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Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Variance-optimal hedging Follmer-Schweizer decomposition Levy process Cumulative generating function Characteristic function
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2012/6/5
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of in...
Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems
Transversality condition Dynamic optimization
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2010/10/20
In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, tw...
Optimal partial hedging in a discrete-time market as a knapsack problem
Optimal partial discrete-time market knapsack problem
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2010/11/2
Optimal partial hedging in a discrete-time market as a knapsack problem.
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
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2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...