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Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization 基于凸向量优化的不完全偏好的确定性等价和效用无差别定价
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-10-10 DOI: 10.1007/s11579-020-00282-x
Birgit Rudloff, Firdevs Ulus
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引用次数: 3
An optimization model for minimizing systemic risk 最小化系统风险的优化模型
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-09-12 DOI: 10.1007/s11579-020-00279-6
R. Castellano, R. Cerqueti, G. P. Clemente, Rosanna Grassi
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引用次数: 6
Price formation and optimal trading in intraday electricity markets 日内电力市场的价格形成与最优交易
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-09-10 DOI: 10.1007/s11579-021-00307-z
Olivier F'eron, P. Tankov, L. Tinsi
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引用次数: 29
Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity 趋于均值的不变法泛函:超越凸性
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-09-09 DOI: 10.1007/s11579-022-00313-9
Felix-Benedikt Liebrich, Cosimo Munari
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引用次数: 20
Preferences over rich sets of random variables: on the incompatibility of convexity and semicontinuity in measure 对丰富随机变量集的偏好:关于测度上的凸性和半连续性的不相容
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-09-07 DOI: 10.1007/s11579-020-00280-z
A. Zimper, H. Assa
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引用次数: 3
Capital allocation rules and acceptance sets 资本配置规则和接受设置
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-07-09 DOI: 10.1007/s11579-020-00275-w
G. Canna, F. Centrone, Emanuela Rosazza Gianin
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引用次数: 0
Systemic credit freezes in financial lending networks 金融借贷网络的系统性信贷冻结
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-07-01 DOI: 10.1007/s11579-020-00272-z
Daron Acemoglu, A. Ozdaglar, James Siderius, A. Tahbaz-Salehi
{"title":"Systemic credit freezes in financial lending networks","authors":"Daron Acemoglu, A. Ozdaglar, James Siderius, A. Tahbaz-Salehi","doi":"10.1007/s11579-020-00272-z","DOIUrl":"https://doi.org/10.1007/s11579-020-00272-z","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"72 1","pages":"185 - 232"},"PeriodicalIF":1.6,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86321534","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
An integrated model for fire sales and default contagion 一个关于甩卖和违约传染的综合模型
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-06-27 DOI: 10.1007/s11579-020-00273-y
Nils Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter
{"title":"An integrated model for fire sales and default contagion","authors":"Nils Detering, T. Meyer-Brandis, K. Panagiotou, D. Ritter","doi":"10.1007/s11579-020-00273-y","DOIUrl":"https://doi.org/10.1007/s11579-020-00273-y","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"39 1","pages":"59 - 101"},"PeriodicalIF":1.6,"publicationDate":"2020-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73286196","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
Properly discounted asset prices are semimartingales 适当贴现的资产价格是半鞅
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-06-11 DOI: 10.1007/s11579-020-00269-8
D. Bálint, M. Schweizer
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引用次数: 1
Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility 多元随机波动的稳健时一致均值方差投资选择问题
IF 1.6 3区 经济学
Mathematics and Financial Economics Pub Date : 2020-06-08 DOI: 10.1007/s11579-020-00271-0
Tingjin Yan, Bingyan Han, Chi Seng Pun, H. Y. Wong
{"title":"Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility","authors":"Tingjin Yan, Bingyan Han, Chi Seng Pun, H. Y. Wong","doi":"10.1007/s11579-020-00271-0","DOIUrl":"https://doi.org/10.1007/s11579-020-00271-0","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"32 1","pages":"699 - 724"},"PeriodicalIF":1.6,"publicationDate":"2020-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74460541","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
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