Continuous time linear-fractional programming. The minimum-risk approach
Continuous time linear-fractional programming. The minimum-risk approach
Continuous time portfolio selection under conditional capital at risk.
Continuous-time mean–risk portfolio selection
Continuous-time trading and the emergence of volatility.
Contractual -core and equilibrium allocations.
Contributions to the credibility theory.
Control of a neoclassic economic model
Control of linear systems with rational expectations. The case of incomplete information.
The problem of optimal control of linear economic systems with rational expectations and quadratic objective function is solved for the case of incomplete information. The case of complete information has been previously studied. In both problems the hypothesis of causality is not satisfied and, therefore, the standard techniques of control theory cannot be directly applied, though the method used is based on these techniques.
Convergence for step line processes under summation of random indicators and models of market pricing.
Convergence model of interest rates of CKLS type
This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we...
Convergence of optimal strategies in a discrete time market with finite horizon
A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.
Cooperación y defensa.
Se aplican conceptos y técnicas de la teoría de juegos cooperativos a problemas de decisión que afectan a la política de Defensa del país. El análisis permite evaluar las propuestas sobre procedimientos de votación cualificada presentadas al Consejo Europeo en la cumbre de Maastricht de diciembre de 1991. Se ponen así de manifiesto las implicaciones que supondría para la posición estratégica de España la inédita capacidad operativa concedida a la Comunidad por el tratado de unión política.
Cooperative networks games with elastic demands
We present here a pricing model which is an extension of the cooperative game concept and which includes a notion of elastic demand. We present some existence results as well as an algorithm, and we conclude by discussing a specific problem related to network pricing.
Copula-based grouped risk aggregation under mixed operation
This paper deals with the problem of risk measurement under mixed operation. For this purpose, we divide the basic risks into several groups based on the actual situation. First, we calculate the bounds for the subsum of every group of basic risks, then we obtain the bounds for the total sum of all the basic risks. For the dependency relationships between the basic risks in every group and all of the subsums, we give different copulas to describe them. The bounds for the aggregated risk under mixed...
Core and Coalition - Power in a Public Good Economy
Core and equilibria in models of large household economy
The paper deals with models of household economy with infinitely many agents classified into a finite number of types. The notions of competitive equilibrium, core and quasi-core are examined with special emphasis on their mutual relations.
Core equivalence in economy under awareness
The extended notion of pure exchange economy under uncertainty, called an economy with awareness structure, is presented, where each trader having strictly monotone preferences makes decision under his/her awareness and belief. We show an extension of the core equivalence theorem: The ex-post core coincides with the set of all generalized expectations equilibria in awareness for the economy.
Core solutions and nash equilibria in noncooperative games with a measure space of players
The paper deals with noncooperative games in which players constitute a measure space. Strategy profiles that are equal almost everywhere are assumed to have the same interactive effects. Under these circumstances we explore links between core solutions and Nash equilibria. Conditions are given which guarantee that core outcomes must be Nash equilibria and vice versa. The main contribution are results on nonemptieness of the core.
Correlated equilibria in competitive staff selection problem
This paper deals with an extension of the concept of correlated strategies to Markov stopping games. The Nash equilibrium approach to solving nonzero-sum stopping games may give multiple solutions. An arbitrator can suggest to each player the decision to be applied at each stage based on a joint distribution over the players' decisions. This is a form of equilibrium selection. Examples of correlated equilibria in nonzero-sum games related to the staff selection competition in the case of two departments...