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Asset Pricing Implications of Pareto Optimality with Private Information
Private Information Pareto Optimality
2015/7/23
We compare the empirical performance of a standard incomplete
markets asset pricing model with that of a novel model with constrained Pareto-optimal allocations. We represent the models’ stochastic d...
The numeraire property and long-term growth optimality for drawdown-constrained investments
numeraire property long-term growth optimality drawdown-constrained investments
2012/9/14
We consider the portfolio choice problem for an investor interested in long-run growth optimality while facing drawdown constraints in a general continuous semimartingale model. The paper introduces t...
Capital requirements on ordered topological vector spaces: finiteness, continuity and optimality
ordered topological vector spaces Frechet and Banach lattices acceptance sets eligible asset risk measures capital adequacy Value-at-Risk Tail Value-at-Risk
2012/9/14
We discuss finiteness (effectiveness), continuity (robustness) and optimality (efficiency) results for capital requirements, or risk measures, defined for financial positions belonging to an ordered t...
Root's Barrier: Construction, Optimality and Applications to Variance Options
Construction Optimality Applications Variance Options Pricing of Securities
2011/7/25
Abstract: Recent work of Dupire (2005) and Carr & Lee (2010) has highlighted the importance of understanding the Skorokhod embedding originally proposed by Root (1969) for the model-independent hedgin...
Revisiting Sub-Optimality of the Decentralized Decision making: A note
Linear quadratic Gaussian (LQG) Kalman filter Borel function
2010/10/18
The famous 1968 Witsenhausen demonstrated that for a multi-agent linear quadratic Gaussian (LQG), the optimal linear solution is, in general sub-optimal. The note gives an example which is easier and...
Optimality and renegotiation in dynamic contracting
Contract theory Dynamic contracts Renegotiation
2014/3/12
We characterize the optimal renegotiation-proof contract in a dynamic principal–agent model in which
the type of the agent may change stochastically over time. We show that, under general conditions,...