搜索结果: 1-7 共查到“世界经济学 linear”相关记录7条 . 查询时间(0.128 秒)
Portfolio optimization with linear and fixed transaction costs
Investment transaction costs linear transactions
font style='font-size:12px;'>
2015/8/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Non-linear Capital Taxation Without Commitment
Capital taxation Political economy Progressivity Mirrlees
font style='font-size:12px;'>
2014/9/10
We study efficient non-linear taxation of labour and capital in a dynamic Mirrleesian model incorporating political economy constraints. Policies are chosen sequentially over time, without commitment....
A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models
von-Neumann Morgenstern utility asset risk linear combination
font style='font-size:12px;'>
2011/4/2
Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion un...
A method for pricing American options using semi-infinite linear programming
optimal stopping excessive functions upper bounds semiinfinite linear programming
font style='font-size:12px;'>
2011/3/30
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of th...
Structural Changes in the Contemporaneous Linear Relation between Returns and Earnings after 1997 Financial Crisis in Korea
returns-earnings relations Asian financial crisis accounting reforms
font style='font-size:12px;'>
2009/5/7
We study the effect of accounting reforms on the quality of accounting information after the 1997 financial crisis in Korea. Using observations of accounting earnings and stock returns over the past ...
Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations
Transformation methods evaluating approximations optimal exercise boundary linear nonlinear Black-Scholes equations
font style='font-size:12px;'>
2010/12/17
The purpose of this survey chapter is to present a transformation technique that can be used in analysis and numerical computation of the early exercise boundary for an American style of vanilla opti...
Optimal solution of investment problems via linear parabolic equations generated by Kalman filter
Optimal solution investment problems via linear parabolic equations generated Kalman filter
font style='font-size:12px;'>
2010/12/17
We consider optimal investment problems for a diffusion market model with non-observable random drifts that evolve as an Ito's process. Admissible strategies do not use direct observations of the mar...