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On Pre-Commitment Aspects of a Time-Consistent Strategy for a Mean-Variance Investor 均值-方差投资者时间一致策略的承诺前问题
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-07-15 DOI: 10.2139/ssrn.2725827
F. Cong, C. Oosterlee
{"title":"On Pre-Commitment Aspects of a Time-Consistent Strategy for a Mean-Variance Investor","authors":"F. Cong, C. Oosterlee","doi":"10.2139/ssrn.2725827","DOIUrl":"https://doi.org/10.2139/ssrn.2725827","url":null,"abstract":"In this paper, a link between a time-consistent and a pre-commitment investment strategy is established. We define an implied investment target, which is implicitly contained in a time-consistent strategy at a given time step and wealth level. By imposing the implied investment target at the initial time step on a time-consistent strategy, we form a hybrid strategy which may generate better mean-variance efficient frontiers than the time-consistent strategy. We extend the numerical algorithm proposed in Cong and Oosterlee (2016b) to solve constrained time-consistent mean-variance optimization problems. Since the time-consistent and the pre-commitment strategies generate different terminal wealth distributions, time-consistency is not always inferior to pre-commitment.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126662814","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: 26
Jump-Filtration Consistent Nonlinear Expectations with Lp Domains Lp域跳滤一致非线性期望
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-07-09 DOI: 10.2139/ssrn.2911936
Jing Liu, Song Yao
{"title":"Jump-Filtration Consistent Nonlinear Expectations with Lp Domains","authors":"Jing Liu, Song Yao","doi":"10.2139/ssrn.2911936","DOIUrl":"https://doi.org/10.2139/ssrn.2911936","url":null,"abstract":"Given p ∈ (1,2), the wellposedness of backward stochastic differential equations with jumps (BSDEJs) in Lp sense gives rise to a general (conditional) nonlinear expectation with Lp domain that is consistent with the filtration generated by a Brownian motion and a Poisson random measure (jump filtration). Under certain domination condition, such a nonlinear expectation preserves many basic (martingale) properties of the classic linear expectations and thus can be represented by the Lp solutions of BSDEJs with a deterministic generator that is independent of y and Lipschitz in (z,u).","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"169 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115917232","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: 3
The Mega Distributed Lag Model 超大分布滞后模型
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-06-30 DOI: 10.2139/ssrn.1607414
Mario Arturo Ruiz Estrada, Evangelos Koutronas, Ross W. Knippenberg
{"title":"The Mega Distributed Lag Model","authors":"Mario Arturo Ruiz Estrada, Evangelos Koutronas, Ross W. Knippenberg","doi":"10.2139/ssrn.1607414","DOIUrl":"https://doi.org/10.2139/ssrn.1607414","url":null,"abstract":"This paper attempts to describe the graphical behavior of the distributed lag model in an infinite coordinate space. The “mega distributed lag model” (MDL) is a mathematical framework that can examine the simultaneous interrelationships between all involved variables. The multidimensional graphical setting simultaneously reveals all non-linear exposure — response dependencies and delayed effects between lagged and dependent variables — which two-dimensional figures overwhelmingly fail to capture. Under the Omnia Mobilis assumption, each distribution lag function is indexed with respect to time and space. The Mega distributed lag model observes multiple trends in full motion, the final output (determinant) of which is called “the JIM-coefficient”. Hence, this paper tries to analyze different approaches of lag distribution models that can help in the construction of our new model. The mega distributed lag model (MDL) is moving from the uses of the classic 2-dimensional and 3-dimensional graphical modeling to a multidimensional graphical modeling in Econometrics. Finally, this model is an extension of those explored earlier in the field of Econographicology.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115333873","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
Upper and Lower Bounds for a Finite-Type Ruin Probability in a Nonhomogeneous Risk Process 非齐次风险过程有限型破产概率的上界和下界
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-06-17 DOI: 10.2139/ssrn.2870737
A. Răducan, Raluca Vernic, Gheorghiță Zbăganu
{"title":"Upper and Lower Bounds for a Finite-Type Ruin Probability in a Nonhomogeneous Risk Process","authors":"A. Răducan, Raluca Vernic, Gheorghiță Zbăganu","doi":"10.2139/ssrn.2870737","DOIUrl":"https://doi.org/10.2139/ssrn.2870737","url":null,"abstract":"Based on many numerical examples, Raducan et al. (2015b) stated a conjecture that relates the order in which some nonhomogeneous claims arrive to the magnitude of the corresponding ruin probability. In that conjecture, the usual stochastic order has been considered for the claims. However, in this paper, we prove the conjecture for a different stochastic order, namely the likelihood ratio order. In spite the fact that being stronger, the likelihood order implies the usual stochastic one, for some distributions the two orderings are equivalent, hence our initial conjecture proves to be true in several cases.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"142 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123189787","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: 1
Tracking the Diffusion of Plurigaussian Simulations within Academia and into Industry: Retrospective Case-Study on a Discovery in the Earth Sciences 追踪多元高斯模拟在学术界和工业界的扩散:对地球科学发现的回顾性案例研究
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-06-15 DOI: 10.2139/ssrn.2796349
M. Armstrong, A. Mondaini, S. Camargo
{"title":"Tracking the Diffusion of Plurigaussian Simulations within Academia and into Industry: Retrospective Case-Study on a Discovery in the Earth Sciences","authors":"M. Armstrong, A. Mondaini, S. Camargo","doi":"10.2139/ssrn.2796349","DOIUrl":"https://doi.org/10.2139/ssrn.2796349","url":null,"abstract":"The mathematical method called Plurigaussian Simulations was invented in France in the 1990s for simulating the internal architecture of oil reservoirs. It rapidly proved useful in other domains in the earth sciences: mining, hydrology and history matching. This paper tracks its diffusion firstly within academia using citation data from Google Scholar, and then investigates whether it was really adopted by industry. As expected many published papers were co-authored by mining or oil companies, or by consulting firms. While this demonstrates a certain level of interest from industry we postulate that in some cases companies were merely “window-shopping”. Companies that continued to publish on this topic (i.e. “repeat co-authors”) had clearly adopted the method. But what about the others? Our survey shows that some sent their personnel for postgraduate training or to attend specialized short courses; others decided to get studies carried out by consulting firms rather than investing the time and effort in building up competency in-house.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124946882","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
Probability Measures and Expectations - Beyond Martingale Tests 概率测量和期望-超越鞅测试
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-05-16 DOI: 10.2139/ssrn.2780638
Dodzi K. Attimu, E. Thompson
{"title":"Probability Measures and Expectations - Beyond Martingale Tests","authors":"Dodzi K. Attimu, E. Thompson","doi":"10.2139/ssrn.2780638","DOIUrl":"https://doi.org/10.2139/ssrn.2780638","url":null,"abstract":"We derive some expressions relating expectations of different assets under different probability measures and propose some applications within the context of economic scenario generator output validation.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"320 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132293344","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
Stochastic Analysis of Special Steel Market: Modeling of Special Steel Price 特钢市场的随机分析:特钢价格的建模
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-05-11 DOI: 10.2139/ssrn.2780780
S. Aihara, A. Bagchi
{"title":"Stochastic Analysis of Special Steel Market: Modeling of Special Steel Price","authors":"S. Aihara, A. Bagchi","doi":"10.2139/ssrn.2780780","DOIUrl":"https://doi.org/10.2139/ssrn.2780780","url":null,"abstract":"We propose the mathematical model of the price movement for the carbon steel and ferrous scrap from the market data. First, we check two models for the ferrous scrap data, i.e., one is a linear Gaussian model, and the other is a lognormal model. Secondly, the mathematical model of the carbon steel price is established by a compound Poisson process with the primary factor which comes from the ferrous scrap price movement. Finally, by using the established model, the futures price values are predicted.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131688952","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
A Model for Clustering Data from Heterogeneous Dissimilarities 异构异类数据聚类模型
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-03-01 DOI: 10.1016/j.ejor.2016.03.033
Éverton Santi, Daniel Aloise, Simon J. Blanchard
{"title":"A Model for Clustering Data from Heterogeneous Dissimilarities","authors":"Éverton Santi, Daniel Aloise, Simon J. Blanchard","doi":"10.1016/j.ejor.2016.03.033","DOIUrl":"https://doi.org/10.1016/j.ejor.2016.03.033","url":null,"abstract":"","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"293 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"118151838","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: 23
Vulnerability Analysis of the Financial Network 金融网络脆弱性分析
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-02-10 DOI: 10.2139/ssrn.2729883
Aein Khabazian, Jiming Peng
{"title":"Vulnerability Analysis of the Financial Network","authors":"Aein Khabazian, Jiming Peng","doi":"10.2139/ssrn.2729883","DOIUrl":"https://doi.org/10.2139/ssrn.2729883","url":null,"abstract":"Since the financial crisis in 2007-2008, the vulnerability of a financial system has become a major concern in financial engineering. In this paper, we analyze the vulnerability of a financial network based on the linear optimization model introduced by Eisenberg and Noe (2001), where the right hand side of the constraints is subject to market shock and only partial information regarding the liability matrix is revealed. We conduct a new sensitivity analysis to characterize the conditions under which a single bank is solvent, default or bankrupted, and estimate the probability that some financial institute in the network will be bankrupted under mild assumptions on the market shock and the network structure. We also present some numerical experiments to verify the theoretical conclusions in the paper.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127815784","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: 20
Validity of Thermodynamic Models in Economics 热力学模型在经济学中的有效性
ERN: Other Econometrics: Mathematical Methods & Programming (Topic) Pub Date : 2016-01-20 DOI: 10.2139/ssrn.2805959
A. Kovalev
{"title":"Validity of Thermodynamic Models in Economics","authors":"A. Kovalev","doi":"10.2139/ssrn.2805959","DOIUrl":"https://doi.org/10.2139/ssrn.2805959","url":null,"abstract":"Papers and monographs in ecological economics include references to Georgescu-Roegen's works on the thermodynamic nature of economic scarcity. Based on qualitative reasoning lacking precise definitions of thermodynamic systems and boundary conditions Georgescu-Roegen formulated several conclusions concerning long-term sustainability and suggested \"the 4th law of thermodynamics\" being an altered version of the classical 2nd law of thermodynamics. Despite an almost unanimous negative perception of the \"4th law\", Georgescu-Roegen's thermodynamic analogy for scarcity is still widely cited in ecological economics, which may be considered equivalent to implicit acceptance of this contradictory statement.This example demonstrates that care must be taken when using thermodynamic models and concepts outside the context of thermal processes. It is particularly difficult to ensure the validity of the thermodynamic method in softer sciences. Neglect of the difference between the thermodynamic description of thermal processes and a thermodynamic analogy may camouflage the false validity of the analogy. In social sciences, mistaking descriptive thermodynamic analogy for a rigorous model may be harder to spot because softer sciences tend to work with descriptive concepts more often. The resulting notions and quantities, such as the material entropy, must be analyzed critically and, in some cases, redefined based on the careful consideration of their connection with thermodynamics.The example of thermoeconomic optimization shows that incorporation of thermodynamics into economic analysis without redefining basic thermodynamic concepts is more methodologically consistent and transparent.","PeriodicalId":365755,"journal":{"name":"ERN: Other Econometrics: Mathematical Methods & Programming (Topic)","volume":"111 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133328688","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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