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El problema de selección de la cartera en un mercado logarítmico-normal con criterio de utilidad R-ε.

Eduardo Ramos Méndez (1983)

Trabajos de Estadística e Investigación Operativa

Se estudia el problema de selección de la cartera bajo la hipótesis de que las rentas de los títulos individuales y de las carteras siguen distribuciones logarítmico-normales empleando como criterio de ordenación del conjunto de carteras el criterio de utilidad del riesgo fijado R-ε. Se proporciona el modo de obtener la cartera correspondiente a cada nivel de riesgo, así como el subconjunto de carteras eficientes.

Elementary Introduction to Stochastic Finance in Discrete Time

Peter Jaeger (2012)

Formalized Mathematics

This article gives an elementary introduction to stochastic finance (in discrete time). A formalization of random variables is given and some elements of Borel sets are considered. Furthermore, special functions (for buying a present portfolio and the value of a portfolio in the future) and some statements about the relation between these functions are introduced. For details see: [8] (p. 185), [7] (pp. 12, 20), [6] (pp. 3-6).

Entry-exit decisions with implementation delay under uncertainty

Yong-Chao Zhang (2018)

Applications of Mathematics

We employ a natural method from the perspective of the optimal stopping theory to analyze entry-exit decisions with implementation delay of a project, and provide closed expressions for optimal entry decision times, optimal exit decision times, and the maximal expected present value of the project. The results in conventional research were obtained under the restriction that the sum of the entry cost and exit cost is nonnegative. In practice, we may meet cases when this sum is negative, so it is...

Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast

Dia, Galaye, Kone, Abdoulaye (2009)

Serdica Mathematical Journal

2000 Mathematics Subject Classification: Primary 60G55; secondary 60G25.We estimate a regression function on a point process by the Tukey regressogram method in a general setting and we give an application in the case of a Risk Process. We show among other things that, in classical Poisson model with parameter r, if W is the amount of the claim with finite espectation E(W) = m, Sn (resp. Rn) the accumulated interval waiting time for successive claims (resp. the aggregate claims amount) up to the...

Events of Borel Sets, Construction of Borel Sets and Random Variables for Stochastic Finance

Peter Jaeger (2014)

Formalized Mathematics

We consider special events of Borel sets with the aim to prove, that the set of the irrational numbers is an event of the Borel sets. The set of the natural numbers, the set of the integer numbers and the set of the rational numbers are countable, so we can use the literature [10] (pp. 78-81) as a basis for the similar construction of the proof. Next we prove, that different sets can construct the Borel sets [16] (pp. 9-10). Literature [16] (pp. 9-10) and [11] (pp. 11-12) gives an overview, that...

Exponential utility optimization, indifference pricing and hedging for a payment process

Łukasz Delong (2012)

Applicationes Mathematicae

We deal with pricing and hedging for a payment process. We investigate a Black-Scholes financial market with stochastic coefficients and a stream of liabilities with claims occurring at random times, continuously over the duration of the contract and at the terminal time. The random times of the claims are generated by a random measure with a stochastic intensity of jumps. The claims are written on the asset traded in the financial market and on the non-tradeable source of risk driven by the random...

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