Welfare effects of information and rationality in portfolio decisions under...
We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rational (i.e., sub-optimal)...
View ArticleMultivariate Density Modeling for Retirement Finance. (arXiv:1709.04070v1...
Prior to the financial crisis mortgage securitization models increased in sophistication as did products built to insure against losses. Layers of complexity formed upon a foundation that could not...
View ArticleRandom walks and market efficiency in Chinese and Indian equity markets....
Hypothesis of Market Efficiency is an important concept for the investors across the globe holding diversified portfolios. With the world economy getting more integrated day by day, more people are...
View ArticleRandom matrix approach for primal-dual portfolio optimization problems....
In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the...
View ArticleSampling of probability measures in the convex order and approximation of...
Motivated by the approximation of Martingale Optimal Transport problems, we study sampling methods preserving the convex order for two probability measures $\mu$ and $\nu$ on $\mathbb{R}^d$, with $\nu$...
View ArticleEconomic Complexity: "Buttarla in caciara" vs a constructive...
This note is a contribution to the debate about the optimal algorithm for Economic Complexity that recently appeared on ArXiv [1, 2] . The authors of [2] eventually agree that the ECI+ algorithm [1]...
View ArticleOptimal Inflation Target: Insights from an Agent-Based Model....
Which level of inflation should Central Banks be targeting? We investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that...
View ArticleOptimal Liquidation Problems in a Randomly-Terminated Horizon....
In this paper, we study optimal liquidation problems in a randomly-terminated horizon. We consider the liquidation of a large single-asset portfolio with the aim of minimizing a combination of...
View ArticleA new approach to the modeling of financial volumes. (arXiv:1709.05823v1...
In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume that the intraday logarithmic change of volume is...
View ArticleGDP growth rates as confined L\'evy flights. (arXiv:1709.05594v1 [q-fin.GN])
A new model that combines economic growth rate fluctuations at the microscopic and macroscopic level is presented. At the microscopic level, firms are growing at different rates while also being...
View ArticleExplicit Solution for Constrained Stochastic Linear-Quadratic Control with...
We study in this paper a class of constrained linear-quadratic (LQ) optimal control problem formulations for the scalar-state stochastic system with multiplicative noise, which has various...
View ArticleSemi-Static Variance-Optimal Hedging in Stochastic Volatility Models with...
In a financial market model, we consider the variance-optimal semi-static hedging of a given contingent claim, a generalization of the classic variance-optimal hedging. To obtain a tractable formula...
View ArticleSemi-Static and Sparse Variance-Optimal Hedging. (arXiv:1709.05519v1 [q-fin.MF])
We consider hedging of a contingent claim by a 'semi-static' strategy composed of a dynamic position in one asset and static (buy-and-hold) positions in other assets. We give general representations of...
View ArticleRelatedness, Knowledge Diffusion, and the Evolution of Bilateral Trade....
During the last decades two important contributions have reshaped our understanding of international trade. First, countries trade more with those with whom they share history, language, and culture,...
View ArticleNumerical analysis for a unified 2 factor model of structural and reduced...
Conditions of stability for explicit finite difference scheme and some results of numerical analysis for a unified 2 factor model of structural and reduced form types for corporate bonds with fixed...
View ArticleKinetic theory and Brazilian income distribution. (arXiv:1709.06480v1...
We investigate the Brazilian personal income distribution using data from National Household Sample Survey (PNAD), an annual research available by the Brazilian Institute of Geography and Statistics...
View ArticleModeling of the Labour Force Redistribution in Investment Projects with...
The mathematical model of the labour force redistribution in investment projects is presented in the article. The redistribution mode of funds, labour force in particular, according to the equal risk...
View ArticleThe bail-out optimal dividend problem under the absolutely continuous...
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general...
View ArticleLarge-Scale Portfolio Allocation Under Transaction Costs and Model...
We theoretically and empirically study large-scale portfolio allocation problems when transaction costs are taken into account in the optimization problem. We show that transaction costs act on the one...
View ArticleUniversal L\'evy's Stable Law of Stock Market and its Characterization....
Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from...
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