Processus de décision et cinétique logique
Producing the tangency portfolio as a corner portfolio
One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset. In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio. So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient frontier via...
Production functions having the CES property.
Production games, core deficit, duality and shadow prices
Considered here are production (or market) games with transferable utility. Prime objects are explicitly computable core solutions, or somewhat "deficit" versions of such, fully defined by shadow prices. Main arguments revolve around standard Lagrangian duality. A chief concern is to relax, or avoid, the commonplace assumption that all preferences and production possibilities be convex. Doing so, novel results are obtained about non-emptiness of the core, and about specific imputations therein.
Profitability analysis of price-taking strategy in disequilibrium.
Profitability and Productivity in the Greek Construction Industry
Profitability, investment, and efficiency wages.
Programmation linéaire et comptabilité analytique
Prolongement des jeux à deux joueurs de somme nulle. Une théorie abstraite des duels
Proof trees for weak achievement games.
Propriétés du spectre évolutif d'un processus non stationnaire
Propriétés et caractérisations topologiques d'une représentation pyramidale
Ce texte présente quelques caractéristiques géométriques des dissimilarités robinsoniennes. Ces dissimilarités constituent un modèle très général de représentation des mesures de proximité entre objets (ou groupes d'objets) lorsque ces entités sont rangées suivant un ordre total. Les propriétés géométriques des dissimilarités robinsoniennes sont exposées en utilisant les notions de segment et de frontière introduites pour une dissimilarité quelconque. Nous considérons ensuite l'ensemble des dissimilarités...
První užití matematiky v české jazykovědě
Psychologie matematiky
Psychometric roots of multidimensional data analysis in the Netherlands: from Gerard Heymans to John van de Geer.
Public spending in a model of endogenous growth with habit formation.
Pursuit games with bounded accelerations
Pursuit-evasion differential game with many inertial players.
Qualitative Investigation of a Model of Economic Growth
Quantifying the impact of different copulas in a generalized CreditRisk + framework An empirical study
Without any doubt, credit risk is one of the most important risk types in the classical banking industry. Consequently, banks are required by supervisory audits to allocate economic capital to cover unexpected future credit losses. Typically, the amount of economical capital is determined with a credit portfolio model, e.g. using the popular CreditRisk+ framework (1997) or one of its recent generalizations (e.g. [8] or [15]). Relying on specific distributional assumptions, the credit loss distribution...