990 resultados para pricing strategies


Relevância:

20.00% 20.00%

Publicador:

Resumo:

The problems arising in the logistics of commercial distribution are complexand involve several players and decision levels. One important decision isrelated with the design of the routes to distribute the products, in anefficient and inexpensive way.This article explores three different distribution strategies: the firststrategy corresponds to the classical vehicle routing problem; the second isa master route strategy with daily adaptations and the third is a strategythat takes into account the cross-functional planning through amulti-objective model with two objectives. All strategies are analyzed ina multi-period scenario. A metaheuristic based on the Iteratetd Local Search,is used to solve the models related with each strategy. A computationalexperiment is performed to evaluate the three strategies with respect to thetwo objectives. The cross functional planning strategy leads to solutions thatput in practice the coordination between functional areas and better meetbusiness objectives.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

We show that unconditionally efficient returns do not achieve the maximum unconditionalSharpe ratio, neither display zero unconditional Jensen s alphas, when returns arepredictable. Next, we define a new type of efficient returns that is characterized by thoseunconditional properties. We also study a different type of efficient returns that is rationalizedby standard mean-variance preferences and motivates new Sharpe ratios and Jensen salphas. We revisit the testable implications of asset pricing models from the perspective ofthe three sets of efficient returns. We also revisit the empirical evidence on the conditionalvariants of the CAPM and the Fama-French model from a portfolio perspective.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

The effectiveness of decision rules depends on characteristics of bothrules and environments. A theoretical analysis of environments specifiesthe relative predictive accuracies of the lexicographic rule 'take-the-best'(TTB) and other simple strategies for binary choice. We identify threefactors: how the environment weights variables; characteristics of choicesets; and error. For cases involving from three to five binary cues, TTBis effective across many environments. However, hybrids of equal weights(EW) and TTB models are more effective as environments become morecompensatory. In the presence of error, TTB and similar models do not predictmuch better than a naïve model that exploits dominance. We emphasizepsychological implications and the need for more complete theories of theenvironment that include the role of error.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

This paper presents a two-factor (Vasicek-CIR) model of the term structure of interest rates and develops its pricing and empirical properties. We assume that default free discount bond prices are determined by the time to maturity and two factors, the long-term interest rate and the spread. Assuming a certain process for both factors, a general bond pricing equation is derived and a closed-form expression for bond prices is obtained. Empirical evidence of the model's performance in comparisson with a double Vasicek model is presented. The main conclusion is that the modeling of the volatility in the long-term rate process can help (in a large amount) to fit the observed data can improve - in a reasonable quantity - the prediction of the future movements in the medium- and long-term interest rates. However, for shorter maturities, it is shown that the pricing errors are, basically, negligible and it is not so clear which is the best model to be used.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

This paper studies price determination in pharmaceutical markets using data for 25 countries, six years and a comprehensive list of products from the MIDAS IMS database. We show that market power and the quality of the product has a significantly positive impact of prices. The nationality of the producer appears to have a small and often insignificant impact on prices, which suggests that countries which regulates prices have relatively little power to do it in a way that advances narrow national interest. We produce a theoretical explanation for this phenomenon based on the fact that low negotiated prices in a country would have a knock-on effect in other markets, and is thus strongly resisted by producers.Another key finding is that the U.S. has prices that are not significantly higher than those of countries with similar income levels. This, together with the former observation on the effect of the nationality of producers casts doubt on the ability of countries to pursue "free-riding" regulation.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

This paper is concerned with the realism of mechanisms that implementsocial choice functions in the traditional sense. Will agents actually playthe equilibrium assumed by the analysis? As an example, we study theconvergence and stability properties of Sj\"ostr\"om's (1994) mechanism, onthe assumption that boundedly rational players find their way to equilibriumusing monotonic learning dynamics and also with fictitious play. Thismechanism implements most social choice functions in economic environmentsusing as a solution concept the iterated elimination of weakly dominatedstrategies (only one round of deletion of weakly dominated strategies isneeded). There are, however, many sets of Nash equilibria whose payoffs maybe very different from those desired by the social choice function. Withmonotonic dynamics we show that many equilibria in all the sets ofequilibria we describe are the limit points of trajectories that havecompletely mixed initial conditions. The initial conditions that lead tothese equilibria need not be very close to the limiting point. Furthermore,even if the dynamics converge to the ``right'' set of equilibria, it stillcan converge to quite a poor outcome in welfare terms. With fictitious play,if the agents have completely mixed prior beliefs, beliefs and play convergeto the outcome the planner wants to implement.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

Since the advent of high-throughput DNA sequencing technologies, the ever-increasing rate at which genomes have been published has generated new challenges notably at the level of genome annotation. Even if gene predictors and annotation softwares are more and more efficient, the ultimate validation is still in the observation of predicted gene product( s). Mass-spectrometry based proteomics provides the necessary high throughput technology to show evidences of protein presence and, from the identified sequences, confirmation or invalidation of predicted annotations. We review here different strategies used to perform a MS-based proteogenomics experiment with a bottom-up approach. We start from the strengths and weaknesses of the different database construction strategies, based on different genomic information (whole genome, ORF, cDNA, EST or RNA-Seq data), which are then used for matching mass spectra to peptides and proteins. We also review the important points to be considered for a correct statistical assessment of the peptide identifications. Finally, we provide references for tools used to map and visualize the peptide identifications back to the original genomic information.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

We derive an international asset pricing model that assumes local investorshave preferences of the type "keeping up with the Joneses." In aninternational setting investors compare their current wealth with that oftheir peers who live in the same country. In the process of inferring thecountry's average wealth, investors incorporate information from the domesticmarket portfolio. In equilibrium, this gives rise to a multifactor CAPMwhere, together with the world market price of risk, there existscountry-speciffic prices of risk associated with deviations from thecountry's average wealth level. The model performs signifficantly better, interms of explaining cross-section of returns, than the international CAPM.Moreover, the results are robust, both for conditional and unconditionaltests, to the inclusion of currency risk, macroeconomic sources of risk andthe Fama and French HML factor.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

By means of classical Itô's calculus we decompose option prices asthe sum of the classical Black-Scholes formula with volatility parameterequal to the root-mean-square future average volatility plus a term dueby correlation and a term due to the volatility of the volatility. Thisdecomposition allows us to develop first and second-order approximationformulas for option prices and implied volatilities in the Heston volatilityframework, as well as to study their accuracy. Numerical examples aregiven.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

This paper considers a general and informationally efficient approach to determine the optimal access pricing rule for interconnected networks. It shows that there exists a simple rule that achieves the Ramsey outcome as the unique equilibrium when networks compete in linear prices without network-based price discrimination. The approach is informationally efficient in the sense that the regulator is required to know only the marginal cost structure, i.e. the marginal cost of making and terminating a call. The approach is general in that access prices can depend not only on the marginal costs but also on the retail prices, which can be observed by consumers and therefore by the regulator as well. In particular, I consider the set of linear access pricing rules which includes any fixed access price, the Efficient Component Pricing Rule (ECPR) and the Modified ECPR as special cases. I show that in this set, there is a unique rule that implements the Ramsey outcome as the unique equilibrium independently of the underlying demand conditions.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

Cape Verde is considered part of Sahelian Africa, where drought and desertification are common occurrences. The main activity of the rural population is rain-fed agriculture, which over time has been increasingly challenged by high temporal and spatial rainfall variability, lack of inputs, limited land area, fragmentation of land, steep slopes, pests, lack of mechanization and loss of top soil by water erosion. Human activities, largely through poor farming practices and deforestation (Gomez, 1989) have accelerated natural erosion processes, shifting the balance between soil erosion and soil formation (Norton, 1987). According to previous studies, vegetation cover is one of the most important factors in controlling soil loss (Cyr et al., 1995; Hupy, 2004; Zhang et al., 2004; Zhou et al., 2006). For this reason, reforestation is a touchstone of the Cape Verdean policy to combat desertification. After Independence in 1975, the Cape Verde government had pressing and closely entangled environmental and socio-economic issues to address, as long-term desertification had resulted in a lack of soil cover, severe soil erosion and a scarcity of water resources and fuel wood. Across the archipelago, desertification was resulting from a variety of processes including poor farming practices, soil erosion by water and wind, soil and water salinity in coastal areas due to over pumping and seawater intrusion, drought and unplanned urbanization (DGA-MAAP, 2004). All these issues directly affected socio-economic vulnerability in rural areas, where about 70% of people depended directly or indirectly on agriculture in 1975. By becoming part of the Inter- State Committee for the Fight against Drought in the Sahel in 1975, the government of Cape Verde gained structured support to address these issues more efficiently. Presentday policies and strategies were defined on the basis of rational use of resources and human efforts and were incorporated into three subsequent national plans: the National Action Plan for Development (NDP) (1982–1986), the NDP (1986–1990) and the NDP (1991–1995) (Carvalho

Relevância:

20.00% 20.00%

Publicador:

Resumo:

This paper shows that information effects per se are not responsible forthe Giffen goods anomaly affecting competitive traders demands in multi-asset, noisy rational expectations equilibrium models. The role thatinformation plays in traders strategies also matters. In a market withrisk averse, uninformed traders, informed agents havea dual motive for trading: speculation and market making. Whilespeculation entails using prices to assess the effect of private signalerror terms, market making requires employing them to disentangle noisetraders effects in traders aggregate orders. In a correlated environment,this complicates a trader s signal-extraction problem and maygenerate upward-sloping demand curves. Assuming either (i) that competitive,risk neutral market makers price the assets, or that (ii) the risktolerance coefficient of uninformed traders grows without bound, removesthe market making component from informed traders demands, rendering themwell behaved in prices.

Relevância:

20.00% 20.00%

Publicador:

Resumo:

In this paper we consider the equilibrium effects of an institutionalinvestor whose performance is benchmarked to an index. In a partialequilibrium setting, the objective of the institutional investor is modeledas the maximization of expected utility (an increasing and concave function,in order to accommodate risk aversion) of final wealth minus a benchmark.In equilibrium this optimal strategy gives rise to the two-beta CAPM inBrennan (1993): together with the market beta a new risk-factor (that wecall active management risk) is brought into the analysis. This new betais deffined as the normalized (to the benchmark's variance) covariancebetween the asset excess return and the excess return of the market overthe benchmark index. Different to Brennan, the empirical test supports themodel's predictions. The cross-section return on the active management riskis positive and signifficant especially after 1990, when institutionalinvestors have become the representative agent of the market.