Approximation des optima de Pareto
Approximation of nonconical preference relations in multiple-criteria decision problems.
Our work field is Multiple-Criteria Decision Making Problems. We study the binary relations, not necessarily conical, that represent the decisor's preferences in the Objective or Outcome Space, we approach them by using cones and we explore under what conditions this approximation can retrieve the entire information of these binary relations.
Approximation of stochastic differential equations driven by α-stable Lévy motion
In this paper we present a result on convergence of approximate solutions of stochastic differential equations involving integrals with respect to α-stable Lévy motion. We prove an appropriate weak limit theorem, which does not follow from known results on stability properties of stochastic differential equations driven by semimartingales. It assures convergence in law in the Skorokhod topology of sequences of approximate solutions and justifies discrete time schemes applied in computer simulations....
Approximations of dynamic Nash games with general state and action spaces and ergodic costs for the players
The purpose of this paper is to prove existence of an ε -equilib- rium point in a dynamic Nash game with Borel state space and long-run time average cost criteria for the players. The idea of the proof is first to convert the initial game with ergodic costs to an ``equivalent" game endowed with discounted costs for some appropriately chosen value of the discount factor, and then to approximate the discounted Nash game obtained in the first step with a countable state space game for which existence...
Arbitrage and pricing in a general model with flows
We study a fundamental issue in the theory of modeling of financial markets. We consider a model where any investment opportunity is described by its cash flows. We allow for a finite number of transactions in a finite time horizon. Each transaction is held at a random moment. This places our model closer to the real world situation than discrete-time or continuous-time models. Moreover, our model creates a general framework to consider markets with different types of imperfection: proportional...
Arbitrage for simple strategies
Various aspects of arbitrage on finite horizon continuous time markets using simple strategies consisting of a finite number of transactions are studied. Special attention is devoted to transactions without shortselling, in which we are not allowed to borrow assets. The markets without or with proportional transaction costs are considered. Necessary and sufficient conditions for absence of arbitrage are shown.
Arbitrage in a simple model with general transaction costs
We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.
Arbitrage in markets without shortselling with proportional transaction costs
We consider markets with proportional transaction costs and shortsale restrictions. We give necessary and sufficient conditions for the absence of arbitrage and also estimate the super-replication price.
Archimedeaness and additive utility on totally and ordered semigroups.
Are law-invariant risk functions concave on distributions?
While it is reasonable to assume that convex combinations on the level of random variables lead to a reduction of risk (diversification effect), this is no more true on the level of distributions. In the latter case, taking convex combinations corresponds to adding a risk factor. Hence, whereas asking for convexity of risk functions defined on random variables makes sense, convexity is not a good property to require on risk functions defined on distributions. In this paper we study the interplay...
Are volatility indices in international stock markets forward looking?
Arrow-Hahn economic models with weakened conditions of continuity
In this article we give descriptions of some economic models that are based on Arrow-Hahn economic model. Finally we consider a model with two major assumptions: first, there is discontinuous excess demand function and, second, if price goes to zero, then it is possible that excess demand may approach infinity. For this last new economic model the existence of quasi-equilibrium is proved.
Asignación de recursos Max-Min: propiedades y algoritmos.
Este trabajo trata el problema de asignación de recursos cuando el objetivo es maximizar la mínima recompensa y las funciones recompensa son continuas y estrictamente crecientes. Se estudian diferentes propiedades que conducen a algoritmos que permiten de forma eficiente la resolución de gran variedad de problemas de esta naturaleza, tanto con variables continuas como discretas.
Assessment of landslide susceptibility by decision trees in the metropolitan area of Istanbul, Turkey.
Asset price dynamics in a financial market with fundamentalists and chartists.
Assets/liabilities portfolio immunization as an optimization problem
Asymptotic and numerical solutions for diffusion models for compounded risk reserveswith dividend payments.
Asymptotic solutions of diffusion models for risk reserves.
Asymptotically optimal pairing strategy for tic-tac-toe with numerous directions.
Asymptotics of riskless profit under selling of discrete time call options
A discrete time model of financial market is considered. In the focus of attention is the guaranteed profit of the investor which arises when the jumps of the stock price are bounded. The limit distribution of the profit as the model becomes closer to the classic model of geometrical Brownian motion is established. It is of interest that the approximating continuous time model does not assume any such profit.