Bundling and competition for slots: On the portfolio effects of bundling

We consider competition among sellers when each of them sells a portfolio ofdistinct products to a buyer having limited slots. We study how bundling affectscompetition for slots. Under independent pricing, equilibrium often does not existand hence the outcome is often inefficient. When bundling is allowed, each sellerhas an incentive to bundle his products and an efficient equilibrium always exists.Furthermore, in the case of digital goods, all equilibria are efficient if slotting contracts are prohibited. We also identify portfolio effects of bundling and analyze theconsequences on horizontal mergers. Finally, we derive clear-cut policy implications.

Portfolio choice beyond the traditional approach

This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always made explicit in terms of investor s wealth, information, and horizon: The investor makes a single portfolio choice based only on the mean and variance of her final financial wealth and she knows the relevant parameters in that computation. First, the paper describes traditional portfolio choice based on four basic assumptions, while the rest of the sections extend those assumptions. Each section will describe the corresponding equilibrium implications in terms of portfolio advice and asset pricing.

The great diversification and its undoing

We investigate the hypothesis that macroeconomic fluctuations are primitively theresults of many microeconomic shocks, and show that it has significant explanatorypower for the evolution of macroeconomic volatility. We define ?fundamental? volatilityas the volatility that would arise from an economy made entirely of idiosyncratic microeconomicshocks, occurring primitively at the level of sectors or firms. In its empiricalconstruction, motivated by a simple model, the sales share of different sectors vary overtime (in a way we directly measure), while the volatility of those sectors remains constant.We find that fundamental volatility accounts for the swings in macroeconomicvolatility in the US and the other major world economies in the past half century. Itaccounts for the ?great moderation? and its undoing. Controlling for our measure offundamental volatility, there is no break in output volatility. The initial great moderationis due to a decreasing share of manufacturing between 1975 and 1985. The recentrise of macroeconomic volatility is due to the increase of the size of the financial sector.We provide a model to think quantitatively about the large comovement generated byidiosyncratic shocks. As the origin of aggregate shocks can be traced to identifiablemicroeconomic shocks, we may better understand the origins of aggregate fluctuations.

The relationship of capitalization period length with market portfolio composition and betas

Beta coefficients are not stable if we modify the observation periods of the returns. The market portfolio composition also varies, whereas changes in the betas are the same, whether they are calculated as regression coefficients or as a ratio of the risk premiums. The instantaneous beta, obtained when the capitalization frequency approaches infinity, may be a useful tool in portfolio selection.

Discrete analysis of dividend payments in a non-life insurance portfolio

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under diferent hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure

The individual life model has always been considered as the one closest to the real situation of the total claims of a life insurance portfolio. It only makes the ¿nearly inevitable assumption¿ of independence of the lifelenghts of insured persons in the portfolio. Many clinical studies, however, have demonstrated positive dependence of paired lives such as husband and wife. In our opinion, it won¿t be unrealistic expecting a considerable number of married couples in any life insurance portfolio (e.g. life insurance contracts formalized at the time of signing a mortatge) and these dependences materially increase the values for the stop-loss premiums associated to the aggregate claims of the portfolio. Since the stop-loss order is the order followed by any risk averse decison maker, the simplifying hypothesis of independence constitute a real financial danger for the company, in the sense that most of their decisions are based on the aggregated claims distribution. In this paper, we will determine approximations for the distribution of the aggregate claims of a life insurance portfolio with some married couples and we will describe how to make safe decisions when we don¿t know exactly the dependence structure between the risks in each couple. Results in this paper are partly based on results in Dhaene and Goovaerts (1997)

The aggregate claims distribution of a life insurance portfolio with a pairwise positive dependence structure

The individual life model has always been considered as the one closest to the real situation of the total claims of a life insurance portfolio. It only makes the ¿nearly inevitable assumption¿ of independence of the lifelenghts of insured persons in the portfolio. Many clinical studies, however, have demonstrated positive dependence of paired lives such as husband and wife. In our opinion, it won¿t be unrealistic expecting a considerable number of married couples in any life insurance portfolio (e.g. life insurance contracts formalized at the time of signing a mortatge) and these dependences materially increase the values for the stop-loss premiums associated to the aggregate claims of the portfolio. Since the stop-loss order is the order followed by any risk averse decison maker, the simplifying hypothesis of independence constitute a real financial danger for the company, in the sense that most of their decisions are based on the aggregated claims distribution. In this paper, we will determine approximations for the distribution of the aggregate claims of a life insurance portfolio with some married couples and we will describe how to make safe decisions when we don¿t know exactly the dependence structure between the risks in each couple. Results in this paper are partly based on results in Dhaene and Goovaerts (1997)

The relationship of capitalization period length with market portfolio composition and betas

Beta coefficients are not stable if we modify the observation periods of the returns. The market portfolio composition also varies, whereas changes in the betas are the same, whether they are calculated as regression coefficients or as a ratio of the risk premiums. The instantaneous beta, obtained when the capitalization frequency approaches infinity, may be a useful tool in portfolio selection.

Discrete analysis of dividend payments in a non-life insurance portfolio

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under diferent hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.

Molecular phylogenetics and temporal diversification in the genus Aeromonas based on the sequences of five housekeeping genes

Several approaches have been developed to estimate both the relative and absolute rates of speciation and extinction within clades based on molecular phylogenetic reconstructions of evolutionary relationships, according to an underlying model of diversification. However, the macroevolutionary models established for eukaryotes have scarcely been used with prokaryotes. We have investigated the rate and pattern of cladogenesis in the genus Aeromonas (γ-Proteobacteria, Proteobacteria, Bacteria) using the sequences of five housekeeping genes and an uncorrelated relaxed-clock approach. To our knowledge, until now this analysis has never been applied to all the species described in a bacterial genus and thus opens up the possibility of establishing models of speciation from sequence data commonly used in phylogenetic studies of prokaryotes. Our results suggest that the genus Aeromonas began to diverge between 248 and 266 million years ago, exhibiting a constant divergence rate through the Phanerozoic, which could be described as a pure birth process.

The Imprint of Geologic History on Within‐Island Diversification of Woodlouse-­Hunter Spiders (Araneae, Dysderidae) in the Canary Islands.

Geological processes and ecological adaptation are major drivers of diversification on oceanic islands. Although diversification in these islands is often interpreted as resulting from dispersal or island hopping rather than vicariance, this may not be the case in islands with complex geological histories. The island of Tenerife, in the Canary Islands, emerged in the late Miocene as 3 precursor islands that were subsequently connected and reisolated by volcanic cycles. The spider Dysdera verneaui is endemic to the island of Tenerife, where it is widely distributed throughout most island habitats, providing an excellent model to investigate the role of physical barriers and ecological adaptation in shaping within-island diversity. Here, we present evidence that the phylogeographic patterns of this species trace back to the independent emergence of the protoislands. Molecular markers (mitochondrial genes cox1, 16S, and nad1 and the nuclear genes ITS-2 and 28S) analyzed from 100 specimens (including a thorough sampling of D. verneaui populations and additional outgroups) identify 2 distinct evolutionary lineages that correspond to 2 precursor islands, each with diagnostic genital characters indicative of separate species status. Episodic introgression events between these 2 main evolutionary lineages explain the observed incongruence between mitochondrial and nuclear markers, probably as a result of the homogenization of their ITS-2 sequence types. The most widespread lineage exhibits a complex population structure, which is compatible with either secondary contact, following connection of deeply divergent lineages, or alternatively, a back colonization from 1 precursor island to another.

The Imprint of Geologic History on Within‐Island Diversification of Woodlouse-­Hunter Spiders (Araneae, Dysderidae) in the Canary Islands.

Geological processes and ecological adaptation are major drivers of diversification on oceanic islands. Although diversification in these islands is often interpreted as resulting from dispersal or island hopping rather than vicariance, this may not be the case in islands with complex geological histories. The island of Tenerife, in the Canary Islands, emerged in the late Miocene as 3 precursor islands that were subsequently connected and reisolated by volcanic cycles. The spider Dysdera verneaui is endemic to the island of Tenerife, where it is widely distributed throughout most island habitats, providing an excellent model to investigate the role of physical barriers and ecological adaptation in shaping within-island diversity. Here, we present evidence that the phylogeographic patterns of this species trace back to the independent emergence of the protoislands. Molecular markers (mitochondrial genes cox1, 16S, and nad1 and the nuclear genes ITS-2 and 28S) analyzed from 100 specimens (including a thorough sampling of D. verneaui populations and additional outgroups) identify 2 distinct evolutionary lineages that correspond to 2 precursor islands, each with diagnostic genital characters indicative of separate species status. Episodic introgression events between these 2 main evolutionary lineages explain the observed incongruence between mitochondrial and nuclear markers, probably as a result of the homogenization of their ITS-2 sequence types. The most widespread lineage exhibits a complex population structure, which is compatible with either secondary contact, following connection of deeply divergent lineages, or alternatively, a back colonization from 1 precursor island to another.

The Imprint of Geologic History on Within‐Island Diversification of Woodlouse-­Hunter Spiders (Araneae, Dysderidae) in the Canary Islands.

Geological processes and ecological adaptation are major drivers of diversification on oceanic islands. Although diversification in these islands is often interpreted as resulting from dispersal or island hopping rather than vicariance, this may not be the case in islands with complex geological histories. The island of Tenerife, in the Canary Islands, emerged in the late Miocene as 3 precursor islands that were subsequently connected and reisolated by volcanic cycles. The spider Dysdera verneaui is endemic to the island of Tenerife, where it is widely distributed throughout most island habitats, providing an excellent model to investigate the role of physical barriers and ecological adaptation in shaping within-island diversity. Here, we present evidence that the phylogeographic patterns of this species trace back to the independent emergence of the protoislands. Molecular markers (mitochondrial genes cox1, 16S, and nad1 and the nuclear genes ITS-2 and 28S) analyzed from 100 specimens (including a thorough sampling of D. verneaui populations and additional outgroups) identify 2 distinct evolutionary lineages that correspond to 2 precursor islands, each with diagnostic genital characters indicative of separate species status. Episodic introgression events between these 2 main evolutionary lineages explain the observed incongruence between mitochondrial and nuclear markers, probably as a result of the homogenization of their ITS-2 sequence types. The most widespread lineage exhibits a complex population structure, which is compatible with either secondary contact, following connection of deeply divergent lineages, or alternatively, a back colonization from 1 precursor island to another.

Molecular phylogenetics and temporal diversification in the genus Aeromonas based on the sequences of five housekeeping genes

Several approaches have been developed to estimate both the relative and absolute rates of speciation and extinction within clades based on molecular phylogenetic reconstructions of evolutionary relationships, according to an underlying model of diversification. However, the macroevolutionary models established for eukaryotes have scarcely been used with prokaryotes. We have investigated the rate and pattern of cladogenesis in the genus Aeromonas (γ-Proteobacteria, Proteobacteria, Bacteria) using the sequences of five housekeeping genes and an uncorrelated relaxed-clock approach. To our knowledge, until now this analysis has never been applied to all the species described in a bacterial genus and thus opens up the possibility of establishing models of speciation from sequence data commonly used in phylogenetic studies of prokaryotes. Our results suggest that the genus Aeromonas began to diverge between 248 and 266 million years ago, exhibiting a constant divergence rate through the Phanerozoic, which could be described as a pure birth process.