-linear operators in quantum mechanics and in economy.
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.
Scale-invariant equal sacrifice in taxation and conditional functional equations.
Scrutin proportionnel et optimisation mathématique
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...
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.
Segregation and integration: a study of the behaviors of investors with extended value functions.
Selecting the best forecasting-implied volatility model using genetic programming.
Self-similar processes in collective risk theory.
Semi-Chaotic Financial Series and Neural Network Forecasting: Evidence from European Stock Markets
Serial cost sharing
A new axiomatization of the serial method for heterogeneous cost sharing problems is given. One of the axioms is common ordinality. It requires invariance of the method w.r.t. common ordinal transformations of individual utilities.
Seven Proofs for the Subadditivity of Expected Shortfall
Subadditivity is the key property which distinguishes the popular risk measures Value-at-Risk and Expected Shortfall (ES). In this paper we offer seven proofs of the subadditivity of ES, some found in the literature and some not. One of the main objectives of this paper is to provide a general guideline for instructors to teach the subadditivity of ES in a course. We discuss the merits and suggest appropriate contexts for each proof.With different proofs, different important properties of ES are...
Simple equilibria in finite games with convexity properties
This review paper gives a characterization of non-coalitional zero-sum and non-zero-sum games with finite strategy spaces and payoff functions having some concavity or convexity properties. The characterization is given in terms of the existence of two-point Nash equilibria, that is, equilibria consisting of mixed strategies with spectra consisting of at most two pure strategies. The structure of such simple equilibria is discussed in various cases. In particular, many of the results discussed can...
Simple-zero and double-zero singularities of a Kaldor-Kalecki model of business cycles with delay.
Simultaneous Determination of Economic Production Quantity and Economic Control Chart Design Under Truncated Weibull Shock Models
Single-product dynamic model of replacing production capacities.
Small perturbations with large effects on value-at-risk
We show that in the delta-normal model there exist perturbations of the Gaussian multivariate distribution of the returns of a portfolio such that the initial marginal distributions of the returns are statistically undistinguishable from the perturbed ones and such that the perturbed V@R is close to the worst possible V@R which, under some reasonable assumptions, is the sum of the V@Rs of each of the portfolio assets.
Solidarity and cooperative bargaining solutions
In this paper, we consider production economies with possibly unequal production skills and with the possibility of technological innovations, in which resource allocations are determined via bargaining among individuals. We define the Nash (resp. the Kalai-Smorodinsky) bargaining solution as the (bargaining) allocation rule whose utility outcomes just result in the Nash (resp. the Kalai-Smorodinsky) bargaining outcomes. Two new axioms regarding compensation for low skill agents are introduced as...
Soluciones no dominadas en problemas multiobjetivo.
La Teoría de Estructuras de Dominación, introducida por P. L. Yu como nuevo procedimiento de solución a problemas multiobjetivo, presenta bastantes lagunas, debidas sin duda a la novedad del tema. Nos hemos propuesto en este trabajo caracterizar completamente los puntos no dominados, por distintos procedimientos, así como seleccionar entre ellos un subconjunto más deseable ("soluciones propias"). Se abordan también condiciones para soluciones no dominadas en el espacio de decisiones.