Exponential stability of stochastic evolution equations driven by small fractional Brownian motion with Hurst parameter in (1/2,1) [PDF]
, 2017 Luu Hoang Duc +3 more
openalex +1 more source
Closed‐Form Optimal Investment Under Generalized GARCH Models
European Financial Management, EarlyView.ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel +2 more
wiley +1 more source
The Role of Index Fund Ownership in the Era of Say‐on‐Pay
Financial Management, EarlyView.ABSTRACT We examine whether and how index funds influence executive compensation in the post‐Say‐on‐Pay era. Using the annual reconstitution of the Russell indexes as a source of exogenous variation in index fund ownership, we document a causal effect of index ownership on CEO pay structure.
Kiseo Chung, Hwanki Brian Kim
wiley +1 more source
On Simulation of Manifold Indexed Fractional Gaussian Fields
Journal of Statistical Software, 2010 To simulate fractional Brownian motion indexed by a manifold poses serious numerical problems: storage, computing time and choice of an appropriate grid.
Alexandre Brouste +2 more
doaj
A study on the discretization of fractional Brownian motion
, 2020 Buket Coşkun +2 more
openalex +2 more sources
Neutral delay Hilfer fractional integrodifferential equations with fractional brownian motion
, 2021 Yousef Alnafisah, Hamdy M. Ahmed
openalex +2 more sources
Life Cycle Consumption and Portfolio Choice Under Real Interest Rate Risk
Financial Management, EarlyView.ABSTRACT We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption.
Marcel Fischer, Natascha Jankowski
wiley +1 more source
EXTENSION OF SELECTED ASPECTS OF FRACTIONAL BROWNIAN MOTION TO SET INDEXED FRAMEWORK
, 2017 openalex +1 more source
An Economic Analysis of Difficulty Adjustment Algorithms in Proof‐of‐Work Blockchain Systems
International Economic Review, EarlyView.ABSTRACT We study the stability of cryptocurrency systems through difficulty adjustment. Bitcoin's difficulty adjustment algorithm (DAA) exhibits instability when the reward elasticity of the hash rate is high, implying that a sharp price reduction could disrupt the current Bitcoin system.
Shunya Noda +2 more
wiley +1 more source
Fractional Brownian Motion Analysis for Spreading of Novel Coronavirus
, 2022 Lima L.
europepmc +1 more source