Persuading Perceval; Information Provision in a Sequential Search Setting....
This paper modifies the classic Weitzman search problem by granting the items (boxes) to be searched agency. In this zero-sum game, each box commits to a signal structure in order to maximize the...
View ArticleOptimal contract for a fund manager, with capital injections and endogenous...
In this paper, we construct a solution to the optimal contract problem for delegated portfolio management of the fist-best (risk-sharing) type. The novelty of our result is (i) in the robustness of the...
View ArticleThe Dividend Discount Model with Multiple Growth Rates of Any Order for Stock...
In this paper we provide a general solution for the dividend discount model in order to compute the intrinsic value of a common stock that allows for multiple stage growth rates of any predetermined...
View ArticleStock management (Gest\~ao de estoques). (arXiv:1802.10003v1 [q-fin.EC])
There is a great need to stock materials for production, but storing materials comes at a cost. Lack of organization in the inventory can result in a very high cost for the final product, in addition...
View ArticleThe Information Content of Sarbanes-Oxley in Predicting Security Breaches....
We investigated publicly reported security breaches of internal controls in corporate systems to determine whether SOX assessments are information bearing with respect to breaches which can lead to...
View ArticlePrivate Information, Credit Risk and Graph Structure in P2P Lending Networks....
This research investigated the potential for improving Peer-to-Peer (P2P) credit scoring by using "private information" about communications and travels of borrowers. We found that P2P borrowers' ego...
View ArticlePlanning Fallacy or Hiding Hand: Which Is the Better Explanation?....
This paper asks and answers the question of whether Kahneman's planning fallacy or Hirschman's Hiding Hand best explain performance in capital investment projects. I agree with my critics that the...
View ArticleValuation, Liquidity Price, and Stability of Cryptocurrencies....
Cryptocurrencies are examined through the asset flow equations and experimental asset markets. Since tangible value of a typical cryptocurrency is non-existent, the theory suggests that price will...
View ArticleEquilibrium in thin security markets under restricted participation....
We consider a market of financial securities with restricted participation, in which traders may not have access to the trade of all securities. The market is assumed thin: traders may influence the...
View ArticleDiscovering Bayesian Market Views for Intelligent Asset Allocation....
Along with the advance of opinion mining techniques, public mood has been found to be a key element for stock market prediction. However, in what manner the market participants are affected by public...
View ArticleOption Pricing Models Driven by the Space-Time Fractional Diffusion: Series...
In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in the terms of rapidly...
View ArticleAn Expanded Local Variance Gamma model. (arXiv:1802.09611v1 [q-fin.CP])
The paper proposes an expanded version of the Local Variance Gamma model of Carr and Nadtochiy by adding drift to the governing underlying process. Still in this new model it is possible to derive an...
View ArticleDimensional Analysis in Economics: A Study of the Neoclassical Economic...
The fundamental purpose of the present research article is to introduce the basic principles of Dimensional Analysis in the context of the neoclassical economic theory, in order to apply such...
View ArticleRACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection....
Portfolio selection is the central task for assets management, but it turns out to be very challenging. Methods based on pattern matching, particularly the CORN-K algorithm, have achieved promising...
View ArticleRisk-neutral valuation under differential funding costs, defaults and...
We develop a unified valuation theory that incorporates credit risk (defaults), collateralization and funding costs, by expanding the replication approach to a generality that has not yet been studied...
View ArticleFundamental Values of Cryptocurrencies and Blockchain Technology....
We propose a theoretical model to measures the fundamental values of cryptocurrency and blockchain technology. Due to its secure nature, blockchain allows the transactions to be state-contingent based...
View ArticleMortality data reliability in an internal model. (arXiv:1803.00464v1 [q-fin.RM])
In this paper, we discuss the impact of some mortality data anomalies on an internal model capturing longevity risk in the Solvency 2 framework. In particular, we are concerned with abnormal cohort...
View ArticleExploring the relationship between money stock and GDP in the Euro Area via a...
The question regarding the relationship between money stock and GDP in the Euro Area is still under debate. In this paper we address the theme by resorting to Granger-causality spectral estimation and...
View ArticleProxyeconomics, An agent based model of Campbell's law in competitive...
In many areas of society we rely on competition to better achieve societal goals. Ideally, competition motivates effort and efficiently allocates resources. However, due to imperfect information,...
View ArticleDynkin games with Poisson random intervention times. (arXiv:1803.00329v1...
This paper introduces a new class of Dynkin games, where the two players are allowed to make their stopping decisions at a sequence of exogenous Poisson arrival times. The value function and the...
View Article