This paper studies the role of production mode in determining the effects of an increase in uncertainty on the choice of investment outlay. In a continuous-time model of optimal capital investment with innovative "R&D" under demand uncertainty, we show that investments in both capital and...

We show the existence, for any k E N, of processes which have the same k-marginals as Brownian motion, although they are not Brownian motions. For k = 4, this proves a conjecture of Stoyanov. The law P' of such a weak Brownian motion of order k can be constructed to be equivalent to Wiener...

Motivated by the Kyle-Back model of 'insider trading', we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition as semimartingales in their own filtration. In particular we characterize those transformations which generate...

A class of Volterra transforms, preserving the Wiener measure, with kernels of Goursat type is considered. Such kernels satisfy a self-reproduction property. We provide some results on the inverses of the associated Gramian matrices which lead to a new self-reproduction property. A connection to...

Robust utility functionals arise as numerical representations of investor preferences, when the investor is uncertain about the underlying probabilistic model and averse against both risk and model uncertainty. In this paper, we study the duality theory for the problem of maximizing the robust...

Motivated by the Kyle-Back model of "insider trading", we consider certain classes of linear transformations of two independent Brownian motions and study their canonical decomposition, i.e., their Doob-Meyer decomposition as semimartingales in their own filtration. In particular we characterize...

Along with the steady pace of RMB internationalization, this paper proposes Taiwan as a potential lcandidate to become the next RMB offshore center. We review the main drivers behind Hong Kong s success and set the reasons why Taiwan could follow such steps. First, Taiwan s economic ties with...

This paper examines the role of government policy in technology licensing decision. We show that both the outside and the inside innovators license a new product (or drastic process innovation) to all potential licensees in the presence of tax/subsidy policies. An implication of our analysis is...

type="main" xml:id="ecor12079-abs-0001" <p>This article examines the welfare implications of entry in oligopolistic markets with separation of management from ownership. In the presence of strategic managerial delegation and cost asymmetry, entry is socially insufficient unless the degree of scale...</p>

In order to continue on the path to convergence with advanced countries, emerging countries need to strengthen their research capabilities. Often they try to do this through the development of strategic industries. The objective of this paper is to contribute to the debate on the effectiveness...