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A dynamical model for real economy and finance 实体经济与金融的动态模型
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-01-04 DOI: 10.1007/s11579-021-00311-3
F. Grassetti, C. Mammana, E. Michetti
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引用次数: 2
Informational efficiency and welfare. 信息效率和福利。
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2022-01-01 Epub Date: 2022-05-26 DOI: 10.1007/s11579-022-00319-3
Luca Bernardinelli, Paolo Guasoni, Eberhard Mayerhofer
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引用次数: 0
Arbitrage-free Nelson–Siegel model for multiple yield curves 多收益率曲线的无套利Nelson-Siegel模型
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-10-06 DOI: 10.1007/s11579-021-00308-y
R. Brignone, Christoph Gerhart, E. Lütkebohmert
{"title":"Arbitrage-free Nelson–Siegel model for multiple yield curves","authors":"R. Brignone, Christoph Gerhart, E. Lütkebohmert","doi":"10.1007/s11579-021-00308-y","DOIUrl":"https://doi.org/10.1007/s11579-021-00308-y","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"1 1","pages":"239 - 266"},"PeriodicalIF":1.6,"publicationDate":"2021-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90259039","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: 1
Hunting for superstars 寻找超级明星
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-10-02 DOI: 10.1007/s11579-023-00337-9
Martin Meier, Leopold Sögner
{"title":"Hunting for superstars","authors":"Martin Meier, Leopold Sögner","doi":"10.1007/s11579-023-00337-9","DOIUrl":"https://doi.org/10.1007/s11579-023-00337-9","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"80 1","pages":"335 - 371"},"PeriodicalIF":1.6,"publicationDate":"2021-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90470891","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
Price impact equilibrium with transaction costs and TWAP trading 价格影响均衡与交易成本和TWAP交易
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-09-18 DOI: 10.1007/s11579-021-00306-0
Eunjung Noh, Kim Weston
{"title":"Price impact equilibrium with transaction costs and TWAP trading","authors":"Eunjung Noh, Kim Weston","doi":"10.1007/s11579-021-00306-0","DOIUrl":"https://doi.org/10.1007/s11579-021-00306-0","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"13 1","pages":"187 - 204"},"PeriodicalIF":1.6,"publicationDate":"2021-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81214448","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: 7
Optimal portfolios in the presence of stress scenarios A worst-case approach 压力情景下的最优投资组合
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-08-14 DOI: 10.1007/s11579-021-00304-2
R. Korn, Lukas Müller
{"title":"Optimal portfolios in the presence of stress scenarios A worst-case approach","authors":"R. Korn, Lukas Müller","doi":"10.1007/s11579-021-00304-2","DOIUrl":"https://doi.org/10.1007/s11579-021-00304-2","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"115 1","pages":"153 - 185"},"PeriodicalIF":1.6,"publicationDate":"2021-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79345221","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: 8
Robust utility maximization under model uncertainty via a penalization approach 基于惩罚方法的模型不确定性下的鲁棒效用最大化
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-08-02 DOI: 10.1007/s11579-021-00301-5
Ivan Guo, N. Langrené, G. Loeper, Wei Ning
{"title":"Robust utility maximization under model uncertainty via a penalization approach","authors":"Ivan Guo, N. Langrené, G. Loeper, Wei Ning","doi":"10.1007/s11579-021-00301-5","DOIUrl":"https://doi.org/10.1007/s11579-021-00301-5","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"11 1","pages":"51 - 88"},"PeriodicalIF":1.6,"publicationDate":"2021-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77621626","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: 11
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction 企业单期和继承期碳减排的最优控制模型
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-07-31 DOI: 10.1007/s11579-021-00302-4
Jin Liang, Wen-Haw Huang
{"title":"Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction","authors":"Jin Liang, Wen-Haw Huang","doi":"10.1007/s11579-021-00302-4","DOIUrl":"https://doi.org/10.1007/s11579-021-00302-4","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"230 1","pages":"89 - 123"},"PeriodicalIF":1.6,"publicationDate":"2021-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76106389","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
Convergence rates of large-time sensitivities with the Hansen–Scheinkman decomposition 大时间灵敏度与Hansen-Scheinkman分解的收敛率
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-07-22 DOI: 10.1007/s11579-021-00300-6
Hyungbin Park
{"title":"Convergence rates of large-time sensitivities with the Hansen–Scheinkman decomposition","authors":"Hyungbin Park","doi":"10.1007/s11579-021-00300-6","DOIUrl":"https://doi.org/10.1007/s11579-021-00300-6","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"16 1","pages":"1 - 50"},"PeriodicalIF":1.6,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78725288","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: 3
A stochastic control approach to public debt management 公共债务管理的随机控制方法
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2021-07-22 DOI: 10.1007/s11579-022-00323-7
Matteo Brachetta, Claudia Ceci
{"title":"A stochastic control approach to public debt management","authors":"Matteo Brachetta, Claudia Ceci","doi":"10.1007/s11579-022-00323-7","DOIUrl":"https://doi.org/10.1007/s11579-022-00323-7","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"1987 1","pages":"749 - 778"},"PeriodicalIF":1.6,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90380280","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: 3
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