Results 161 to 170 of about 755,651 (259)

Novel extensions of k-harmonically convex functions and their applications in information science. [PDF]

PLoS One
Fahad A, Furuichi S, Ali Z, Wang Y.
europepmc   +1 more source

Marchenko–Pastur Laws for Daniell Smoothed Periodograms

Journal of Time Series Analysis, EarlyView.
ABSTRACT Given a sample X0,…,Xn−1$$ {X}_0,\dots, {X}_{n-1} $$ from a d$$ d $$‐dimensional stationary time series (Xt)t∈ℤ$$ {\left({X}_t\right)}_{t\in \mathbb{Z}} $$, the most commonly used estimator for the spectral density matrix F(θ)$$ F\left(\theta \right) $$ at a given frequency θ∈[0,2π)$$ \theta \in \left[0,2\pi \right) $$ is the Daniell smoothed ...
Ben Deitmar
wiley   +1 more source

Equivalence of Informations Characterizes Bregman Divergences. [PDF]

Entropy (Basel)
Chodrow PS.
europepmc   +1 more source

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Responses to the Third Lancet Commission on Investing in Health from Denmark, Germany, and Norway. [PDF]

Lancet Reg Health Eur
Alfvén T, Chang AY, Cleaver HO, Hornidge AK, Jensen SLB, Mofoss E, Nilsen FN, Norheim OF, Schäferhoff M, Siegel M, Strupat C.   +10 more
europepmc   +1 more source

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

Rehabilitation After Stroke in a Transition From Hospital to Municipality-Impact of Amount of Rehabilitation. [PDF]

Chronic Dis Transl Med
Notkin GT, Bove DG, Lind L, Jensen MB, Molsted S.   +4 more
europepmc   +1 more source

Market Making With Fads, Informed, and Uninformed Traders

Mathematical Finance, EarlyView.
ABSTRACT We characterize the solution to a continuous‐time optimal liquidity provision problem in a market populated by informed and uninformed traders. In our model, the asset price exhibits fads —these are short‐term deviations from the fundamental value of the asset.
Emilio Barucci, Adrien Mathieu, Leandro Sánchez‐Betancourt   +2 more
wiley   +1 more source

A Statistical-Physics Refinement of Soft Covering. [PDF]

Entropy (Basel)
Merhav N.
europepmc   +1 more source

Representation of Forward Performance Criteria with Random Endowment via FBSDE and Its Application to Forward Optimized Certainty Equivalent

Mathematical Finance, EarlyView.
ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou   +2 more
wiley   +1 more source