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Exponential Probability Distribution Function for Asset Value Difference 资产价值差的指数概率分布函数
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-07-18 DOI: 10.2139/ssrn.3442151
Muhammad Ali
{"title":"Exponential Probability Distribution Function for Asset Value Difference","authors":"Muhammad Ali","doi":"10.2139/ssrn.3442151","DOIUrl":"https://doi.org/10.2139/ssrn.3442151","url":null,"abstract":"This paper presents mathematical formulation for the probability distribution function of asset value difference using canonical ensemble framework. For asset value significantly smaller than the total market value, the distribution is given by exponential function, which depends on market-eta 𝜂. Market-eta is a quantity, which is inversely related to market volatility 𝜎. It is proposed to use range of market-eta values to attain probabilities of profit return, which is always bounded in the range {𝑃_𝑋,𝜂1≤𝑃_𝑋≤𝑃_𝑋,𝜂3}, where 𝑃_𝑋 is the probability of profit returns. This exponential distribution can be efficiently used by traders and firms dealing with small proportion of total market value for risk assessment and hedging.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"66 14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123459441","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Exponential Observation Error in Boundary Region 边界区指数观测误差
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-07-04 DOI: 10.2139/ssrn.3417609
A. Aljoubory
{"title":"Exponential Observation Error in Boundary Region","authors":"A. Aljoubory","doi":"10.2139/ssrn.3417609","DOIUrl":"https://doi.org/10.2139/ssrn.3417609","url":null,"abstract":"In this paper the (exponential) perception blunder idea on account of limit locale has been discussed and broke down. For disseminated parameter frameworks of explanatory sort, we demonstrate that, the blunder of state reproduction can be diminishes by exponentially perception.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116227776","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Pricing and Hedging Equity-Linked Life Insurance Contracts Beyond the Classical Paradigm: The Principle of Equivalent Forward Preferences 超越经典范式的股票挂钩寿险合约定价与套期保值:等效远期偏好原则
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-05-19 DOI: 10.2139/ssrn.3250266
W. F. Chong
{"title":"Pricing and Hedging Equity-Linked Life Insurance Contracts Beyond the Classical Paradigm: The Principle of Equivalent Forward Preferences","authors":"W. F. Chong","doi":"10.2139/ssrn.3250266","DOIUrl":"https://doi.org/10.2139/ssrn.3250266","url":null,"abstract":"Abstract By applying the principle of equivalent forward preferences, this paper revisits the pricing and hedging problems for equity-linked life insurance contracts. The equity-linked contingent claim depends on, not only the future lifetime of the policyholder, but also the performance of the reference portfolio in the financial market for the segregated account of the policyholder. For both zero volatility and non-zero volatility forward utility preferences, prices and hedging strategies of the contract are represented by solutions of random horizon backward stochastic differential equations. Numerical illustration is provided for the zero volatility case. The derived prices and hedging strategies are also compared with classical results in the literature.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121536516","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Phase Transitions in Bandits with Switching Constraints 带开关约束的强盗中的相变
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-04-30 DOI: 10.2139/ssrn.3380783
D. Simchi-Levi, Yunzong Xu
{"title":"Phase Transitions in Bandits with Switching Constraints","authors":"D. Simchi-Levi, Yunzong Xu","doi":"10.2139/ssrn.3380783","DOIUrl":"https://doi.org/10.2139/ssrn.3380783","url":null,"abstract":"We consider the classical stochastic multi-armed bandit problem with a constraint on the total cost incurred by switching between actions. We prove matching upper and lower bounds on regret and provide near-optimal algorithms for this problem. Surprisingly, we discover phase transitions and cyclic phenomena of the optimal regret. That is, we show that associated with the multi-armed bandit problem, there are phases defined by the number of arms and switching costs, where the regret upper and lower bounds in each phase remain the same and drop significantly between phases. The results enable us to fully characterize the trade-off between regret and incurred switching cost in the stochastic multi-armed bandit problem, contributing new insights to this fundamental problem. Under the general switching cost structure, the results reveal a deep connection between bandit problems and graph traversal problems, such as the shortest Hamiltonian path problem.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121660566","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
When Factor Timing Makes Sense 当因子计时有意义时
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-04-17 DOI: 10.2139/ssrn.3359438
Farzin Barekat
{"title":"When Factor Timing Makes Sense","authors":"Farzin Barekat","doi":"10.2139/ssrn.3359438","DOIUrl":"https://doi.org/10.2139/ssrn.3359438","url":null,"abstract":"In this paper we investigate when it makes sense for portfolio managers to implement factor timing in their quantitative investing, that is we outline necessary circumstances under which the benefits of factor timing (measured by the improvement in Sharpe ratio and the skewness of the returns) outweighs the challenges associated with development and implementation of factor timing. In particular, we mathematically show that factor timing for a single strategy does not yield substantial improvements unless either (1) the Sharpe ratio of the strategy is orders of magnitude different across states, or (2) the signal used for factor timing can accurately predict when the strategy will deliver negative returns (and the portfolio manager is willing to go short the strategy at that time). On the other hand, using simulation, we provide evidence that for a multi-factor portfolio (containing more than 10 factors) allocating risk based on instantaneous correlations between the factors at the beginning of each time period improves performance above the passive approach of allocating risk based on the long-term factor correlations.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128921129","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Portfolio Selection with Inflation-linked Bonds and Indexation Lags 通货膨胀挂钩债券和指数化滞后的投资组合选择
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-04-15 DOI: 10.2139/ssrn.3372002
Kai Li
{"title":"Portfolio Selection with Inflation-linked Bonds and Indexation Lags","authors":"Kai Li","doi":"10.2139/ssrn.3372002","DOIUrl":"https://doi.org/10.2139/ssrn.3372002","url":null,"abstract":"Abstract We derive the price of inflation-indexed bonds of which the payments are linked to a lagged price index and solve for the optimal bond portfolio under both inflation and indexation lags in closed form. We show that indexation lags increase the number of state variables characterizing both the bond prices and the optimal portfolio. The lag-induced state variables affect the future investment opportunity and hence further arm investors with the tools for hedging inflation risk that is, however, unhedgeable if there is no indexation lag. We find that the optimal portfolio accounts for the indexation lags by also exploring the historical information and increases investors’ welfare. Therefore, we document a positive effect of the indexation lags that are typically considered as a type of market friction.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"176 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114752608","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
A Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to Noncommutative Geometry 量子Kolmogorov倒向方程的非局部逼近及其与非交换几何的联系
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-03-01 DOI: 10.2139/ssrn.3384829
William Hicks
{"title":"A Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to Noncommutative Geometry","authors":"William Hicks","doi":"10.2139/ssrn.3384829","DOIUrl":"https://doi.org/10.2139/ssrn.3384829","url":null,"abstract":"The Accardi-Boukas quantum Black-Scholes equation can be used as an alternative to the classical approach to finance, and has been found to have a number of useful benefits. The quantum Kolmogorov backward equations, and associated quantum Fokker-Planck equations, that arise from this general framework, are derived using the Hudson-Parthasarathy quantum stochastic calculus. In this paper we show how these equations can be derived using a nonlocal approach to quantum mechanics. We show how nonlocal diffusions, and quantum stochastic processes can be linked, and discuss how moment matching can be used for deriving solutions.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"107 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132665224","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
On the Number of Employed in the Matching Model 论匹配模型中的就业人数
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-01-07 DOI: 10.2139/ssrn.3179882
Minoru Kitahara, Yasunori Okumura
{"title":"On the Number of Employed in the Matching Model","authors":"Minoru Kitahara, Yasunori Okumura","doi":"10.2139/ssrn.3179882","DOIUrl":"https://doi.org/10.2139/ssrn.3179882","url":null,"abstract":"Abstract This study analyzes the number of matches in stable and efficient matchings. The benchmark number of matches is the largest one among the matchings in which no agent can be better off by itself. We show that, in the one-to-one matching model, the number of matches in any stable matching is more than or equal to the smallest integer that is not less than half of the benchmark number. This result is satisfied even if “stable matching” is replaced by “efficient matching”. We extend the model to the many-to-one matching one and provide the sets of preference profiles in which each of the above results continues to hold.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122926112","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Multi-Period Portfolio Optimization Model with Cone Constraints and Discrete Decisions 具有锥约束和离散决策的多周期投资组合优化模型
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2019-01-01 DOI: 10.2139/ssrn.2932567
Ümit Sağlam, Hande Y. Benson
{"title":"Multi-Period Portfolio Optimization Model with Cone Constraints and Discrete Decisions","authors":"Ümit Sağlam, Hande Y. Benson","doi":"10.2139/ssrn.2932567","DOIUrl":"https://doi.org/10.2139/ssrn.2932567","url":null,"abstract":"In this study, we consider multi-period portfolio optimization model that is formulated as a mixed-integer second-order cone programming problems (MISOCPs). The Markowitz (1952) mean/variance framework has been extended by including transaction costs, conditional value-at-risk (CVaR), diversification-by-sector and buy-in thresholds constraints. The model is obtained using a binary scenario tree that is constructed with monthly returns of the stocks from the S&P 500. We solve these models with a MATLAB based Mixed Integer Linear and Nonlinear Optimizer (MILANO). Numerical results show that we can solve small to medium-sized instances successfully, and we provide a substantial improvement in runtimes using warmstarts in outer approximation algorithm.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130994605","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Further Results on the VECD Operator and Its Application VECD作业者及其应用的进一步成果
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2018-12-03 DOI: 10.2139/ssrn.3053122
Daisuke Nagakura
{"title":"Further Results on the VECD Operator and Its Application","authors":"Daisuke Nagakura","doi":"10.2139/ssrn.3053122","DOIUrl":"https://doi.org/10.2139/ssrn.3053122","url":null,"abstract":"In this paper, we consider the matrix vectorization operator termed the vecd operator, which has recently been introduced in the literature. This operator stacks up distinct elements of a symmetric matrix in a way that differs from that of the well-known vech operator; it stacks up not columns, but diagonals. We give further consideration to the vecd operator and related matrices, and derive their various useful properties. We provide some statistical applications of the vecd operator to illustrate its usefulness.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128982395","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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