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Signaling to Partially Informed Investors in the Newsvendor Model
Design Saving Motivation and Incentives Behavior Attitudes Interest Rates
2015/4/24
We investigate a puzzling phenomenon in which firms make investment decisions that purposefully do not maximize expected profits. Using an extension to the newsvendor model, we focus on a relatively c...
A Behavioral Model of Demandable Deposits and Its Implications for Financial Regulation
Banks and Banking Insurance Governing Rules Regulations and Reforms Policy
2015/4/23
A model is developed that rationalizes contracts that give depositors the right to obtain funds on demand even when depositors intend to use these funds for consumption in the future. This is explaine...
Bayesian Model Choice of Grouped t-copula
modeling dependence a priori grouping historical data
2011/3/30
One of the most popular copulas for modeling dependence structures is t-copula.Recently the grouped t-copula was generalized to allow each group to have one mem-ber only,so that a priori grouping is n...
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes Poisson point processes L´ evy processes HJB PIDE policy improvement parabolic PDE classical solutions viscosity solutions.
2011/3/23
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices...
Optimal dividend control for a generalized risk model with investment incomes and debit interest
Absolute ruin dividend optimization stochastic control value function viscosity solution
2011/3/23
This paper investigates dividend optimization of an insurance corporation under a more realistic model which takes into consideration refinancing or capital injections. The model follows the compound ...