Porosity and models with discrete innovations.
Portfolio optimization for pension plans under hybrid stochastic and local volatility
Based upon an observation that it is too restrictive to assume a definite correlation of the underlying asset price and its volatility, we use a hybrid model of the constant elasticity of variance and stochastic volatility to study a portfolio optimization problem for pension plans. By using asymptotic analysis, we derive a correction to the optimal strategy for the constant elasticity of variance model and subsequently the fine structure of the corrected optimal strategy is revealed. The result...
Portfolio selection with jumps under regime switching.
Poset game periodicity.
Poset-valued preference relations
In decision processes some objects may not be comparable with respect to a preference relation, especially if several criteria are considered. To provide a model for such cases a poset valued preference relation is introduced as a fuzzy relation on a set of alternatives with membership values in a partially ordered set. We analyze its properties and prove the representation theorem in terms of particular order reversing involution on the co-domain poset. We prove that for every set of alternatives...
Possible Classification of the Methods of Operational Research Applicable in the Field of Defense
Postavení sémantiky v generativním popisu jazyka
POT-based estimation of the renewal function of interoccurrence times of heavy-tailed risks.
Potential-based strategies for tic-tac-toe on the integer lattice with numerous directions.
Pour un schéma de lecture des modèles économiques complexes application à Mini-DMS
Pour une réévaluation du rôle de l’enseignement dans l’histoire des mathématiques
Poverty measures and poverty orderings.
We examine the conditions under which unanimous poverty rankings of income distributions can be obtained for a general class of poverty indices. The "per-capita income gap" and the Shorrocks and Thon poverty measures are particular members of this class. The conditions of dominance are stated in terms of comparisons of the corresponding TIP curves and areas.
Power analysis of voting by count and account
Using players’ Shapley–Shubik power indices, Peleg [4] proved that voting by count and account is more egalitarian than voting by account. In this paper, we show that a stronger shift in power takes place when the voting power of players is measured by their Shapley–Shubik indices. Moreover, we prove that analogous power shifts also occur with respect to the absolute Banzhaf and the absolute Johnston power indices.
Pražský závislostní korpus aneb Co tady před padesáti lety nebylo
Preface
Preface
Preference numbers and funnel dimension
Préférences et rationalité stochastiques
Le but de cet article est de procéder à une présentation pédagogique d'un concept étendu de rationalité, la rationalité stochastique. Dans une première partie, nous exposons le problème à l'aide d'un exemple simple et posons un ensemble de définitions préliminaires. Puis, dans une seconde partie, nous présentons le résultat fondamental de Falmagne (1978) s'appliquant aux situations de choix multiples ; l'approche ensembliste de cet auteur est formalisée à partir du concept de polynômes de Block-Marschak...
Préférences stochastiques
Premium evaluation for different loss distributions using utility theory
For any insurance contract to be mutually advantageous to the insurer and the insured, premium setting is an important task for an actuary. The maximum premium ( that an insured is willing to pay can be determined using utility theory. The main focus of this paper is to determine by considering different forms of the utility function. The loss random variable is assumed to follow different Statistical distributions viz Gamma, Beta, Exponential, Pareto, Weibull, Lognormal and Burr. The theoretical...