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Those studying modern economies often puzzle about how small causes are amplified to cause disproportionately large effects. A leading example that emerged even before Samuelson began his professional...
Optimal Portfolio Diversification Using Maximum Entropy Principle
Diversification Entropy measure Portfolio selection Shrinkage rule Simulation methods
2011/4/2
Markowitz’s mean-variance (MV) efficient portfolio selection is one of the most widely used approaches in solving portfolio diversification problem. However, contrary to the notion of diversification,...
A general "bang-bang" principle for predicting the maximum of a random walk
Bernoulli random walk Brownian motion optimal prediction ultimate maximum stopping time convex function
2010/11/2
Let (Bt)0tT be either a Bernoulli random walk or a Brownian motion with drift, and let Mt := max{Bs : 0 s t}, 0 t T. This paper solves the general optimal prediction problem sup 0 T E[f(MT...
《An Inquiry into the Nature and Causes of the Wealth of Nations》Book I Chapter II Of the Principle which gives Occasion to the Division of Labour
An Inquiry into the Nature and Causes of the Wealth of Nations 国富论 Adam Smith 亚当·斯密 Labour
2009/2/12
This division of labour, from which so many advantages are derived, is not originally the effect of any human wisdom, which foresees and intends that general opulence to which it gives occasion.*41 It...