Annals of Finance最新文献_第4页

Local banking market structure and employment dynamics: evidence from US counties 地方银行市场结构与就业动态：来自美国各县的证据

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Annals of Finance Pub Date : 2025-04-16 DOI: 10.1007/s10436-025-00461-0

Amit Ghosh, Salvador Contreras

引用次数: 0

Foreign bank entry and performance of domestic SMEs: evidence from Korea 外资银行进入与国内中小企业绩效：来自韩国的证据

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Annals of Finance Pub Date : 2025-03-13 DOI: 10.1007/s10436-025-00460-1

Junyong Lee, Frederick Dongchuhl Oh

引用次数: 0

Climate stress test: bad (or good) news for the market? An event study analisys on euro zone banks 气候压力测试：对市场来说是坏消息（还是好消息）？欧元区银行的事件研究分析

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Annals of Finance Pub Date : 2024-12-30 DOI: 10.1007/s10436-024-00459-0

Costanza Torricelli, Chiara Pederzoli, Fabio Ferrari

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引用次数: 0

The (un)secured debt puzzle: evidence for U.S. public firms （无）担保债务之谜：美国上市公司的证据

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Annals of Finance Pub Date : 2024-12-21 DOI: 10.1007/s10436-024-00457-2

Kizkitza Biguri

引用次数: 0

No arbitrage for a special class of filtration expansions 对于一类特殊的过滤膨胀没有套利

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Annals of Finance Pub Date : 2024-12-15 DOI: 10.1007/s10436-024-00458-1

Karen Grigorian, Robert A. Jarrow

引用次数: 0

Tailor-made strategies through different weight simulation of factor-based investing 通过不同权重的因素投资模拟，为客户量身定制投资策略

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Annals of Finance Pub Date : 2024-12-12 DOI: 10.1007/s10436-024-00456-3

Catarina A. Ramos, Nuno C. Marques, Marta Faias, Hugo Santos

引用次数: 0

Probability of no default for a microloan under uncertainty 不确定情况下小额贷款无违约的概率

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Annals of Finance Pub Date : 2024-09-27 DOI: 10.1007/s10436-024-00455-4

Perpetual Andam Boiquaye, Philip Protter

引用次数: 0

Approximation and asymptotics in the superhedging problem for binary options 二元期权超级对冲问题中的近似和渐近问题

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Annals of Finance Pub Date : 2024-09-27 DOI: 10.1007/s10436-024-00454-5

Sergey Smirnov, Dimitri Sotnikov, Andrey Zanochkin

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引用次数: 0

On the real rate of interest in a closed economy 关于封闭经济中的实际利率

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Annals of Finance Pub Date : 2024-09-12 DOI: 10.1007/s10436-024-00451-8

Dilip B. Madan, King Wang

{"title":"On the real rate of interest in a closed economy","authors":"Dilip B. Madan, King Wang","doi":"10.1007/s10436-024-00451-8","DOIUrl":"10.1007/s10436-024-00451-8","url":null,"abstract":"<div><p>It is argued that socially optimal real rates of interest cannot be positive in a stationary state. Most economies approximating a stationary state have real rates of interest depending on the interplay between utility and production functions and the structure of the exact social objective function being maximized. The objective studied here maximizes a probability distorted expectation of the sum of undiscounted utilities. The utility functions studied display constant and declining relative risk aversion coefficients. The production functions are Cobb–Douglas, asymptotically linear versions of the same and those with a declining elasticity of the marginal productivity of capital. It is observed that declining relative risk aversion utilities coupled with asymptotically linear Cobb–Douglas type production functions can deliver real rates observed in the US economy over the period January 2010, to December 2023. An analysis of income inequality considerations shows that for the economies studied there is a positive relationship between the real return on capital and the share of capital income in total income. These results support the thesis advanced by as reported by Piketty (Capital in the Twenty First Century. Harvard Business School, Cambridge, 2014)</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 4","pages":"459 - 477"},"PeriodicalIF":0.8,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142198553","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 Girsanov transformed Clark-Ocone-Haussmann type formula for (L^1)-pure jump additive processes and its application to portfolio optimization 用于 $$L^1$$ 纯跃迁加法过程的 Girsanov 变换 Clark-Ocone-Haussmann 型公式及其在投资组合优化中的应用

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Annals of Finance Pub Date : 2024-08-27 DOI: 10.1007/s10436-024-00453-6

Masahiro Handa, Noriyoshi Sakuma, Ryoichi Suzuki

{"title":"A Girsanov transformed Clark-Ocone-Haussmann type formula for (L^1)-pure jump additive processes and its application to portfolio optimization","authors":"Masahiro Handa, Noriyoshi Sakuma, Ryoichi Suzuki","doi":"10.1007/s10436-024-00453-6","DOIUrl":"10.1007/s10436-024-00453-6","url":null,"abstract":"<div><p>We derive a Clark-Ocone-Haussmann (COH) type formula under a change of measure for <span>( L^1 )</span>-canonical additive processes, providing a tool for representing financial derivatives under a risk-neutral probability measure. COH formulas are fundamental in stochastic analysis, providing explicit martingale representations of random variables in terms of their Malliavin derivatives. In mathematical finance, the COH formula under a change of measure is crucial for representing financial derivatives under a risk-neutral probability measure. To prove our main results, we use the Malliavin-Skorohod calculus in <span>( L^0 )</span> and <span>( L^1 )</span> for additive processes, as developed by Di Nunno and Vives (2017). An application of our results is solving the local risk minimization (LRM) problem in financial markets driven by pure jump additive processes. LRM, a prominent hedging approach in incomplete markets, seeks strategies that minimize the conditional variance of the hedging error. By applying our COH formula, we obtain explicit expressions for locally risk-minimizing hedging strategies in terms of Malliavin derivatives under the market model underlying the additive process. These formulas provide practical tools for managing risks in financial market price fluctuations with <span>(L^1)</span>-additive processes.</p></div>","PeriodicalId":45289,"journal":{"name":"Annals of Finance","volume":"20 3","pages":"329 - 352"},"PeriodicalIF":0.8,"publicationDate":"2024-08-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s10436-024-00453-6.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142198554","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0