Results 121 to 130 of about 466,548 (211)
Inequality, Resilience of Tax and Welfare System and Human Rights
, 2016 European countries are facing an historic moment: they are entering a new era of extraordinary and unexpected changes. The severity of the economic crisis and the humanitarian emergency situation, caused by the abnormal wave of refugees, have put the ...
VILLANI, SALVATORE
core
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
Some Simple Formulas for Posterior Convergence Rates. [PDF]
Int Sch Res Notices, 2014 Jiang W.
europepmc +1 more source
Some generalizations of RADO'S inequality
, 2011 碩士在本文中，主要以系統化的方式整合文獻資料中與Rado不等式及Popoviciu不等式有相關的不等式。以更簡易的方法(如Jensen不等式和凸函數基本性質)去證明，最後再舉一些例子說明。In this article, mainly in the systematic way to with the Rado''s inequality and Popoviciu''s inequalities are related to inequality.
何振泰; Ho, Chen-Tai
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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 +2 more
wiley +1 more source
Simultaneous grouping pursuit and feature selection over an undirected graph. [PDF]
J Am Stat Assoc, 2013 Zhu Y, Shen X, Pan W.
europepmc +1 more source
The Globalization of Inequality
, 2015 In The Globalization of Inequality, distinguished economist and policymaker François Bourguignon examines the complex and paradoxical links between a vibrant world economy that has raised the living standard of over half a billion people in emerging ...
Bourguignon, François +1 more
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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
An inequality for a class of Markov processes
, 2009 Let $α\in (0,2)$ and consider the operator $\sL$ given by \[ \sL f(x)=\int[ f(x+h)-f(x)-1_{(|h|\leq 1)}h\cdot \grad f(x)]\frac{n(x,h)}{|h|^{d+α}} \d h, \] where the term $1_{(|h|\leq 1)}h\cdot \grad f(x)$ is not present when $α\in (0,1)$. Under some suitable assumptions on the kernel $n(x,h)$, we prove a Krylov-type inequality for processes associated ...
openaire +2 more sources
On Short‐Term Behavior of Implied Volatility for Index Options
Mathematical Finance, EarlyView.ABSTRACT This paper investigates short‐term behavior of implied volatility of derivatives written on a market index when the index is constructed using a ranking procedure. Even when stock prices follow geometric Brownian motion dynamics, the ranking mechanism can lead to the observed term structure of at‐the‐money (ATM) implied volatility skew for ...
Huy N. Chau, Duy Nguyen, Thai Nguyen
wiley +1 more source