Conditional value-at-risk bounds for compound Poisson risks and a normal approximation.
Condorcet et les élections. Avant-propos
Condorcet's theory of voting
Condorcet believed that the purpose of voting is to make a choice that is “best” for society. According to his view, there is one choice that is objectively best, another that is second-best, and so forth. Unfortunately, voters sometimes make mistakes ; they misperceive what is best. In designing a voting rule, therefore, the objective should be to choose the alternative that is most likely to be best. Condorcet solved this problem using a form of maximum likelihood estimation. The procedure that...
Confidence and self-confidence: Perceived and real
The problem of modelling the dynamics of confidence levels between two individuals is investigated. A model, based on a master equation approach, is developed and presented. An important feature of the model is that self-confidence is modelled along with its interaction with confidence towards others. Simulation results are presented.
Conjoint analysis: an application in eliciting patient's preferences.
Conjugacy in Pattern Recognition and Choice Problems
Conservation laws and symmetry in economic growth models: a geometrical approach.
The aim of the present paper is twofold. On one hand, we present a classification of infinitesimal symmetries for Lagrangian systems, and the corresponding Noether theorems. The derivation of the result is made by using the symplectic techniques. Some of the results were previously obtained by other authors (see Prince (1985) for instance), and an exhaustive presentation can be found in de León and Martín de Diego (1995, 1996). Let us note that these results are true even if the Lagrangian function...
Consistance, complétude et traduction optimale des tables de décision
Consistency-driven approximation of a pairwise comparison matrix
The pairwise comparison method is an interesting technique for building a global ranking from binary comparisons. In fact, some web search engines use this method to quantify the importance of a set of web sites. The purpose of this paper is to search a set of priority weights from the preference information contained in a general pairwise comparison matrix; i.e., a matrix without consistency and reciprocity properties. For this purpose, we consider an approximation methodology within a distance-based...
Consistent price systems for subfiltrations
Asymmetric or partial information in financial markets may be represented by different filtrations. We consider the case of a larger filtration F – the natural filtration of the “model world” – and a subfiltration that represents the information available to an agent in the “real world”. Given a price system on the larger filtration that is represented by a martingale measure Q and an associated numeraire S, we show that there is a canonical and nontrivial numeraire Ŝ such that the price system...
Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
This paper deals with the numerical solution of nonlinear Black-Scholes equation modeling European vanilla call option pricing under transaction costs. Using an explicit finite difference scheme consistent with the partial differential equation valuation problem, a sufficient condition for the stability of the solution is given in terms of the stepsize discretization variables and the parameter measuring the transaction costs. This stability condition is linked to some properties of the numerical...
Constrained and indefinite games and their applications [Book]
Constrained portfolio liquidation in a limit order book model
We consider the problem of optimally placing market orders so as to minimize the expected liquidity costs from buying a given amount of shares. The liquidity price impact of market orders is described by an extension of a model for a limit order book with resilience that was proposed by Obizhaeva and Wang (2006). We extend their model by allowing for a time-dependent resilience rate, arbitrary trading times, and general equilibrium dynamics for the unaffected bid and ask prices. Our main results...
Construction de rankings dans un tournoi
Construction et étude axiomatique d'une procédure d'agrégation des préférences individuelles
Continu expérimental et continu mathématique
Continuous time linear-fractional programming. The minimum-risk approach
Continuous time linear-fractional programming. The minimum-risk approach
Continuous time portfolio selection under conditional capital at risk.
Continuous-time mean–risk portfolio selection