Results 71 to 80 of about 4,276 (212)
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
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Pricing without martingale measure [PDF]
ESAIM: Proceedings and SurveysFor several decades, the martingale measures have played a major role in financial asset pricing theory. In this paper, we propose an approach based on the conditional support of the asset price increments that avoids the technical diffilcuties arising ...
Baptiste Julien +2 more
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Measure free martingales and martingale measures
Proceedings - Mathematical Sciences, 2009 Let T ⊂ ℝ be a countable set, not necessarily discrete. Let f t , t ∈ T, be a family of real-valued functions defined on a set Ω. We discuss conditions which imply that there is a probability measure on Ω under which the family f t , t ∈ T, is a martingale.
M. G. Nadkarni, B. Rajeev
openaire +1 more source
On the Exact Limiting Distribution of a Volatility Target Index
Mathematical Finance, EarlyView.ABSTRACT Assuming a lognormal distribution for the underlying risky asset, we study the limiting distribution of a volatility target index as the rebalancing time step approaches zero. Two limit theorems (a strong law of large numbers and a central limit theorem) are established, and as an application, the exact limiting distribution is derived.
Xuan Liu, Michel Gauthier
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Constructions of the Average Rate of Return of Pension or Investment Funds Based on Chain Indices [PDF]
Statistika: Statistics and Economy Journal, 2014 In this paper we consider the problem of the proper construction of the average rate of return of pension (or investment) funds. We refer to some economical postulates given by Gajek and Kaluszka (2000).
Jacek Białek
doaj
Set-Valued Stochastic Equation with Set-Valued Square Integrable Martingale
ITM Web of Conferences, 2017 In this paper, we shall introduce the stochastic integral of a stochastic process with respect to set-valued square integrable martingale. Then we shall give the Aumann integral measurable theorem, and give the set-valued stochastic Lebesgue integral and
Li Jun-Gang, Zheng Shi-Qing
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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
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Variance Ratio Tests for Panels With Cross‐Section Dependence
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper develops panel variance ratio statistics to examine serial dependence in time series with cross‐sectional dependence. We derive asymptotic properties for panels where the cross‐section dimension N$$ N $$ is fixed or grows with T. Using a factor structure to explain cross‐sectional dependence, we propose a common correlation effects ...
Seongman Moon, Carlos Velasco
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Operator Fractional Brownian Motion and Martingale Differences
Abstract and Applied Analysis, 2014 It is well known that martingale difference sequences are very useful in applications and theory. On the other hand, the operator fractional Brownian motion as an extension of the well-known fractional Brownian motion also plays an important role in both
Hongshuai Dai +2 more
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Bayesian Inference for Multivariate Monotone Densities
Scandinavian Journal of Statistics, EarlyView.ABSTRACT We consider a nonparametric Bayesian approach to estimation and testing for a multivariate monotone density. Instead of following the conventional Bayesian approach of imposing a prior that satisfies the monotonicity restriction, we place a prior on the step heights via binning and a Dirichlet distribution. The resulting posterior distribution
Kang Wang, Subhashis Ghosal
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