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Robust utility maximization with nonlinear continuous semimartingales 非线性连续半鞅的鲁棒效用最大化
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-06-28 DOI: 10.1007/s11579-023-00342-y
David Criens, L. Niemann
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引用次数: 0
Mean field portfolio games with consumption 平均场投资组合与消费博弈
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-06-11 DOI: 10.1007/s11579-022-00328-2
Guanxing Fu
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引用次数: 2
Learning about latent dynamic trading demand ∗documentclass[12pt]{minimal} usepackage{amsmath} usepackage{wasysym} usepackage{amsfonts} usepackage{amssymb} usepackage{amsbsy} usepackage{mathrsfs} usepackage{upgreek} setlength{oddsidemargin}{-69pt} begin{document}$$^*$$end{document} Learning about latent dynamic trading demand ∗documentclass[12pt]{minimal} usepackage{amsmath} usepackage{wasysym} usepackage{amsfonts} usepackage{amssymb} usepackage{amsbsy} usepackage{mathrsfs} usepackage{upgreek} setlength{oddsidemargin}{-69pt} begin{document}$$^*$$end{document}
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-04-23 DOI: 10.1007/s11579-022-00317-5
Xiao Chen, J. Choi, Kasper Larsen, Duane J. Seppi
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引用次数: 2
The implications of tax loss carryforwards on investment policy 税收损失的影响会结转到投资政策上
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-04-18 DOI: 10.1007/s11579-022-00318-4
Hervé Roche
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引用次数: 0
Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk 具有通货膨胀风险的二次型证券市场模型下消费与投资问题的半解析解
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-04-13 DOI: 10.1007/s11579-022-00316-6
Bolorsuvd Batbold, Kentaro Kikuchi, Koji Kusuda
{"title":"Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk","authors":"Bolorsuvd Batbold, Kentaro Kikuchi, Koji Kusuda","doi":"10.1007/s11579-022-00316-6","DOIUrl":"https://doi.org/10.1007/s11579-022-00316-6","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"100 1","pages":"509 - 537"},"PeriodicalIF":1.6,"publicationDate":"2022-04-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76256999","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Consumption-investment decisions with endogenous reference point and drawdown constraint 具有内生参考点和收缩约束的消费-投资决策
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-04-01 DOI: 10.1007/s11579-023-00335-x
Zongxia Liang, Xiaodong Luo, Fengyi Yuan
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引用次数: 2
Information and dynamic trading with the Gambler’s fallacy 信息和动态交易与赌徒谬误
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-03-25 DOI: 10.1007/s11579-021-00305-1
Si Chen
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引用次数: 0
Climate change adaptation under heterogeneous beliefs 异质信仰下的气候变化适应
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-03-23 DOI: 10.1007/s11579-022-00314-8
Marcel Nutz, Florian Stebegg
{"title":"Climate change adaptation under heterogeneous beliefs","authors":"Marcel Nutz, Florian Stebegg","doi":"10.1007/s11579-022-00314-8","DOIUrl":"https://doi.org/10.1007/s11579-022-00314-8","url":null,"abstract":"<p>We study strategic interactions between firms with heterogeneous beliefs about future climate impacts. To that end, we propose a Cournot-type equilibrium model where firms choose mitigation efforts and production quantities such as to maximize the expected profits under their subjective beliefs. It is shown that optimal mitigation efforts are increased by the presence of uncertainty and act as substitutes; i.e., one firm’s lack of mitigation incentivizes others to act more decidedly, and vice versa.\u0000</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"176 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2022-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138532156","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Robust utility maximizing strategies under model uncertainty and their convergence 模型不确定性下鲁棒效用最大化策略及其收敛性
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-03-11 DOI: 10.1007/s11579-022-00312-w
Jörn Sass, Dorothee Westphal
{"title":"Robust utility maximizing strategies under model uncertainty and their convergence","authors":"Jörn Sass, Dorothee Westphal","doi":"10.1007/s11579-022-00312-w","DOIUrl":"https://doi.org/10.1007/s11579-022-00312-w","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"615 1","pages":"367 - 397"},"PeriodicalIF":1.6,"publicationDate":"2022-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77362944","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Dynamic Cournot-Nash equilibrium: the non-potential case 动态库诺-纳什均衡:非势的情况
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-02-28 DOI: 10.1007/s11579-022-00327-3
J. Backhoff-Veraguas, Xin Zhang
{"title":"Dynamic Cournot-Nash equilibrium: the non-potential case","authors":"J. Backhoff-Veraguas, Xin Zhang","doi":"10.1007/s11579-022-00327-3","DOIUrl":"https://doi.org/10.1007/s11579-022-00327-3","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"11 1","pages":"153 - 174"},"PeriodicalIF":1.6,"publicationDate":"2022-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78530444","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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