algorithms of exact simulation for quadratic stochastic intensity models that have become increasingly popular for modeling events arrivals, especially in economics, finance, and insurance. They have huge potential to be applied to many other areas such as operations management, queueing science, biostatistics, and epidemiology. Our algorithms are developed by the principle of exact distributional decomposition, which lies in a fully analytical expression for the joint Laplace transform of quadratic process and its integral newly derived in this paper. They do not involve any numerical Laplace inversion, have been validated by extensive numerical experiments, and substantially outperform all existing alternatives in the literature. Moreover, our algorithms are extendable to multidimensional point processes and beyond Cox processes to additionally incorporate two-sided random jumps with arbitrarily distributed sizes in the intensity for capturing self-exciting and self-correcting effects in event arrivals. Applications to portfolio loss modeling are provided to demonstrate the applicability and flexibility of our algorithms
Decoding organisational attractiveness: a fuzzy multi-criteria decision-making approach
No full textPurpose High-skilled employees are crucial for sustained competitive advantage of organisations. In the “war for talent”, organisations must position themselves as attractive employers. This study aims to introduce a unified framework to systematically identify and prioritise organisational attractiveness (OA) components, focusing on the extreme context of the airline industry. Design/methodology/approach Treating OA as a multi-criteria decision-making (MCDM) situation, this study uses the Fuzzy Delphi Method to validate key OA factors and the Fuzzy Analytical Hierarchy Process to prioritise them based on experts’ judgements. Findings This study identifies 5 criteria and 22 sub-criteria for OA, with job characteristics and person–job fit as most critical. These elements signal employment quality and skill–job alignment, reducing information asymmetry and attracting talent. Practical implications This research provides a practical framework for airline managers to identify and prioritise key aspects of OA to enhance their value proposition and attract and retain qualified employees. For policymakers, applying the OA framework supports informed policy decisions on employment standards and workforce development. Originality/value This research introduces a fuzzy OA index and a framework that enhances OA. By incorporating signalling theory into a fuzzy MCDM approach, it systematically addresses key OA components, offering a strategic method to boost OA
Who flushed first? What characterised the early adoption patterns of private drainage in London, 1812-1847?
No full textIn order to push back against the narrative that the sanitary revolution in early 19th-century England was primarily an initiative of the government, this study investigates the characteristics of drainage adoption before it was legislated under state-provision after 1848. Whilst it finds that drainage adoption during 1812-1847 was both substantial and characterised by a sanitary impulse, it also uses Mokyr’s model of Household health and knowledge consumption to hypothesise that its provision on the commodity market resulted in an adoption pattern described by an inverse relationship between drainage adoption year and income, for which servant number is used as a proxy. Whilst an inconclusive correlation between average adoption year and average servant number rejects this hypothesis, it finds that this is in large part explained by a redistributive characteristic of adoption that occurred outside the model of household consumption. More specifically, the finding that those in the wealthiest income percentile were the primary remunerators for drainage adoption amongst the poorest members of the distribution supports the cautious conclusion that drainage adoption gave rise to a ‘learning’ process amongst this group, which resulted in the increased dissipation of drainage technologies across the period and potentially provided a productive impulse for later reform
The “WEIRDEST” organizations in the world? Assessing the lack of sample diversity in organizational research
No full textSampling data from organizations and humans associated with those organizations is essential to organizational research. Much of what we know about organizations is based on such work. However, this empirical foundation may be compromised, calling into question the field’s theoretical and empirical findings. Studies often sample data from relatively similar, narrow contexts, so a lack of sample diversity accumulates in the discipline. To conceptualize this lack of sample diversity and examine its prevalence across research publications, we conduct a pre-registered systematic review of articles from 2018 to 2022 in six top management journals and another systematic review of articles from 2013 to 2022 in six additional journals (not pre-registered). Our review assesses sample country diversity while also exploring within-country factors that are relatively under or oversampled, such as the size or industry of the sampled organization. We find a lack of sample diversity, for instance, a strong bias toward WEIRD (Western, educated, industrialized, rich, and democratic) samples and an underrepresentation of small and medium-sized enterprises in organizational research. Based on the findings and past work, we introduce a conceptual framework for sample diversity along three dimensions: the sample’s geographical, organizational, and personnel contexts. Additionally, we discuss factors that contribute to a lack of sample diversity and propose guidelines for authors, reviewers, and editors to enhance it. Overall, this article seeks to improve the robustness and relevance of theoretical and empirical organizational research, thereby preventing the formulation of misinformed policies and practices in both organizational settings and broader societal contexts
