搜索结果: 1-15 共查到“经济学 Consistent”相关记录21条 . 查询时间(0.093 秒)
Consistent Factor Estimation in Dynamic Factor Models with Structural Instability
Factor Estimation Dynamic Factor Models Structural Instability
2014/3/18
This paper considers the estimation of approximate dynamic factor models when there is temporal instability in the factor loadings. We characterize the type and magnitude of instabilities under which ...
Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
mean-variance criterion Markowitz problem portfolio optimisation time consistency time-inconsistent optimal control
2012/6/5
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dyna...
Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas
Dependence Modeling Arrival Times Sampling Archimedean Copula Gumbel-Hougaard Copula Marshall-Olkin Copula
2012/4/28
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the rel...
Double trouble: the importance of accounting for and defining water entitlements consistent with hydrological realities
hydrological integrity interception water accounting water markets water rights water trading
2011/10/6
When entitlements to access water in fully allocated river and aquifers are specified in a manner that is inconsistent with the ways that water arrives, flows across and flows through land, inefficien...
Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
nonlinear expectations comparison theorem nonlinear Doob-Meyer
2011/3/23
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear...
Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces
nonlinear expectations comparison theorem nonlinear Doob-Meyer
2011/3/23
We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear...
Utility Indifference Pricing: A Time Consistent Approach
Time consistency time inconsistent control incomplete market utility indifference price
2011/3/23
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute ...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula
2010/10/19
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models ...
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known f...
What risk measures are time consistent for all filtrations?
Risk measure time consistency stability by pasting
2010/10/21
We study coherent risk measures which are time-consistent for multiple filtrations. We show that a coherent risk measure is time-consistent for every filtration if and only if it is one of four main ...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula Stochastic Recovery Bottom-up Top-down
2010/4/28
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models t...
Consistent Valuation of Bespoke CDO Tranches
Bespoke CDO Tranches arbitrage-free pricing methodology multi-factor
2010/4/28
This paper describes a consistent and arbitrage-free pricing methodology for bespoke CDO tranches. The proposed method is a multi-factor extension to the (Li 2009) model, and it is free of the known f...
Consistent Pricing and Hedging of an FX Options Book
foreign exchange options market uncertain Black-Scholes parameters
2009/5/7
In the foreign exchange (FX) options market away-from-the-money options are quite actively traded, and quotes for the same type of instruments are available everyday with very narrow spreads (at leas...
A Consistent Model of `Explosive' Financial Bubbles With Mean-Reversing Residuals
Rational bubbles mean reversal positive feedbacks finite-time singularity superexponential growth Bayesian analysis log-periodic power law
2010/11/1
We present a self-consistent model for explosive financial bubbles, which combines a
mean-reverting volatility process and a stochastic conditional return which reflects nonlinear
positive feedbacks...
Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
Estimating Credit Term Structures Consistent CDS-Bond Basis
2010/11/3
In the third part of this series we introduce consistent relative value measures for CDS-Bond
basis trades using the bond-implied CDS term structure derived from fitted survival rate
curves. We expl...