In this paper, which is an extension of [4], we first show the existence of solutions to a class of Min Sup problems with linked constraints, which satisfy a certain property. Then, we apply our result to a class of weak nonlinear bilevel problems. Furthermore, for such a class of bilevel problems, we give a relationship with appropriate d.c. problems concerning the existence of solutions.
In this paper we investigate the expected terminal utility maximization approach for a dynamic stochastic portfolio optimization problem. We solve it numerically by solving an evolutionary Hamilton-Jacobi-Bellman equation which is transformed by means of the Riccati transformation. We examine the dependence of the results on the shape of a chosen utility function in regard to the associated risk aversion level. We define the Conditional value-at-risk deviation () based Sharpe ratio for measuring...
We analyze the optimal sales process of a stochastic advertising and pricing model with constant demand elasticities. We derive explicit formulae of the densities of the (optimal) sales times and (optimal) prices when a fixed finite number of units of a product are to be sold during a finite sales period or an infinite one. Furthermore, for any time t the exact distribution of the inventory, i.e. the number of unsold items, at t is determined and will be expressed in terms of elementary functions....
The paper deals with extensions of exponential smoothing type methods for univariate time series with irregular observations. An alternative method to Wright’s modification of simple exponential smoothing based on the corresponding ARIMA process is suggested. Exponential smoothing of order m for irregular data is derived. A similar method using a DLS **discounted least squares** estimation of polynomial trend of order m is derived as well. Maximum likelihood parameters estimation for forecasting...
We deal with pricing and hedging for a payment process. We investigate a Black-Scholes financial market with stochastic coefficients and a stream of liabilities with claims occurring at random times, continuously over the duration of the contract and at the terminal time. The random times of the claims are generated by a random measure with a stochastic intensity of jumps. The claims are written on the asset traded in the financial market and on the non-tradeable source of risk driven by the random...
Different approaches are possible in order to derive the exponential regime in statistical systems. Here, a new functional equation is proposed in an economic context to explain the wealth exponential distribution. Concretely, the new iteration [1] given byIt is found that the exponential distribution is a stable fixed point of this functional iteration equation. From this point of view, it is easily understood why the exponential wealth distribution (or by extension, other kind of distributions)...
In this paper, we develop some stochastic dominance theorems for the location and scale family and linear combinations of random variables and for risk lovers as well as risk averters that extend results in Hadar and Russell (1971) and Tesfatsion (1976). The results are discussed and applied to decision-making.
We prove that under some topological assumptions (e.g. if M has nonempty interior in X), a convex cone M in a linear topological space X is a linear subspace if and only if each convex functional on M has a convex extension on the whole space X.
1991 AMS Math. Subj. Class.:Primary 54C10; Secondary 54F65We provide both a spectral and an internal characterizations of arbitrary !-favorable spaces with respect to co-zero sets. As a corollary we establish that any product of compact !-favorable spaces with respect to co-zero sets is also !-favorable with respect to co-zero sets. We also prove that every C* -embedded !-favorable with respect to co-zero sets subspace of an extremally disconnected space is extremally disconnected.
In parliaments elected by proportional systems the seats are allocated to the elected political parties roughly proportionally to the shares of votes for the party lists. Assuming that members of the parliament representing the same party are voting together, it has sense to require that distribution of the influence of the parties in parliamentary decision making is proportional to the distribution of seats. There exist measures (so called voting power indices) reflecting an ability of each party...
The computation of leastcore and prenucleolus is an efficient way of allocating a common resource among n players. It has, however, the drawback being a linear programming problem with 2n - 2 constraints. In this paper we show how, in the case of convex production games, generate constraints by solving small size linear programming problems, with both continuous and integer variables. The approach is extended to games with symmetries (identical players), and to games with partially continuous...