Results 151 to 160 of about 2,723,896 (281)

Never, Ever Getting Started: On Prospect Theory Without Commitment

Mathematical Finance, EarlyView.
ABSTRACT Prospect theory is arguably the most prominent alternative to expected utility theory. We study the investment or gambling behavior of a prospect theory decision maker who is aware of his time‐inconsistency but lacks commitment. For the empirically relevant prospect theory specifications, we obtain the extreme prediction that such a decision ...
Sebastian Ebert, Philipp Strack
wiley   +1 more source

Is the maximal function of a Lipschitz function continuous?

, 1999
We examine the action of the maximal operator \(M\) on Lipschitz and Hölder functions in the context of homogeneous spaces. It is shown that in spaces satisfying a so-called annular decay property, \(M\) maps spaces of Hölder type to other spaces of Hölder type (the Hölder index is preserved if small enough).
openaire   +3 more sources

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

A De Giorgi conjecture on the regularity of minimizers of Cartesian area in 1D. [PDF]

Ann Univ Ferrara Sez 7 Sci Mat
Bellettini G, Kholmatov SY.
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

Convergence Analysis of Controlled Particle Systems Arising in Deep Learning: From Finite to Infinite Sample Size. [PDF]

Appl Math Optim
Liao H, Mészáros AR, Mou C, Zhou C.
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

Fixed-point topology meets fractal memory: a Kutumba-stabilized framework for nonlocal fractal-fractional dynamics. [PDF]

Sci Rep
Devi RA, Surendar R, Sweatha S, Saeed ST, Almehizia AA, Saleh MA, Merga FE.   +6 more
europepmc   +1 more source

Drift‐Diffusion Models with Schottky Contacts at Metal–Semiconductor Interfaces

Proceedings in Applied Mathematics and Mechanics, Volume 26, Issue 4, December 2026.
ABSTRACT The paper deals with a drift‐diffusion model for semiconductor devices with Schottky contacts at all metal–semiconductor interfaces. The presented analytical investigations permit Boltzmann as well as Fermi–Dirac statistics for the charge‐carrier densities.
Annegret Glitzky, Matthias Liero
wiley   +1 more source

Parabolic PDEs with Dynamic Data under a Bounded Slope Condition. [PDF]

Arch Ration Mech Anal
Bögelein V, Duzaar F, Treu G.
europepmc   +1 more source