Search results

1 – 2 of 2
Per page
102050
Citations:
Loading...
Available. Open Access. Open Access
Article
Publication date: 21 April 2022

Roengchai Tansuchat and Olga Kosheleva

In user-oriented websites, e.g. in news websites or in seller websites, it is important to take the user’s preferences into account when deciding which items to place in…

475

Abstract

Purpose

In user-oriented websites, e.g. in news websites or in seller websites, it is important to take the user’s preferences into account when deciding which items to place in higher-exposure locations. The traditional approach to solving this problem, based on maximizing the average user utility, leads to unfair solutions, and this eventually hurts the company’s bottom line. Because of this, researchers have proposed complex schemes that explicitly add fairness to the formulation of this problem. But since utilities already describe human preferences, it is strange that it is necessary to add something beyond utilities.

Design/methodology/approach

In this paper, the authors analyze the problem of selecting exposure level for different items from the viewpoint of decision theory, the basic theory underlying all our activities, including economic ones.

Findings

The authors show that a more adequate use of utilities, namely, taking into account that Nash’s bargaining solution is a proper way to make group decisions, not maximizing average utility, already leads to fair solutions.

Originality/value

The idea to apply Nash’s bargaining solution to the problem of assigning exposure level to different items is new, as well as the analysis that shows that this application restores the fairness, which is missing in the current solutions.

Details

Asian Journal of Economics and Banking, vol. 6 no. 3
Type: Research Article
ISSN: 2615-9821

Keywords

Access Restricted. View access options
Article
Publication date: 16 March 2015

Kamil Makiel

The purpose of the paper is to analyze the impact of quantitative easing (QE) performed in the USA on relationship between assets mainly from mining and oil industries. Based on…

861

Abstract

Purpose

The purpose of the paper is to analyze the impact of quantitative easing (QE) performed in the USA on relationship between assets mainly from mining and oil industries. Based on the empirical results, the method of diversified portfolio creation has been proposed.

Design/methodology/approach

Nine DCC-GARCH-type models have been estimated for each group centered around a main asset: a company from the oil or mining industry, the appropriate currency pair for its market of origin, commodities which could be used for the diversification of risk involved in investing in a portfolio containing the company, and the largest company from the same industry listed on the US market. Each series of conditional correlations was analyzed with regard to the changes that occurred during the various stages of QE.

Findings

The correlations are shown to be stabilizing in the successive stages of QE. The most significant changes in the distribution of correlations can be observed after the first stage of QE. The effects of QE are evident not only in the USA but also in other countries; however, the level of its influence varies between different markets and assets. It is possible to diversify the inflation, currency and market portfolio risk by appropriately chosen asset decomposition.

Research limitations/implications

The DCC model is limited, so to provide more precise results, more sophisticated models can be estimated and compared.

Practical implications

The paper investigate the fact of stabilization in financial markets relations. The findings may prove the validity of continuation of QE. A portfolio creation method has been proposed – it has been stated that including commodity in portfolio is more appropriate then only-bond–equity mix.

Originality/value

The new approach of analyzing financial stability has been proposed – the control for stability of conditional correlation.

Details

The Journal of Risk Finance, vol. 16 no. 2
Type: Research Article
ISSN: 1526-5943

Keywords

1 – 2 of 2
Per page
102050