This paper analyzes the relationship of ownership concentration and firm performance in the context of different institutional environments in 28 Central and Eastern European transition economies. Using the BEEPS data for the period from 2002 to 2009 we find an inverted u-shaped relation of ownership concentration and firm performance for those firms that operate in non-EU-member countries as w...

Predictions about investor portfolio holdings can provide powerful tests of asset pricing theories. In the context of Markowitz portfolio selection problem, this paper develops an algorithm which determines the structural parameters in both the investor's return-generating process and the utility function based upon the actual portfolio choices made by each investor. We refer to this problem as...

The seller of a contingent claim H can always find a self-financing investment strategy that (super)hedges the claim H. When the seller wants to endow an initial capital x less than the one required to get perfect (super)hedging, the shortfall risk minimisation problem arises in a natural way. The aim is to find the strategy that minimises E{`([H(ST )−V x,φ T ])} (shortfall risk), where V x,φ t...

This study analyzes the interaction of agency problems in public policy and of agency problems inside the firm: it investigates the case of a large privatized firm subject to many policy constraints. The last steps of Telefonica’s privatization were designed to promote a dispersed ownership and give managers a high level of discretion in running the company. This effectively created an agency p...

The USSR possessed a unique national public health system that included an agency named "anti-plague system." Its mission was to protect the country from highly dangerous diseases of either natural or laboratory etiology. During the 1960s, the anti-plague system became the lead agency of a program to defend against biological warfare, codenamed Project 5. This responsibility grew and by the mid...

This paper analyzes a multi-task agency framework where the agent exhibits task-specific abilities. It illustrates how incentive contracts account for the agent’s task-specific abilities if contractible performance measures do not reflect the agent’s multidimensional contribution to firm value. This paper further sheds light on potential ranking criteria for performance measures in multi-task p...

We study the optimal behavior of an investor who is forced to withdraw funds continuously at a xed rate per unit time (e.g., to pay for a liability, to consume, or to pay dividends). The investor is allowed to invest in any or all of a given number of risky stocks, whose prices follow geometric Brownian motion, as well as in a riskless asset which has a constant rate of return. The fact that th...