Shadow prices, fractional Brownian motion, and portfolio optimisation under...
We continue the analysis of our previous paper (Czichowsky/Schachermayer/Yang 2014) pertaining to the existence of a shadow price process for portfolio optimisation under proportional transaction...
View ArticleMulti-factor CES Elasticity and Productivity Growth: A Cross-Sectional...
Sector-wise productivity growths are measured, along with the sectoral elasticity of substitutions, under the multi-factor CES framework, by regressing the growths of factor-wise cost shares against...
View ArticleMultidimensional Polarization Index and its Application to an Analysis of the...
The multidimensional extension of the Aleskerov-Golubenko polarization index is developed. Several versions of the polarization index are proposed based on different distance functions. Basic...
View ArticleDynamics of rapid innovation. (arXiv:1608.01900v1 [physics.soc-ph])
We introduce a model of innovation in which products are composed of components and new components are adopted one at a time. We show that the number of products we can make now gives a distorted view...
View ArticleSemiparametric inference on the fractal index of Gaussian and conditionally...
Using theory on (conditionally) Gaussian processes with stationary increments developed in Barndorff-Nielsen et al. (2009, 2011), this paper presents a general semiparametric approach to conducting...
View ArticleToward Development of a New Health Economic Evaluation Definition....
Economic evaluation is a dynamically advancing knowledge area of health economics. It has been conceived to provide evidence for allocating scarce resources to gain the best value for money. The...
View ArticleA functional convergence theorem for interpolated Markov chains to an...
This paper is concerned with the derivation of a functional scaling limit theorem for a certain class of discrete time Markov chains, each consisting of a one dimensional reference process and an...
View ArticleA time of ruin constrained optimal dividend problem for spectrally one-sided...
We consider the dividends problem for both de Finetti's and Dual models for spectrally one-sided L\'evy processes subject to a constraint on the time of ruin. We introduce the dual problem and show...
View ArticleThe Role of Intensive and Extensive Variables in a Soup of Firms in Economy...
We review production function and the hypothesis of equilibrium in the neoclassical framework. We notify that in a soup of sectors in economy while capital and labor resemble extensive variables, wage...
View ArticleWho would invest only in the risk-free asset?. (arXiv:1608.02446v1 [q-fin.MF])
Within the setup of continuous-time semimartingale financial markets, we show that a multiprior Gilboa-Schmeidler minimax expected utility maximizer forms a portfolio consisting only of the riskless...
View ArticleEvidence That Our Opioid Epidemic Is Only Weakly Correlated with Provider...
The majority of Medicare opioid prescriptions come from family practice and internal medicine providers. I show that the tendency of these providers to prescribe opioids has only a very small...
View ArticleAllocation of risk capital in a cost cooperative game induced by a modified...
The standard theory of coherent risk measures fails to consider individual institutions as part of a system which might itself experience instability and spread new sources of risk to the market...
View ArticleArbitrage and utility maximization in market models with an insider....
We study arbitrage opportunities, market viability and utility maximization in market models with an insider. Assuming that an economic agent possesses from the beginning an additional information in...
View ArticlePath-dependent option pricing with explicit solutions, stochastic...
New simulation approaches to evaluating path-dependent options without matrix inversion issues nor Euler bias are evaluated. They employ three main contributions: Stochastic approximation replaces...
View ArticleBayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)....
Seemingly unrelated regression (SUR) models are used in studying the interactions among economic variables of interest. In a high dimensional setting and when applied to large panel of time series,...
View ArticleAnother example of duality between game-theoretic and measure-theoretic...
This paper makes a small step towards a non-stochastic version of superhedging duality relations in the case of one traded security with a continuous price path. Namely, we prove the coincidence of...
View ArticleArbitrage-Free XVA. (arXiv:1608.02690v1 [q-fin.PR])
We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage...
View ArticleManaging counterparty credit risk via BSDEs. (arXiv:1608.03237v1 [q-fin.RM])
We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk...
View ArticleDynamic portfolio strategy using clustering approach. (arXiv:1608.03058v1...
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks...
View ArticleDynamic structure of stock communities: A comparative study between stock...
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community...
View Article