Progetto di integrazione di strumenti per l'asset management in funzione di privacy e sicurezza

Progetto per l'integrazione degli strumenti attualmente utilizzati per l'amministrazione degli asset in funzione anche della normativa in vigore.

Essays on Asset Trade

The overreaching methodology of my Ph.D. thesis is to substitute noise traders with rational traders. I do so by considering liquidity asymmetry between informed trader and uninformed traders. Liquidity asymmetry creates a motive for trade. Under this new setup, I study the impact of asset trade on the real economy, represented by a firm with an investment opportunity, in chapter 1 ("Efficient Asset Trade - A Model with Asymmetric Information and Asymmetric Liquidity Needs"). I find conditions for which asset trade leads to inefficient investment. Chapter 2 ("(In)Efficient Asset Trade and a Rationale for a Tobin Tax") characterizes a tax which can restore efficient investment. In chapter 3, I show that finitely repeated trade, as in Kyle (1985) and Ostrovsky (2012), does not necessarily lead to information revelation if traders are fully rational.

Un modello di asset allocation strategica

La tesi affronta il problema di Finanza Matematica dell'asset allocation strategica che consiste nel processo di ripartizione ottimale delle risorse tra diverse attività finanziarie presenti su un mercato. Sulla base della teoria di Harry Markowitz, attraverso passaggi matematici rigorosi si costruisce un portafoglio che risponde a dei requisiti di efficienza in termini di rapporto rischio-rendimento. Vengono inoltre forniti esempi di applicazione elaborati attraverso il software Mathematica.

Socialism and intrafirm asset allocation

We rely on a survey of Swiss firms to document deviation from first-best for reasons of internal 'fairness' when allicating resources. This 'socialist' practice is more widespread in smaller than in larger firms. It ignores the reputation and past performance of the managers who apply for dunding, but takes into account their hierarchical position and their past use of resources. Socialism is only partially explained by concerns about empire building and managerial optimism, and it is not meant to benefit shareholders.

Multiasset Derivatives and Joint Distributions of Asset Prices

Several of multiasset derivatives like basket options or options on the weighted maximum of assets exhibit the property that their prices determine uniquely the underlying asset distribution. Related to that the question how to retrieve this distributions from the corresponding derivatives quotes will be discussed. On the contrary, the prices of exchange options do not uniquely determine the underlying distributions of asset prices and the extent of this non-uniqueness can be characterised. The discussion is related to a geometric interpretation of multiasset derivatives as support functions of convex sets. Following this, various symmetry properties for basket, maximum and exchange options are discussed alongside with their geometric interpretations and some decomposition results for more general payoff functions.

The Impact of Human Asset Specificity on the Sourcing of Application Services

The question concerning the circumstances under which it is advantageous for a company to outsource certain information systems functions has been a controversial issue for the last decade. While opponents emphasize the risks of outsourcing based on the loss of strategic potentials and increased transaction costs, proponents emphasize the strategic benefits of outsourcing and high potentials of cost-savings. This paper brings together both views by examining the conditions under which both the strategic potentials as well as savings in production and transaction costs of developing and maintaining software applications can better be achieved in-house as opposed to by an external vendor. We develop a theoretical framework from three complementary theories and test it empirically based on a mail survey of 139 German companies. The results show that insourcing is more cost efficient and advantageous in creating strategic benefits through IS if the provision of application services requires a high amount of firm specific human assets. These relationships, however, are partially moderated by differences in the trustworthiness and intrinsic motivation of internal versus external IS professionals. Moreover, capital shares with an external vendor can lower the risk of high transaction costs as well the risk of loosing the strategic opportunities of an IS.

A Question of Title: Property Rights and Asset Values

This paper examines the impact of land title systems on property values. The predominant system in the U.S., the recording system, awards title to claimants over current possessors, whereas the Torrens registration system awards title to the current owner. In theory, the registration system maximizes property value, all else equal, but in practice, the systems differ depending on the risk of a claim and administrative costs. A natural experiment in Cook County, Illinois, where both systems have existed since 1897, allows a test of the theory. The results, based on commercial and industrial properties, reveal that parcels tend to self-select into the two systems based on the predictions of the theory.

International Transfer Pricing for Goods and Intangible Asset Licenses in a Decentralized Multinational Corporation: Review and Extensions

We review and extend the core literature on international transfer price manipulation to avoid or evade taxes. Under negotiated transfer pricing with a viable bargaining structure, including performance evaluation disconnected from the transfer price, divisions voluntarily exchange accurate information to obtain firm-wide optimality, a result not dependent on restraint from exercising internal market power. For intangible licenses, a larger optimal profit shift for a given tax rate change strengthens incentives for transfer pricing abuse. In practice, an intangible's arm's length range is viewed as a guideline, a context where incentives for abuse materialize. Transfer pricing for intangibles obliges greater tax authority scrutiny.