Results 81 to 90 of about 7,361 (242)
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
Martingales and First Passage Times of AR(1) Sequences [PDF]
Using the martingale approach we find sufficient conditions for exponential boundedness of first passage times over a level for ergodic first order autoregressive sequences (AR(1)).
Alex Novikov, Nino Kordzakhia
core
Rosenthal's inequality for point process martingales [PDF]
, 1999 Moment inequalities for point process martingales are considered. Our main result is a point process analogue of Rosenthal's inequality for discrete-time martingales.
Wood, Andrew T.A.
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Martingales on Random Sets and the Strong Martingale Property
Electronic Journal of Probability, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire +2 more sources
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
wiley +1 more source
Martingales, Detrending Data, and the Efficient Market Hypothesis [PDF]
We discuss martingales, detrending data, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t).
Gunaratne, Gemunu H. +2 more
core
Martingales on von Neumann algebras [PDF]
, 1971 We consider L1 bounded martingales on a von Neumann algebra with respect to a given ascending sequence of von Neumann subalgebras as functionals on the C∗-algebra which is the uniform closure of the union of those subalgebras.
Cuculescu, I.
core +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 +2 more
wiley +1 more source
Chaotic expansion of powers and martingale representation (v1.2) [PDF]
This paper extends a recent martingale representation result of [N-S] for a L\'{e}vy process to filtrations generated by a rather large class of semimartingales.
Farshid Jamshidian
core
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