We introduce a simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical traders. Traders update their beliefs according to past performance and to market conditions. The model generates endogenous price fluctuations and captures some stylized facts observed in real returns data, such as excess volatility, fat tails of returns distributions, volatility clustering, and long memory. We show that the results are quite robust w.r.t. to different choices for the performance measure. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Värdet hos konsumenter definieras och utvärderas på många olika sätt. Denna uppsats ämnar testa en modell för att mäta varumärkesvärde och se om den kan användas för att mäta produktvärdet för en okänd produkt i dagligvaruhandeln. Detta genom att applicera modellen på produktens produktnamn. Utifrån teorin föreslås hypoteser som baseras på definitionen av de fyra parametrar som undersöks – Differentiering, Relevans, Anseende och Kännedom – och hur utfallet bör bli för en marknadsledande produkt kontra en mindre erkänd produkt. Uppsatsen visar på att modellen är applicerbar för att även undersöka produkter via dess produktnamn, men att den borde inkludera fler frågor vid framtida tester.

The goal of the first part of this thesis is to obtain a high-level theoretical understanding of how an alliance can be managed such that its resources are used in an optimal manner. We propose a pricing mechanism to manage the interactions of carriers, through the allocation of alliance resources and profits, in a manner that encourages individual carriers to make decisions that are optimal for the alliance. Our methodology is based on modeling carrier behavior as linear programs, which are incorporated into a mechanism that manages carrier interactions by appropriately setting resource prices. After introducing two distinct behavioral models, the performance of the mechanism using each model is analyzed for its ability to ensure alliance optimal behavior is attained. We find that the behavioral model selected can significantly impact the characteristics of allocations obtained using the mechanism. In the second part of the thesis, we seek to establish practical insights regarding how the characteristics of potential partners impact the benefit that can be gained by collaborating with these partners. Computational experiments are conducted to evaluate the impact of network size, fleet capacity, demand distribution, and network compatibility on the benefit associated with collaborating. A comprehensive study for simulated two and three-carrier alliances establishes general insights regarding the compatibility of carriers with varying network sizes and fleet capacities. The impact of increasing hub-to-hub connectivity between partnering carriers is then investigated, followed by a study of the effect of market overlap on alliance success. Finally, a real-world cargo alliance is analyzed. In the third and final part of this thesis, we develop new approaches for determining and inducing fair profit allocations in alliances, providing alternatives to traditional approaches which equate minimum acceptance requirements and satisfaction. The mechanism established in the first part of the thesis is adapted to more precisely control the profit allocations obtained, in particular so that an allocation as close to some predetermined fair" allocation is obtained. Several measures of fairness are proposed and implemented, and their performance analyzed for each of the behavioral models discussed in the first part of the thesis.

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Taiwans whale watching industry has been prosper rapidly since 1997 while not any law administering it .Due to free market structure the resource of whale watching would be excessly exploited and the whale watching industry will not exist any more. There are three research topics on the institutional design of the industry in my article. Namely , the administering department and its related rules for whale watching industry to be established, the cost analysis for governance structure of institution, and the study of franchise for Taiwan¡¦s current whale watching industry. According to Williamson¡]1991¡^,I present three kinds of organization style¡]i.e. market ,hierarchy organization and their mixed form¡^ and their key differences to figure out the most efficient one. And finally I come to a conclusion that the franchise is the most efficient of the three kinds of organizational style and can be a reference structure for making law on Taiwan¡¦s whale watching industry.

This thesis studies three asset allocation strategies under a defined-contribution pension plan: Buy-and-hold (BH), constant mix (CM), and time-invariant portfolio protection (TIPP). First in this paper, the actuarial assumptions follow Frees et al (1998), as well as Chang and Lin (1999): the age of the beneficiaries is between 25 to 65 and follows the uniform distribution. As to the investment environment, the portfolio includes a risk-free asset, certificate deposit (CD), and a risky asset--the stock. The interest rate of CD is fixed and the return of stock varies according to 14 scenarios. Then the concept of an open-ended fund is applied to compute the NAV (Net Asset Value) of three strategies for each month and a model of defined-contribution pension funds was developed. Moreover, this thesis also discussed the relationship between the trends of the stock and the changes of stock weights, as well as the terminal wealth of pension fund and the income-replacement ratio under each asset allocation strategy. The characteristics and timing of each strategy can be investigated clearly. Finally, the input parameters derived from the data of historical stock market in Taiwan is used to implement Monte Carlo simulation so that the study of the performance of asset allocation strategies can go more close to reality. The endeavor and results of this thesis will be a useful reference to facilitate both the government and private sector to manage the pension fund.

To establish the pension system is to ensure the life of old men. To compare the other pension systems of main countries, the old-aged economics security should adopt three-pillar system in Taiwan. This thesis puts emphasis on the empirical study of the importance of Taiwan pension fund asset allocation and attempts to develop a proper process of asset allocation decision as the reference of the pension fund sponsors when they are dealing with this task. The process of asset allocation decision could be divided into two parts: forming the efficient frontier and selecting the optimal asset allocation. This research suggests the readers to use quadratic programming techniques, which is introduced by Markowitz in 1956, to calculate the efficient frontier. With the changes in the financial situation and the coming of new information, pension fund sponsors should re-perform the process of asset allocation decision periodically to obtain the updated optimal asset allocation. The result of putting restrictions on the ratio of investment items is that the limited portfolio will reduce the utility and return relatively. As for raising the ratio of current assets, the standard doesn¡¦t increase obviously. To impress that pension fund should be in accordance with its need and object to keep appropriate current assets. Furthermore, pension fund sponsors should raise the weight of stocks and bonds to improve the performance. Pension fund sponsors who entrust risky assets to the professional institutions to manage will enhance the performance of investing, but we can¡¦t obtain the data of risk. In the future, the performance should be measured continually and join the risk to analyze.

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With the longevity risk of human being and the low income replacement ratio (IRR), people start to plan their retirement early. Even though there are many new designed products for retirement demand on the market, but actually the investors have no enough time and financial knowledge to select the proper retirement products for themselves, and to plan their future retirement life. Therefore, this study aims at designing the ¡§Life Cycle Fund¡¨ for those Taiwan investors. This study mainly bases on the method of asset allocation using ¡§Age¡¨ basis and the method of international asset allocation to construct the life cycle portfolio. We consider both conditions of ¡§age¡¨ and ¡§international asset allocation¡¨ in this study. We use simple questionnaire investigation in two dimensions, the preference of investment instrument (to tell the risk preference of stocks or bonds) and the preference of investment region (to tell the risk preference of international asset allocation), to analyze the investors risk acceptance level. At the end, construct the life cycle portfolio by applying our model and the result of questionnaire investigation. We divided the empirical study into three parts, which are respectively the investment in four assets, the investment in multi-assets and the life cycle fund for American investors, to explore the portfolio performance under different risk parameters and different retirement ages. Consequently, from the result of forecasting and history back-testing, our model not only can control the risk properly, but also can be applied to different countries. This model can help the investors in planning for their retirement, and help investors who have the investment demand in multilnational countries to reach stable asset allocation. We expected this model can be a comparing benchmark for investors to measure the performance of life cycle fund.

Since there are no limits on the number of non-performing asset management companies imposed by the Financial Firms Merger and Acquisition Act of 2000, total numbers of such companies has been increasing in resent years. Under the circumstances of keen competition and shrinking market, non-performing asset management companies are facing enormous challenges. For this study, experts were interviewed and literatures were reviewed, resulting in a key factor structure of Taiwan¡¦s non-performing asset management companies. Quantified data are gathered and analyzed via questionnaires and AHP methods, and the most important key factors applicable for Taiwan¡¦s non-performing asset management companies are derived. To the large-scale AMCs, the most important key factors are: impact from the overall economic or real estate market condition, assisting corporations in restructuring, employees¡¦ past job experiences, and the accurate estimation for investment return. To the medium-scale AMCs, the most important key factors are: employees¡¦ past job experiences, and bidding in conjunction with large-scale AMCs or foreign capital. To the small-scale AMCs, the most important key factor is the overall economic or real estate market condition.