Ross' measure of risk aversion and portfolio selection

This article shows that if Ross' definition of riskier is replaced by a more traditional definition, such as a mean-preserving spread or second-degree stochastic dominance, then the application of Ross's stronger measure of risk aversion to the portfolio problem may no longer produce the desired result. It is also shown that the stronger measure may not perform satisfactorily when applied to exponential utility functions.The authors are grateful to John Pratt for his helpful comments.     

Macht in der Organisationsberatung

Power in organization counseling. A qualitative study in a hospital in East Germany Power is a main topic of this analysis of a consulting process in an East German hospital: How power is appearing within organizational consulting? What is the power the client has, and the consultants have? And what is the interrelation between power and the resistance to change? In recourse to the theory of micropolitics, power is understood as the combination of rules and distribution of resources within an organization. The consulting process itself is interpreted as the consultant’s introduction to the ongoing game the organization is playing. The qualitative case study of the consulting process in an East German hospital clearly shows, how ineffective interventions remain, if the consultants fail to recognize and take into consideration the valid combination of rules and distribution of resources. In the presented case this combination is based on the peculiar history of East Germany. It was only after the project had failed that the consultants realized that they had been practiced upon.     

Comparisons of approximate confidence intervals for the smallest extreme value distribution simple linear regression model under time censoring

Exact confidence interval estimation for accelerated life regression models with censored smallest extreme value (or Weibull) data is often impractical. This paper evaluates the accuracy of approximate confidence intervals based on the asymptotic normality of the maximum likelihood estimator, the asymptotic X²distribution of the likelihood ratio statistic, mean and variance correction to the likelihood ratio statistic, and the so-called Bartlett correction to the likelihood ratio statistic. The Monte Carlo evaluations under various degrees of time censoring show that uncorrected likelihood ratio intervals are very accurate in situations with heavy censoring. The benefits of mean and variance correction to the likelihood ratio statistic are only realized with light or no censoring. Bartlett correction tends to result in conservative intervals. Intervals based on the asymptotic normality of maximum likelihood estimators are anticonservative and should be used with much caution.     

Generalized Gauss–Hermite filtering

We consider a generalization of the Gauss–Hermite filter (GHF), where the filter density is represented by a Hermite expansion with leading Gaussian term (GGHF). Thus, the usual GHF is included as a special case. The moment equations for the time update are solved stepwise by Gauss–Hermite integration, and the measurement update is computed by the Bayes formula, again using numerical integration. The performance of the filter is compared numerically with the GHF, the UKF (unscented Kalman filter) and the EKF (extended Kalman filter) and leads to a lower mean squared filter error.     

A Model of the Macroeconomic Effects of Privatization on Employment in Transition and Developing Countries with an Application to China

It is generally agreed that privatization of state-owned enterprises improves economic efficiency, but it is also widely feared that it exacerbates unemployment especially in transition and developing economies. This paper proposes a theoretical model of the macroeconomic relationships between privatization, efficiency, output, and employment. The model explains how privatization affects employment in transition and developing economies through different, and often opposing, channels. As a result, job losses at firms being privatized may result in overall job gains or losses in the economy, depending on the macroeconomic conditions. We apply this model to China and find that the model provides an intuitively appealing explanation for the job gains and losses caused by privatization in China during its transition. The model further suggests policies to maximize the gains and minimize the costs of privatization.     

Opportunity Recognition – State of the Art und Forschungsperspektiven

The widespread acknowledgement of opportunity recognition as the distinctive attribute of entrepreneurship has led to increased research in this field. Published articles reveal a high level of heterogeneity and thus raise the demand for a review of current research on opportunity recognition. This article is aimed at providing a comprehensive and systematic overview of the existing research published between 1995 and 2006. Therefore theoretical as well as empirical research is reported and evaluated with regard to content and methodology. Furthermore, distinctive research avenues are identified. As a result four different schools of opportunity recognition are proposed: the human capital school, the cognitive school, the social capital/network school, and the learning school. Additionally a category for school-overlapping articles is introduced. The overview of the literature on opportunity recognition suggests as a next possible step the usefulness of a more qualitative approach to shed light on the diffuse concept of ‘opportunity’ itself.     

The survival of newly founded firms: a case-study into varying-coefficient models

Summary.  The success of a newly founded firm depends on various initial risk factors or start-up conditions such as the market that the business is aiming for, the experience and the age of the founder, the preparation before the launch, the financial frame and the legal form of the firm. These risk factors determine the chance of survival for the venture. However, the effects of these risk factors may change with time. Some effects may vanish whereas others remain constant. We analyse the survival of 1123 newly founded firms in the state of Bavaria, Germany. Our focus is on the investigation of time variation in the effects of risk factors. Time variation is tackled within the framework of varying-coefficient models, where time smoothly modifies the effects of risk factors. An important issue in our analysis is the separation of risk factors which have time-varying effects from those which have time constant effects. We make use of the Akaike criterion to separate these two types of risk factor.     

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