搜索结果: 1-15 共查到“经济学 Continuous”相关记录48条 . 查询时间(0.093 秒)
Continuous Adjustment and Fundamental Change in Business Strategy and Organization
Continuous Adjustment Fundamental Change Business Strategy and Organization
2015/7/21
Continuous Adjustment and Fundamental Change in Business Strategy and Organization.
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding
Optimal Portfolio Rules Continuous Time Consumption Binding
2015/5/13
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding.
On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Potentially complete market Continuous-time financial market Radner equilibrium It坥 diffusion
2012/9/14
We prove that in smooth Markovian continuous杢ime economies with potentially complete asset markets, Radner equilibria with endoge-nously complete markets exist.
Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
mean-variance criterion Markowitz problem portfolio optimisation time consistency time-inconsistent optimal control
2012/6/5
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dyna...
On absolutely continuous compensators and nonlinear filtering equations in default risk models
Azema supermartingale default indicator absolutely continuous compensators pricing of default risk nonlinear filtering
2012/6/5
We discuss the pricing of defaultable assets in an incomplete information model where the default time is given by a first hitting time of an unobservable process. We show that in a fairly general Mar...
Cone-Constrained Continuous-Time Markowitz Problems
Markowitz problem cone constraints portfolio selection mean-variancehedging stochastic control semimartingales BSDEs martingale optimality principle opportunity process E-martingales linear-quadratic control
2012/9/14
The Markowitz problem consists of finding in a financial market a self-financing trading strategy whose final wealth has maximal mean and minimal variance. We
study this in continuous time in a gener...
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Continuous-time equilibrium exponential utility CAPM affine processes information based asset pricing implied volatility
2012/3/2
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of u...
Continuous Investment Model of E-Commerce
Electronic Commerce Continuous Investment Investment Recovery Great Product Matrix
2013/2/23
The problems of e-commerce investment have been a chronic painful agony, due to its large investment, low profits and long payback periods, etc. In this work, we deeply study e-commerce profits, analy...
Comparing the reliability of a discrete-time and a continuous-time Markov chain model in
discrete-time transition matrix the default probability the empirical results
2011/8/30
This article compares the reliability of a discrete-time and a continuous-time Markov chain model for estimating credit risk and for investigating loans of Chiao Tung Bank in Taiwan. The continuous-ti...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
Characteristic Function Markov models conditional distribution
2011/4/2
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametric Regression
nonparametric regression economics and finance easy-to-interpret diagnostic procedures
2011/4/1
We develop a nonparametric regression-based goodness-of-fit test for multifactor continuous-time Markov models using the conditional characteristic function, which often has a convenient closed form o...
Ambiguous Volatility, Possibility and Utility in Continuous Time
ambiguity uncertain volatility option pricing recursive utility stochastic differential utility G-expectation G-Brownian motion nonequivalent measures uncertain possibility quasisure analysis
2011/3/30
We formulate a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity or model uncertainty. The main novelty is in the range of model uncertainty th...
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
utility maximization power utility exponential L´ evy process discretization
2011/3/31
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon.
Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
Exponential L´ evy model Lookback option Continuity correction
2010/10/21
Motivated by the pricing of lookback options in exponential L\'evy models, we study the difference between the continuous and discrete supremum of L\'evy processes. In particular, we extend the result...