Results 91 to 100 of about 855,132 (178)
Pricing without martingale measure [PDF]
arXiv, 2018 For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. We propose a new approach for estimating the super-replication cost based on convex duality instead of martingale measures duality: Our prices will be expressed using Fenchel conjugate and bi-conjugate.
arxiv
Respectable standards of living: The alternative lens of maintenance costs, Britain 1270–1860
The Economic History Review, EarlyView.Abstract This paper argues that in all societies there is considerable agreement about what goods and services are needed to provide a decent living, and that this standard can be measured by the expense involved in maintaining people of good standing.
Jane Humphries
wiley +1 more source
Pricing Queries Approximately Optimally [PDF]
arXiv, 2015 Data as a commodity has always been purchased and sold. Recently, web services that are data marketplaces have emerged that match data buyers with data sellers. So far there are no guidelines how to price queries against a database. We consider the recently proposed query-based pricing framework of Koutris et al and ask the question of computing ...
arxiv
The Economic History Review, EarlyView.Abstract Sustained long‐distance trade in the early modern era necessitated institutional mechanisms capable of solving three interrelated challenges: the need to mobilize an unprecedented volume of capital and to lock it in for long periods of time, ways of mitigating the principal–agent problem across continents, and methods to internalize and ...
Juan José Rivas Moreno
wiley +1 more source
Choquet Integrals With Respect to Non-Monotonic Set Functions [PDF]
This paper introduces the signed Choquet integral, i.e., a nonmonotonic generalization of the Choquet integral. Applications to welfare theory, multi-period optimization, and asset pricing are described.Choquet integral;comonotonicity;arbitrage;time ...
De Waegenaere, A.M.B., Wakker, P.P.
core +1 more source
The role of financial investors in successful family‐firm takeovers: A configurational approach
European Management Review, EarlyView.Abstract Family firms increasingly opt for an external succession route and sell shares to financial investors. Yet, not all family‐firm takeovers by financial investors are financially successful. To date, however, we lack a nuanced understanding of the conditions under which financial investors' family‐firm takeovers will succeed financially.
Nadine Kammerlander +2 more
wiley +1 more source
Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage in Markovian Models of Financial Markets [PDF]
arXiv, 2014 Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of ours, we prove the existence of investment opportunities producing an exponentially growing profit with probability ...
arxiv
Sustainable Portfolio Construction via Machine Learning: ESG, SDG and Sentiment
European Financial Management, EarlyView.ABSTRACT This study proposes portfolio construction strategies based on novel sentiment, ESG and SDG scores. We utilize natural language processing to establish a novel daily score system that mitigates concerns of different rating standards. The portfolios constructed are optimized via machine learning algorithms on a monthly basis using daily ...
Xin Feng +3 more
wiley +1 more source
The Economic Consequences of Social Unrest: Evidence from Initial Public Offerings
European Financial Management, EarlyView.ABSTRACT Prior research attributes negative stock market performance following episodes of social unrest to elevated uncertainty. However, social unrest does not solely increase uncertainty but separately acts to decrease investor sentiment. To determine which effect dominates, we study initial public offering (IPO) underpricing, which responds ...
Philip Barrett +2 more
wiley +1 more source
Towards a General Theory of Good Deal Bounds [PDF]
We consider an incomplete market in the form of a multidimensional Markovian factor model, driven by a general marked point process (representing discrete jump events) as well as by a standard multidimensional Wiener process.
Björk, Tomas, Slinko, Irina
core