Mathematics and Financial Economics最新文献_第4页

On the functional equivalence of two perfectly competitive economies with negative exponential utility and linear utility with a quadratic holding cost 效用为负指数和效用为线性且持有成本为二次元的完全竞争经济的功能等价

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2023-05-12 DOI: 10.1007/s11579-023-00334-y

Youcheng Lou

引用次数: 0

Non-concave portfolio optimization with average value-at-risk 具有平均风险价值的非凹投资组合优化

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2023-03-04 DOI: 10.1007/s11579-023-00332-0

Fangyuan Zhang

引用次数: 0

An optimal portfolio and consumption problem with a benchmark and partial information 具有部分信息和基准的最优投资组合和消费问题

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2023-01-18 DOI: 10.1007/s11579-022-00330-8

Mondher Bellalah, Detao Zhang, Panpan Zhang

引用次数: 2

Systemic cascades on inhomogeneous random financial networks. 非均匀随机金融网络上的系统级联。

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2023-01-01 DOI: 10.1007/s11579-022-00315-7

T R Hurd

{"title":"Systemic cascades on inhomogeneous random financial networks.","authors":"T R Hurd","doi":"10.1007/s11579-022-00315-7","DOIUrl":"https://doi.org/10.1007/s11579-022-00315-7","url":null,"abstract":"This article presents a model of the financial system as an inhomogeneous random financial network (IRFN) with N nodes that represent different types of institutions such as banks or funds and directed weighted edges that signify counterparty relationships between nodes. The onset of a systemic crisis is triggered by a large exogenous shock to banks' balance sheets. Their behavioural response is modelled by a cascade mechanism that tracks the propagation of damaging shocks and possible amplification of the crisis, and leads the system to a cascade equilibrium. The mathematical properties of the stochastic framework are investigated for the first time in a generalization of the Eisenberg-Noe solvency cascade mechanism that accounts for fractional bankruptcy charges. New results include verification of a \"tree independent cascade property\" of the solvency cascade mechanism, and culminate in an explicit recursive stochastic solvency cascade mapping conjectured to hold in the limit as the number of banks N goes to infinity. It is shown how this cascade mapping can be computed numerically, leading to a rich picture of the systemic crisis as it evolves toward the cascade equilibrium.","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"17 1","pages":"1-21"},"PeriodicalIF":1.6,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9944675/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10794231","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Contagion risks and security investment in directed networks. 定向网络的传染风险和安全投资。

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2023-01-01 Epub Date: 2023-05-17 DOI: 10.1007/s11579-023-00336-w

Hamed Amini

{"title":"Contagion risks and security investment in directed networks.","authors":"Hamed Amini","doi":"10.1007/s11579-023-00336-w","DOIUrl":"10.1007/s11579-023-00336-w","url":null,"abstract":"We develop a model for contagion risks and optimal security investment in a directed network of interconnected agents with heterogeneous degrees, loss functions, and security profiles. Our model generalizes several contagion models in the literature, particularly the independent cascade model and the linear threshold model. We state various limit theorems on the final size of infected agents in the case of random networks with given vertex degrees for finite and infinite-variance degree distributions. The results allow us to derive a resilience condition for the network in response to the infection of a large group of agents and quantify how contagion amplifies small shocks to the network. We show that when the degree distribution has infinite variance and highly correlated in- and out-degrees, even when agents have high thresholds, a sub-linear fraction of initially infected agents is enough to trigger the infection of a positive fraction of nodes. We also demonstrate how these results are sensitive to vertex and edge percolation (intervention). We then study the asymptotic Nash equilibrium and socially optimal security investment. In the asymptotic limit, agents' risk depends on all other agents' investments through an aggregate quantity that we call network vulnerability. The limit theorems enable us to capture the impact of one class of agents' decisions on the overall network vulnerability. Based on our results, the vulnerability is semi-analytic, allowing for a tractable Nash equilibrium. We provide sufficient conditions for investment in equilibrium to be monotone in network vulnerability. When investment is monotone, we demonstrate that the (asymptotic) Nash equilibrium is unique. In the specific example of two types of core-periphery agents, we illustrate the strong effect of cost heterogeneity on network vulnerability and the non-monotonous investment as a function of costs.","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"17 2","pages":"247-283"},"PeriodicalIF":1.6,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10189239/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9923701","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Optimal collective investment: an analysis of individual welfare 最优集体投资:个人福利分析

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2022-12-31 DOI: 10.1007/s11579-022-00329-1

Nicole Branger, A. Chen, Antje Mahayni, Thai Q. Nguyen

引用次数: 1

Insurance guaranty premiums and exchange options 保险保证金和外汇期权

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2022-09-25 DOI: 10.1007/s11579-022-00326-4

Hangsuck Lee, Seongjoo Song, G. Lee

引用次数: 2

A robust consumption model when the intensity of technological progress is ambiguous 当技术进步的强度不明确时，稳健的消费模型

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2022-08-17 DOI: 10.1007/s11579-022-00325-5

M. Tsujimura, H. Yoshioka

引用次数: 0

Pathwise superhedging under proportional transaction costs 比例交易成本下的路径超对冲

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2022-08-03 DOI: 10.1007/s11579-022-00322-8

Mun-chol Kim, Song-Chol Ryom

引用次数: 0

A mean field model for the interactions between firms on the markets of their inputs 企业在其投入市场上相互作用的平均场模型

IF 1.6 3区经济学

Mathematics and Financial Economics Pub Date : 2022-07-12 DOI: 10.1007/s11579-023-00333-z

Georg Christoph Tholen, Alexandra Marx

引用次数: 1