Portfolio Optimization in a Semi-Markov Modulated Market

We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.

Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

A Study on the Success Potential of Multiple Mobile Payment Technologies

Payment systems all over the world have grown into a complicated web of solutions. This is more challenging in the case of mobile based payment systems. Mobile based payment systems are many and consist of different technologies providing different services. The diffusion of these various technologies in a market is uncertain. Diffusion theorists, for example Rogers, and Davis suggest how innovation is accepted in markets. In the case of electronic payment systems, the tale of Mondex vs Octopus throws interesting insights on diffusion. Our paper attempts to understand the success potential of various mobile payment technologies. We illustrate what we describe as technology breadth in mobile payment systems using data from payment systems all over the world (n=62). Our data shows an unexpected superiority of SMS technology, over other technologies like NFC, WAP and others. We also used a Delphi based survey (n=5) with experts to address the possibility that SMS will gain superiority in market diffusion. The economic conditions of a country, particularly in developing countries, the services availed and characteristics of the user (for example number of un-banked users in large populated countries) may put SMS in the forefront. This may be true more for micro payments using the mobile.

Sustainability through remanufacturing in India: a case study on mobile handsets

Remanufacturing activities in India are still in nascent stages. However, the substantial growth of Indian economy, coupled with serious issues of population and environmental burden demands a radical shift in market strategies and legislations. The scattered and inefficient product recovery methods prevalent in India are unable to cope with increasing environmental and economic burden on the society - remanufacturing seems to be a promising strategy to explore for these. Our study investigated from a user's context the opportunity of establishing remanufacturing as a formal activity, answering the fundamental questions of whether remanufactured products would be accepted by Indian consumers and how these will fit into the Indian market. The study of the Indian mobile phone market eco-system showed how mobile phones currently move through the value chain, and the importance of the grey and used phone markets in this movement. A prescriptive model has been proposed which utilizes the usage patterns of different consumer groups to create a self-sustainable demand-supply system, potentially complementing frameworks such as the Automotive Remanufacturing Decision-Making Framework (RDMF). (C) 2011 Elsevier Ltd. All rights reserved.