Gorli Chaitanya, S. Tejaswini, Sony Hiremath, G. Santhoshi Gondesi, K. Kameswari, P. Ramesh, Veena Bhavikatti, O. Omnamasivaya
Organizations support leadership development training programs to continuously improve the level of leadership competence and the supply of suitable applicants for leadership roles. One of the skills that entrepreneurs should cultivate to become “leaders” is leadership competency. In entrepreneurship, leadership has a significant role. Therefore, the purpose of this study is to explore the role of leadership development programs that include personal development, self-assessment, team management, strategic leadership, skilled knowledge, and relationship development, to know the way they influence entrepreneurial activities. To test the hypothesis under study, this research applies the Structural Equation Modelling (SEM) approach to the data being gathered from 365 employees and managers of entrepreneurial business firms in India. The obtained results show that personal development, skilled knowledge, and relationship development have a beneficial impact on entrepreneurial activities. In contrast, self-assessment, team management, and strategic leadership are found to have no beneficial impact on entrepreneurial activities. The combination of the ideas of leadership and entrepreneurship is suggested in this study, filling the gap in the previously provided cross-sectional data of the literature.
{"title":"An empirical study on the role of leadership development program and its impact on entrepreneurial activities","authors":"Gorli Chaitanya, S. Tejaswini, Sony Hiremath, G. Santhoshi Gondesi, K. Kameswari, P. Ramesh, Veena Bhavikatti, O. Omnamasivaya","doi":"10.3233/rda-231504","DOIUrl":"https://doi.org/10.3233/rda-231504","url":null,"abstract":"Organizations support leadership development training programs to continuously improve the level of leadership competence and the supply of suitable applicants for leadership roles. One of the skills that entrepreneurs should cultivate to become “leaders” is leadership competency. In entrepreneurship, leadership has a significant role. Therefore, the purpose of this study is to explore the role of leadership development programs that include personal development, self-assessment, team management, strategic leadership, skilled knowledge, and relationship development, to know the way they influence entrepreneurial activities. To test the hypothesis under study, this research applies the Structural Equation Modelling (SEM) approach to the data being gathered from 365 employees and managers of entrepreneurial business firms in India. The obtained results show that personal development, skilled knowledge, and relationship development have a beneficial impact on entrepreneurial activities. In contrast, self-assessment, team management, and strategic leadership are found to have no beneficial impact on entrepreneurial activities. The combination of the ideas of leadership and entrepreneurship is suggested in this study, filling the gap in the previously provided cross-sectional data of the literature.","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":"67 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139963998","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper aims to introduce novel systemic risk indicators based on risk allocation methods employed in actuarial science. We present diverse general approaches for constructing these indicators and utilize them to derive indicators based on commonly used risk measures such as Value at Risk, Tail Value at Risk, and Expectiles. Furthermore, we analyze the influence of the dependence structure on the behavior of these indicators using a range of copula models. To support our findings, we provide numerical illustrations.
{"title":"Some systemic risk indicators","authors":"Yassine El Qalli, Khalil Said","doi":"10.3233/rda-231521","DOIUrl":"https://doi.org/10.3233/rda-231521","url":null,"abstract":"This paper aims to introduce novel systemic risk indicators based on risk allocation methods employed in actuarial science. We present diverse general approaches for constructing these indicators and utilize them to derive indicators based on commonly used risk measures such as Value at Risk, Tail Value at Risk, and Expectiles. Furthermore, we analyze the influence of the dependence structure on the behavior of these indicators using a range of copula models. To support our findings, we provide numerical illustrations.","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":"38 2","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138972758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, we present recursive joint moments and a linear predictor of aggregate discounted claims under dependency for an ordinary or delayed renewal claims number process. In addition, we present recursive formulas for the joint moments in the trend renewal process. We compare the predictive value of our linear predictor with the simulated value of exponential and Erlang (2,2) claims inter-occurrence times with constant interest rate.
{"title":"A note on the recursive joint moments of discounted compound dependent renewal sums","authors":"Franck Adékambi, Kokou Essiomle","doi":"10.3233/rda-231522","DOIUrl":"https://doi.org/10.3233/rda-231522","url":null,"abstract":"In this paper, we present recursive joint moments and a linear predictor of aggregate discounted claims under dependency for an ordinary or delayed renewal claims number process. In addition, we present recursive formulas for the joint moments in the trend renewal process. We compare the predictive value of our linear predictor with the simulated value of exponential and Erlang (2,2) claims inter-occurrence times with constant interest rate.","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":"39 51","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138588497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This pragmatic research strives to reveal the return volatility transmission throughout Asian stock exchanges, by employing variance decomposition technique of Vector autoregressive (VAR) based framework. Additionally, the current examination exerts a Granger causality approach to detect short-term cause and effect among the stock exchanges. The consequence of volatility spill-over exhibits the dominancy of Indian, Chinese and Japanese exchanges in terms of net volatility transmitter. Further, it is found that Korean, Thai, and Malaysian stock exchanges seem to be net receiver of volatility in Asia. Additionally, the outcome of current investigation reveals neutrality of Bangladeshi and Pakistani stock exchange, as the returns volatility of these stock exchange are not influenced by any other Asian stock exchanges. Furthermore, the result of Granger causality analysis signifies the existence of unidirectional causality among the Asian stock exchanges. In terms of policy implication, it is imperative for investors and policymakers to closely monitor the behaviour of the Japanese stock exchange, as it plays a significant role as a net transmitter of volatility to other stock exchanges in Asia. By keeping a vigilant eye on the Japanese stock exchange, investors can better assess and manage potential risks and opportunities in the region.
{"title":"Return volatility transmission among Asian stock exchanges: Evidence from a heterogeneous market outlook","authors":"Amritkant Mishra, Vaishnavi Sakuja","doi":"10.3233/rda-231537","DOIUrl":"https://doi.org/10.3233/rda-231537","url":null,"abstract":"This pragmatic research strives to reveal the return volatility transmission throughout Asian stock exchanges, by employing variance decomposition technique of Vector autoregressive (VAR) based framework. Additionally, the current examination exerts a Granger causality approach to detect short-term cause and effect among the stock exchanges. The consequence of volatility spill-over exhibits the dominancy of Indian, Chinese and Japanese exchanges in terms of net volatility transmitter. Further, it is found that Korean, Thai, and Malaysian stock exchanges seem to be net receiver of volatility in Asia. Additionally, the outcome of current investigation reveals neutrality of Bangladeshi and Pakistani stock exchange, as the returns volatility of these stock exchange are not influenced by any other Asian stock exchanges. Furthermore, the result of Granger causality analysis signifies the existence of unidirectional causality among the Asian stock exchanges. In terms of policy implication, it is imperative for investors and policymakers to closely monitor the behaviour of the Japanese stock exchange, as it plays a significant role as a net transmitter of volatility to other stock exchanges in Asia. By keeping a vigilant eye on the Japanese stock exchange, investors can better assess and manage potential risks and opportunities in the region.","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":"26 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138591151","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Shapley value theory, which originally emerged from cooperative game theory, was established for the purpose of measuring the exact contribution of agents playing the game. Subsequently, the Shapley value was used in finance to decompose the risk of optimal portfolios, attributing to the various assets their exact contribution to total risk and return. In the present paper, the Shapley value results of Shalit [Annals of Finance 17(1) (2021), 1–25] are extended by using weighted Shapley values to decompose the risk of optimal portfolios. The weighted concept, as axiomatized by Kalai and Samet [Journal of Game Theory 16(3) (1987), 205–222], provides a solution to cooperative games when the symmetry of players cannot be justified. The weighted Shapley value theory is applied to model efficient mean-variance portfolios and price their constituents. The computation is carried out for the 13 most traded US stocks in 2020 and the results are compared with the standard Shapley values.
Shapley价值理论起源于合作博弈论，其建立的目的是衡量参与博弈的代理人的确切贡献。随后，Shapley值在金融中被用于分解最优投资组合的风险，赋予各种资产对总风险和总收益的确切贡献。本文对Shalit [Annals of Finance 17(1)(2021)， 1 - 25]的Shapley值结果进行扩展，采用加权Shapley值对最优投资组合的风险进行分解。Kalai和Samet [Journal of Game Theory, 16(3)(1987)， 205-222]将加权概念公式化，为无法证明参与者对称性的合作博弈提供了解决方案。运用加权Shapley值理论对有效均值-方差组合进行建模，并对其组成部分进行定价。对2020年交易量最大的13只美国股票进行了计算，并将结果与标准Shapley值进行了比较。
{"title":"Weighted Shapley values of efficient portfolios","authors":"Haim Shalit","doi":"10.3233/rda-231507","DOIUrl":"https://doi.org/10.3233/rda-231507","url":null,"abstract":"Shapley value theory, which originally emerged from cooperative game theory, was established for the purpose of measuring the exact contribution of agents playing the game. Subsequently, the Shapley value was used in finance to decompose the risk of optimal portfolios, attributing to the various assets their exact contribution to total risk and return. In the present paper, the Shapley value results of Shalit [Annals of Finance 17(1) (2021), 1–25] are extended by using weighted Shapley values to decompose the risk of optimal portfolios. The weighted concept, as axiomatized by Kalai and Samet [Journal of Game Theory 16(3) (1987), 205–222], provides a solution to cooperative games when the symmetry of players cannot be justified. The weighted Shapley value theory is applied to model efficient mean-variance portfolios and price their constituents. The computation is carried out for the 13 most traded US stocks in 2020 and the results are compared with the standard Shapley values.","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":"210 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135696170","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
H. M. Aancy, Malay Bandyapadhyay, Shallini S. Taneja, P. V. Rao, Binkey Srivastava
With its roots in traditional advertising, digital marketing has become a specialized field over the decade preceding. Brand marketers now have a greater number of direct and indirect channels to interact with their target customers as a result of the rise in the number of personal gadgets and their use. The digital world is expanding, particularly in social media and digital marketing. As a result, many businesses decide to investigate social media and create digital marketing plans, the effectiveness of which is monitored to increase advancement. This study’s goal is to investigate the variables that affect brand-consumer relationships and digital marketing. Researchers create and estimate a conceptual model of the influences of antecedent factors (such as perceived convenience, service quality, E-WoM, brand awareness, accessibility of websites, and sharing content) on digital marketing and brand-consumer relationships by attracting hypotheses of technological advances acceptance, uses, and gratifications. Utilizing data gathered from both an established and a growing market, the researcher empirically tests the model with a consumer-centric focus (India). Results from various markets show similarities and differences between markets in terms of factors that influence customer acceptance. Researchers glean implications for hypothesis and practice from the findings. The findings indicate that perceived convenience, service quality, website accessibility, and shared content impact digital marketing. Also, it was found that digital marketing impact brand and consumer relation.
{"title":"Identifying the factors influencing digital marketing and brand-consumer relationship","authors":"H. M. Aancy, Malay Bandyapadhyay, Shallini S. Taneja, P. V. Rao, Binkey Srivastava","doi":"10.3233/rda-231505","DOIUrl":"https://doi.org/10.3233/rda-231505","url":null,"abstract":"With its roots in traditional advertising, digital marketing has become a specialized field over the decade preceding. Brand marketers now have a greater number of direct and indirect channels to interact with their target customers as a result of the rise in the number of personal gadgets and their use. The digital world is expanding, particularly in social media and digital marketing. As a result, many businesses decide to investigate social media and create digital marketing plans, the effectiveness of which is monitored to increase advancement. This study’s goal is to investigate the variables that affect brand-consumer relationships and digital marketing. Researchers create and estimate a conceptual model of the influences of antecedent factors (such as perceived convenience, service quality, E-WoM, brand awareness, accessibility of websites, and sharing content) on digital marketing and brand-consumer relationships by attracting hypotheses of technological advances acceptance, uses, and gratifications. Utilizing data gathered from both an established and a growing market, the researcher empirically tests the model with a consumer-centric focus (India). Results from various markets show similarities and differences between markets in terms of factors that influence customer acceptance. Researchers glean implications for hypothesis and practice from the findings. The findings indicate that perceived convenience, service quality, website accessibility, and shared content impact digital marketing. Also, it was found that digital marketing impact brand and consumer relation.","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47546123","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Melda Alaluf, Giulia Crippa, Sinong Geng, Zijian Jing, Nikhil Krishnan, Sanjeev Kulkarni, Wyatt Navarro, R. Sircar, Jonathan Tang
We study paycheck optimization, which examines how to allocate income in order to achieve several competing financial goals. For paycheck optimization, a quantitative methodology is missing, due to a lack of a suitable problem formulation. To deal with this issue, we formulate the problem as a utility maximization problem. The proposed formulation is able to (i) unify different financial goals; (ii) incorporate user preferences regarding the goals; (iii) handle stochastic interest rates. The proposed formulation also facilitates an end-to-end reinforcement learning solution, which is implemented on a variety of problem settings.
{"title":"Reinforcement learning paycheck optimization for multivariate financial goals","authors":"Melda Alaluf, Giulia Crippa, Sinong Geng, Zijian Jing, Nikhil Krishnan, Sanjeev Kulkarni, Wyatt Navarro, R. Sircar, Jonathan Tang","doi":"10.3233/rda-220025","DOIUrl":"https://doi.org/10.3233/rda-220025","url":null,"abstract":"We study paycheck optimization, which examines how to allocate income in order to achieve several competing financial goals. For paycheck optimization, a quantitative methodology is missing, due to a lack of a suitable problem formulation. To deal with this issue, we formulate the problem as a utility maximization problem. The proposed formulation is able to (i) unify different financial goals; (ii) incorporate user preferences regarding the goals; (iii) handle stochastic interest rates. The proposed formulation also facilitates an end-to-end reinforcement learning solution, which is implemented on a variety of problem settings.","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":" ","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48347216","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The paper gives discrete conditional integration by parts formula using a Malliavin calculus approach in discrete-time setting. Then the discrete Bismut formula is introduced for asymmetric random walk model and asymmetric exponential process. In particular, a new formula for delta hedging process is obtained as an extension of the Malliavin derivative representation of the delta where the conditional integration by parts formula plays a role in the proof.
{"title":"Discrete Bismut formula: Conditional integration by parts and a representation for delta hedging process","authors":"Naho Akiyama, Toshihiro Yamada","doi":"10.3233/rda-202070","DOIUrl":"https://doi.org/10.3233/rda-202070","url":null,"abstract":"The paper gives discrete conditional integration by parts formula using a Malliavin calculus approach in discrete-time setting. Then the discrete Bismut formula is introduced for asymmetric random walk model and asymmetric exponential process. In particular, a new formula for delta hedging process is obtained as an extension of the Malliavin derivative representation of the delta where the conditional integration by parts formula plays a role in the proof.","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2021-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45468936","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Implementing enterprise risk management in road organizations: Considerations and a proposed roadmap","authors":"Ioannis Benekos, G. Yannis, S. Mavromatis","doi":"10.3233/rda-190055","DOIUrl":"https://doi.org/10.3233/rda-190055","url":null,"abstract":"","PeriodicalId":38805,"journal":{"name":"Risk and Decision Analysis","volume":"8 1","pages":"39-65"},"PeriodicalIF":0.0,"publicationDate":"2020-05-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3233/rda-190055","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70159174","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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