Optimal Investment with Stochastic Interest Rates and Ambiguity

This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about the risk premia, the volatilities, and the correlation. The investor's preferences display both risk aversion and ambiguity aversion. The optimal investment problem can be solved in closed-form under typical market conditions. The solution shows that the investor does not hedge ambiguity but only risk, while the ambiguity only affects the speculative motives of the investor. An implementation of the optimal investment strategy shows the impact of the different sources of ambiguity. Ambiguity aversion helps to tame the highly leveraged portfolios neglecting ambiguity and leads to strategies that are more in line with popular investment advice. The solution method for the optimal investment problem is based on an extension of the martingale optimality principle

Efficient Implementation with Interdependent Valuations and Maxmin Agents

We consider a single object allocation problem with multidimensional signals and interdependent valuations. When agents signals are statistically independent, Jehiel and Moldovanu show that efficient and Bayesian incentive compatible mechanisms generally do not exist. In this paper, we extend the standard model to accommodate maxmin agents and obtain necessary as well as sufficient conditions under which efficient allocations can be implemented. In particular, we derive a condition that quantifies the amount of ambiguity necessary for efficient implementation. We further show that under some natural assumptions on the preferences, this necessary amount of ambiguity becomes sufficient. Finally, we provide a definition of informational size such that given any nontrivial amount of ambiguity, efficient allocations can be implemented if agents are sufficiently informationally small

CHR Grammars

A grammar formalism based upon CHR is proposed analogously to the way Definite Clause Grammars are defined and implemented on top of Prolog. These grammars execute as robust bottom-up parsers with an inherent treatment of ambiguity and a high flexibility to model various linguistic phenomena. The formalism extends previous logic programming based grammars with a form of context-sensitive rules and the possibility to include extra-grammatical hypotheses in both head and body of grammar rules. Among the applications are straightforward implementations of Assumption Grammars and abduction under integrity constraints for language analysis. CHR grammars appear as a powerful tool for specification and implementation of language processors and may be proposed as a new standard for bottom-up grammars in logic programming. To appear in Theory and Practice of Logic Programming (TPLP), 2005Comment: 36 pp. To appear in TPLP, 200

Identity ambiguity and the promises and practices of hybrid e-HRM project teams

The role of IS project team identity work in the enactment of day-to-day relationships with their internal clients is under-researched. We address this gap by examining the identity work undertaken by an electronic human resource management (e-HRM) 'hybrid' project team engaged in an enterprise-wide IS implementation for their multi-national organisation. Utilising social identity theory, we identify three distinctive, interrelated dimensions of project team identity work (project team management, team 'value propositions' (promises) and the team's 'knowledge practice'). We reveal how dissonance between two perspectives of e-HRM project identity work (clients' expected norms of project team's service and project team's expected norms of themselves) results in identity ambiguity. Our research contributions are to identity studies in the IS project management, HR and hybrid literatures and to managerial practice by challenging the assumption that hybrid experts are the panacea for problems associated with IS projects

Uniqueness of the Fock quantization of scalar fields in spatially flat cosmological spacetimes

We study the Fock quantization of scalar fields in (generically) time dependent scenarios, focusing on the case in which the field propagation occurs in --either a background or effective-- spacetime with spatial sections of flat compact topology. The discussion finds important applications in cosmology, like e.g. in the description of test Klein-Gordon fields and scalar perturbations in Friedmann-Robertson-Walker spacetime in the observationally favored flat case. Two types of ambiguities in the quantization are analyzed. First, the infinite ambiguity existing in the choice of a Fock representation for the canonical commutation relations, understandable as the freedom in the choice of inequivalent vacua for a given field. Besides, in cosmological situations, it is customary to scale the fields by time dependent functions, which absorb part of the evolution arising from the spacetime, which is treated classically. This leads to an additional ambiguity, this time in the choice of a canonical pair of field variables. We show that both types of ambiguities are removed by the requirements of (a) invariance of the vacuum under the symmetries of the three-torus, and (b) unitary implementation of the dynamics in the quantum theory. In this way, one arrives at a unique class of unitarily equivalent Fock quantizations for the system. This result provides considerable robustness to the quantum predictions and renders meaningful the confrontation with observation.Comment: 15 pages, version accepted for publication in JCA

Policies that Succeed and Programs that Fail? Ambiguity, Conflict, and Crisis in Greek Higher Education

Why do some policies adopted by a wide margin fail to be implemented? Highlighting the role of policy entrepreneurial strategies within the Multiple Streams Approach (MSA), we examine the implementation of Greek higher education reform in 2011 to argue that when policies adversely affect the status quo, successful entrepreneurial strategies of issue-linkage and framing, side payments, and institutional rule manipulation are more likely to lead to implementation failure under conditions of crisis, centralized monopoly, and inconsistent political communication. The findings clarify MSA by specifying the conditions that increase the coupling strategies’ chances of success or failure and illuminate the role ambiguity and conflict play in policy reform and implementation

EU Facilitated Dialogue: Another exercise in constructive ambiguity. CEPS Commentary, 28 August 2015

Under the auspices of the EU, Belgrade and Pristina have signed new agreements on how to further normalise their relations. Yet these agreements, including on the creation of an Association/Community of Serb majority municipalities in Kosovo, are the continuation of an exercise in constructive ambiguity, argues Dusan Reljic in this CEPS Commentary. He makes the point that the proper implementation of these much heralded agreements will be something of a challenge

SECURITIES/ADMINISTRATIVE LAW—INTERNAL REPORTERS WHO BLOW THE WHISTLE: ARE THEY PROTECTED UNDER THE DODD-FRANK ACT’S ANTI-RETALIATION PROVISION?

In 2010, Congress enacted the Dodd-Frank Wall Street and Consumer Protection Act (the “Dodd-Frank Act”), which was a sweeping piece of legislation that required the implementation of new rules and regulations throughout the financial industry. Interpretative ambiguity exists within the Dodd-Frank Act’s whistleblower program, which provides a definition of who qualifies as a whistleblower, and an anti-retaliation provision, which is intended to protect whistleblowers from retaliation. The ambiguity arises because a whistleblower is defined as an individual who makes a report to the Securities and Exchange Commission (the “SEC”). However, the anti-retaliation provision describes three categories of protected whistleblowing activities, one of which can be construed as an exception to the whistleblower definition since it does not require disclosure to the SEC. The SEC sought to clarify this ambiguity by issuing a rule (the “SEC’s Rule”) explaining that retaliation protection under the Dodd-Frank Act extends to an individual who only reports possible securities law violations through his employer’s internal whistleblowing procedures

SECURITIES/ADMINISTRATIVE LAW—INTERNAL REPORTERS WHO BLOW THE WHISTLE: ARE THEY PROTECTED UNDER THE DODD-FRANK ACT’S ANTI-RETALIATION PROVISION?

In 2010, Congress enacted the Dodd-Frank Wall Street and Consumer Protection Act (the “Dodd-Frank Act”), which was a sweeping piece of legislation that required the implementation of new rules and regulations throughout the financial industry. Interpretative ambiguity exists within the Dodd-Frank Act’s whistleblower program, which provides a definition of who qualifies as a whistleblower, and an anti-retaliation provision, which is intended to protect whistleblowers from retaliation. The ambiguity arises because a whistleblower is defined as an individual who makes a report to the Securities and Exchange Commission (the “SEC”). However, the anti-retaliation provision describes three categories of protected whistleblowing activities, one of which can be construed as an exception to the whistleblower definition since it does not require disclosure to the SEC. The SEC sought to clarify this ambiguity by issuing a rule (the “SEC’s Rule”) explaining that retaliation protection under the Dodd-Frank Act extends to an individual who only reports possible securities law violations through his employer’s internal whistleblowing procedures