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Displaying similar documents to “On the connectivity of efficient point sets”

Graphical major indices. II.

Foata, Dominique, Krattenthaler, Christian (1995)

Séminaire Lotharingien de Combinatoire [electronic only]

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Optimality of replication in the CRR model with transaction costs

Marek Rutkowski (1998)

Applicationes Mathematicae

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Recently, there has been a growing interest in optimization problems associated with the arbitrage pricing of derivative securities in imperfect markets (in particular, in models with transaction costs). In this paper, we examine the valuation and hedging of European claims in the multiplicative binomial model proposed by Cox, Ross and Rubinstein [5] (the CRR model), in the presence of proportional transaction costs. We focus on the optimality of replication; in particular, we provide...

Some debts I owe.

Andrews, George E. (1999)

Séminaire Lotharingien de Combinatoire [electronic only]

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Optimal stationary policies inrisk-sensitive dynamic programs with finite state spaceand nonnegative rewards

Rolando Cavazos-Cadena, Raúl Montes-de-Oca (2000)

Applicationes Mathematicae

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This work concerns controlled Markov chains with finite state space and nonnegative rewards; it is assumed that the controller has a constant risk-sensitivity, and that the performance ofa control policy is measured by a risk-sensitive expected total-reward criterion. The existence of optimal stationary policies isstudied within this context, and the main resultestablishes the optimalityof a stationary policy achieving the supremum in the correspondingoptimality equation, whenever the...