Results 161 to 170 of about 708 (257)

Relative Arbitrage Opportunities With Interactions Among N Investors

Mathematical Finance, EarlyView.
ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley   +1 more source

Optimization of wind-solar-gas-storage integrated energy systems under the carbon and green certificate markets. [PDF]

PLoS One
Fang D, Zhou H, Wang P, Xing Z.
europepmc   +1 more source

The capital-asset-pricing model and arbitrage pricing theory: a unification. [PDF]

Proc Natl Acad Sci U S A, 1997
Ali Khan M, Sun Y.
europepmc   +1 more source

Information‐Theoretic Approach to Financial Market Modeling

Mathematical Finance, EarlyView.
ABSTRACT The paper treats the financial market as a communication system, using four information‐theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model maximizes the surprisal of the market and minimizes the Kullback–Leibler divergence between the benchmark‐neutral pricing
Eckhard Platen
wiley   +1 more source

Triangular fuzzy game modelling for internal innovation in platform-driven manufacturing enterprises under uncertainty. [PDF]

Sci Rep
Guo Y, Zhang H, Zou H, He D, Zhao C.
europepmc   +1 more source

Risk Measure Duality Without Structure

Mathematical Finance, EarlyView.
ABSTRACT We study risk measures on vector spaces of random variables which a priori have little structure, such as spaces lacking law invariance or a lattice structure. Ensuring the existence of a tractable dual representation (one which does not contain non‐sigma‐additive measures) is one of the main problems in risk measure theory, and we address it ...
Vasily Melnikov
wiley   +1 more source

From Hurricane Irma to the Grindavík eruptions: volatility premiums in disaster governance. [PDF]

Disasters
Björnsson T.
europepmc   +1 more source

Risk, Utility and Sensitivity to Large Losses

Mathematical Finance, EarlyView.
ABSTRACT Risk and utility functionals are fundamental building blocks in economics and finance. In this paper we investigate under which conditions a risk or utility functional is sensitive to the accumulation of losses in the sense that any sufficiently large multiple of a position that exposes an agent to future losses has positive risk or negative ...
Martin Herdegen, Nazem Khan, Cosimo Munari   +2 more
wiley   +1 more source

Multiscale Complexity and Irreversibility of Non-Stationary Time Series in Commodity Futures Markets. [PDF]

Entropy (Basel)
Zhao X, Xie K.
europepmc   +1 more source

Lessons on State and Local Income Taxes From the Twenty‐First Century and Challenges for the Future

Public Budgeting &Finance, EarlyView.
Abstract I survey recent research on subnational income tax policy, arguing that a defining feature is geography. Geographic boundaries limit the power of subnational governments to tax people and activities. The article discusses where income should be taxed and the effects of these tax rules on the interjurisdictional mobility of people and jobs.
David R. Agrawal
wiley   +1 more source