Preparing a Negotiated R&D Portfolio with a Prediction Market

The main objective of this research is to use prediction markets as negotiation agents, for supporting R&D portfolio management. To support this research, we iteratively designed, developed, operated and evaluated several prototypes. We start by presenting the weaknesses of the current techniques for managing R&D portfolio. Then, we intend to demonstrate that prediction markets correct these weaknesses in R&D portfolio management. Furthermore, following a design science paradigm, we illustrate the design of our artifacts using build-and- evaluate loops supported with a field study, which consisted in operating the prediction markets in different settings

Prediction Markets As an Innovative Way to Manage R&D Portfolios

R&D portfolio management is a critical task with which the majority of the large companies are confronted. Despite its wide implementation in companies, there are no widely accepted and used methods to perform this task. Each company uses its own mix of various qualitative and quantitative methods to achieve its goal. The objective of this thesis is to explore the adequacy to use a prediction market for supporting the R&D portfolio management process. We chose prediction markets to perform this task since their aggregation mechanisms and information discovery process seems to solve most of the current issues of the R&D portfolio management process

The zero-interest-rate and the role of the exchange rate for monetary policy in Japan

In this paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United States and the euro area with rational expectations and nominal rigidities. First, we provide a quantitative analysis of the impact of the zero bound on the effectiveness of interest rate policy in Japan in terms of stabilizing output and inflation. Then we evaluate three concrete proposals that focus on depreciation of the currency as a way to ameliorate the effect of the zero bound and evade a potential liquidity trap. Finally, we investigate the international consequences of these proposals

The Zero-Interest-Rate and the Role of the Exchange Rate for Monetary Policy in Japan

In this paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United States and the euro area with rational expectations and nominal rigidities. First, we provide a quantitative analysis of the impact of the zero bound on the effectiveness of interest rate policy in Japan in terms of stabilizing output and inflation. Then we evaluate three concrete proposals that focus on depreciation of the currency as a way to ameliorate the effect of the zero bound and evade a potential liquidity trap. Finally, we investigate the international consequences of these proposals.monetary policy rules, zero interest rate bound, liquidity trap, rational expectations, nominal rigidities, exchange rates, monetary transmission.

Dynamic hedging strategies: an application to the crude oil market

International audienceThis article analyses long-term dynamic hedging strategies relying on term structure models of commodity prices and proposes a new way to calibrate the models which takes into account the error associated with the hedge ratios. Different strategies, with maturities up to seven years, are tested on the American crude oil futures market. The study considers three recent and efficient models respectively with one, two, and three factors. The continuity between the models makes it possible to compare their performances which are judged on the basis of the errors associated with a delta hedge. The strategies are also tested for their sensitivity to the maturities of the positions and to the frequency of the portfolio rollover. We found that our method gives the best of two seemingly incompatible worlds: the higher liquidity of short-term futures contracts for the hedge portfolios, together with markedly improved performances. Moreover, even if it is more complex, the three-factor model is by far, the best

Institutional investors in Germany : insurance companies and investment funds

This chapter focuses on institutional investors in the German financial markets. Institutional investors are specialized financial intermediaries who collect and manage funds on behalf of small investors toward specific objectives in terms of risk, return and maturity. The major types of institutional investors in Germany are insurance companies and investment funds. We will examine the nature of their businesses, their size and role in the financial sector, the size and the composition of the assets under their management, aspects of financ ial regulation, and features of their asset-liability-management

Why the Law Hates Speculators: Regulation and Private Ordering in the Market for OTC Derivatives

A wide variety of statutory and common law doctrines in American law evidence hostility towards speculation. Conventional economic theory, however, generally views speculation as an efficient form of trading that shifts risk to those who can bear it most easily and improves the accuracy of market prices. This Article reconciles the apparent conflict between legal tradition and economic theory by explaining why some forms of speculative trading may be inefficient. It presents a heterogeneous expectations model of speculative trading that offers important insights into antispeculation laws in general, and the ongoing debate concerning over-the-counter (OTC) derivatives in particular. Although trading in OTC derivatives is presently largely unregulated, the Commodity Futures Trading Commission recently announced its intention to consider substantively regulating OTC derivatives under the Commodity Exchange Act (CEA). Because the CEA is at heart an antispeculation law, the heterogeneous expectations model of speculation offers policy support for the CFTC\u27s claim of regulatory jurisdiction. This model also, however, suggests an alternative to the apparently binary choice now available to lawmakers (i. e., either regulate OTC derivatives under the CEA, or exempt them). That alternative would be to regulate OTC derivatives in the same manner that the common law traditionally regulated speculative contracts: as permitted, but legally unenforceable, agreements. By requiring derivatives traders to rely on private ordering to ensure the performance of their agreements, this strategy may offer significant advantages in discouraging welfare-reducing speculation based on heterogeneous expectations while protecting more beneficial forms of derivatives trading

European Accounting Harmonisation: Consequences of IFRS Adoption on Trade in Goods and Foreign Direct Investments

This paper focuses on the importance of accounting harmonisation in foreign activities at country level. The adoption of International Financial Reporting Standards (IFRS) is considered to reduce information costs among countries and, therefore, encourage international trade in goods and investment. The results provide evidence that benefits exist in terms of trade in goods and foreign direct investments (FDI) when IFRS are adopted.IFRS, trade in goods, FDI, gravity

Burden of Production in Merger Cases Litigating Divestiture Fixes: Amicus Brief

In this amicus brief to the D.C. District Court judge, Amy Berman Jackson, in the U.S. v Assa Abloy, we explain the legal and policy rationales for courts to place the burden of on the merging parties to produce sufficient evidence that the divestiture will preserve competition to rebut the anticompetitive structural presumption based on the market shares of the unremedied merger that was reported to the agencies in the Hart-Scott-Rodino filing