Robust insurance mechanisms and the shadow prices of information constraints.
Robust portfolio selection under exponential preferences
We consider an incomplete market with an untradable stochastic factor and a robust investment problem based on the CARA utility. We formulate it as a stochastic differential game problem, and use Hamilton-Jacobi-Bellman-Isaacs equations to derive an explicit representation of the robust optimal portfolio; the HJBI equation is transformed using a substitution of the Cole-Hopf type. Not only the pure investment problem, but also a problem of robust hedging is taken into account: an agent tries to...
Robust recursive estimation of GARCH models
The robust recursive algorithm for the parameter estimation and the volatility prediction in GARCH models is suggested. It seems to be useful for various financial time series, in particular for (high-frequency) log returns contaminated by additive outliers. The proposed procedure can be effective in the risk control and regulation when the prediction of volatility is the main concern since it is capable to distinguish and correct outlaid bursts of volatility. This conclusion is demonstrated by...
Robustness regions for measures of risk aggregation
One of risk measures’ key purposes is to consistently rank and distinguish between different risk profiles. From a practical perspective, a risk measure should also be robust, that is, insensitive to small perturbations in input assumptions. It is known in the literature [14, 39], that strong assumptions on the risk measure’s ability to distinguish between risks may lead to a lack of robustness. We address the trade-off between robustness and consistent risk ranking by specifying the regions in...
Ruin models with investment income.
-linear operators in quantum mechanics and in economy.
Saddle-point problems in partial differential equations and applications to linear quadratic differential games
Sampling design variance estimation of small area estimators in the Spanish Labour Force survey.
The main goal of this paper is to investigate how to estimate sampling design variances of modelbased and model-assisted small area estimators in a complex survey sampling setup. For this purpose the Spanish Labour Force Survey is considered. Sample and aggregated data are taken from the Canary Islands in the second trimester of 2003 in order to obtain some small area estimators of ILO unemployment totals. Several problems arising from the application of standard small area estimation procedures...
Sampling size and efficiency bias in data envelopment analysis.
Saturations of gambling houses
Scale-invariant equal sacrifice in taxation and conditional functional equations.
Schutz eines Intervalles vor zwei Angreifern - ein einfaches Differentialspiel.
Scrutin proportionnel et optimisation mathématique
Search Game on an Odd Number of Arcs with Immobile Hider
Search Game on the Union of N Identical Graphs Joined at One or Two Points
Seasonal time series with missing observations
Popular exponential smoothing methods dealt originally only with equally spaced observations. When time series contains gaps, smoothing constants have to be adjusted. Cipra et al., following Wright’s approach of irregularly spaced observations, have suggested ad hoc modification of smoothing constants for the Holt-Winters smoothing method. In this article the fact that the underlying model of the Holt-Winters method is a certain seasonal ARIMA is used. Minimum mean square error smoothing constants...
Secretary Problems with Inspection Costs as a Game.
Security price modelling by a binomial tree
We consider multidimensional tree-based models of arbitrage-free and path-independent security markets. We assume that no riskless investment exists. Contingent claims pricing and hedging problems in such a market are studied.
Segmentation in personal networks
A concept and several measures for segmentation of personal networks are proposed. It is argued that the implications of segmentation of personal networks are, in a sense, the opposite of those of segmentation of entire networks. The measures are illustrated by the example of the trust network in a civil service departement. For the case where relations in the personal network are observed by a sample rather than completely, estimators for the segmentation measures are given.
Segregation and integration: a study of the behaviors of investors with extended value functions.