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  • Optimal life-cycle consumption and investment decisions under age-dependent risk preferences
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-07-30
    Andreas Lichtenstern, Pavel V. Shevchenko, Rudi Zagst

    In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension fund investors. The setup is strongly related to a DC pension plan where additionally (individual) consumption is taken into account. The consumption rate is subject to a time-varying minimum level and

    更新日期:2020-07-30
  • Capital allocation rules and acceptance sets
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-07-09
    Gabriele Canna, Francesca Centrone, Emanuela Rosazza Gianin

    This paper introduces a new approach to face capital allocation problems from the perspective of acceptance sets, by defining the family of sub-acceptance sets. We study the relations between the notions of sub-acceptability and acceptability of a risky position as well as their impact on the allocation of risk. We define the notion of risk contribution rule and show how in this context it is interpretable

    更新日期:2020-07-24
  • Continuity of utility maximization under weak convergence
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-07-08
    Erhan Bayraktar, Yan Dolinsky, Jia Guo

    In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distribution of the underlying processes. We also establish a weak convergence result for the terminal wealths of the optimal portfolios. Finally, we apply our results to the computation of the minimal expected shortfall (shortfall

    更新日期:2020-07-24
  • Systemic credit freezes in financial lending networks
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-07-01
    Daron Acemoglu, Asuman Ozdaglar, James Siderius, Alireza Tahbaz-Salehi

    This paper develops a network model of interbank lending, in which banks decide to extend credit to their potential borrowers. Borrowers are subject to shocks that may force them to default on their loans. In contrast to much of the previous literature on financial networks, we focus on how anticipation of future defaults may result in ex ante “credit freezes,” whereby banks refuse to extend credit

    更新日期:2020-07-24
  • An integrated model for fire sales and default contagion
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-06-27
    Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou, Daniel Ritter

    Fire sales and default contagion are two of the main drivers of systemic risk in financial networks. While default contagion spreads via direct balance sheet exposures between institutions, fire sales describe iterated distressed selling of assets and their associated decline in price which impacts all institutions invested in these assets. That is, institutions are indirectly linked if they have overlapping

    更新日期:2020-07-24
  • Properly discounted asset prices are semimartingales
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-06-11
    Dániel Ágoston Bálint, Martin Schweizer

    We study general undiscounted asset price processes, which are only assumed to be nonnegative, adapted and RCLL (but not a priori semimartingales). Traders are allowed to use simple (piecewise constant) strategies. We prove that under a discounting-invariant condition of absence of arbitrage, the original prices discounted by the value process of any simple strategy with positive wealth must follow

    更新日期:2020-07-24
  • Arbitrage-free modeling under Knightian uncertainty
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-06-09
    Matteo Burzoni, Marco Maggis

    We study the Fundamental Theorem of Asset Pricing for a general financial market under Knightian Uncertainty. We adopt a functional analytic approach which requires neither specific assumptions on the class of priors \(\mathcal {P}\) nor on the structure of the state space. Several aspects of modeling under Knightian Uncertainty are considered and analyzed. We show the need for a suitable adaptation

    更新日期:2020-07-24
  • Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-06-08
    Tingjin Yan, Bingyan Han, Chi Seng Pun, Hoi Ying Wong

    This paper solves for the robust time-consistent mean–variance portfolio selection problem on multiple risky assets under a principle component stochastic volatility model. The model uncertainty is introduced to the drifts of the risky assets prices and the stochastic eigenvalues of the covariance matrix of asset returns. Using an extended dynamic programming approach, we manage to derive a semi-closed

    更新日期:2020-07-24
  • Mean-variance efficiency of optimal power and logarithmic utility portfolios
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-05-29
    Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya, Wolfgang Schmid

    We derive new results related to the portfolio choice problem for power and logarithmic utilities. Assuming that the portfolio returns follow an approximate log-normal distribution, the closed-form expressions of the optimal portfolio weights are obtained for both utility functions. Moreover, we prove that both optimal portfolios belong to the set of mean-variance feasible portfolios and establish

    更新日期:2020-07-24
  • Compound Poisson models for weighted networks with applications in finance
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-05-29
    Axel Gandy, Luitgard A. M. Veraart

    We develop a modelling framework for estimating and predicting weighted network data. The edge weights in weighted networks often arise from aggregating some individual relationships between the nodes. Motivated by this, we introduce a modelling framework for weighted networks based on the compound Poisson distribution. To allow for heterogeneity between the nodes, we use a regression approach for

    更新日期:2020-07-24
  • Asset pricing in a pure exchange economy with heterogeneous investors
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-05-29
    Xinfeng Ruan, Jin E. Zhang

    In this paper, we provide a complete solution to the problem of equilibrium asset pricing in a pure exchange economy with two types of heterogeneous investors having higher/lower risk aversion. Using a perturbation method, we obtain analytical approximate formulas for the optimal consumption-sharing rule, which is numerically justified to be accurate for a large risk aversion and heterogeneity. We

    更新日期:2020-07-24
  • No–arbitrage commodity option pricing with market manipulation
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-04-02
    René Aïd, Giorgia Callegaro, Luciano Campi

    We design three continuous-time models in finite horizon of a commodity price, whose dynamics can be affected by the actions of a representative risk-neutral producer and a representative risk-neutral trader. Depending on the model, the producer can control the drift and/or the volatility of the price whereas the trader can at most affect the volatility. The producer can affect the volatility in two

    更新日期:2020-04-02
  • No arbitrage in continuous financial markets
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-03-14
    David Criens

    We derive integral tests for the existence and absence of arbitrage in a financial market with one risky asset which is either modeled as stochastic exponential of an Itô process or a positive diffusion with Markov switching. In particular, we derive conditions for the existence of the minimal martingale measure. We also show that for Markov switching models the minimal martingale measure preserves

    更新日期:2020-03-14
  • Consumption and portfolio decisions with uncertain lifetimes
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-03-13
    Shou Chen, Richard Fu, Lei Wedge, Ziran Zou

    We study the consumption and portfolio decisions by incorporating mortality risk and altruistic factor in the classical model of Merton (Rev Econ Stat 51:247–257, 1969; J Econ Theory 3:373–413, 1971) and Yaari (Rev Econ Stud 32(2):137–150, 1965). We find that besides the present-biased preference, the process of updating mortality information may be another underlying cause of dynamically time-inconsistent

    更新日期:2020-03-13
  • A generalized stochastic differential utility driven by G -Brownian motion
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-03-12
    Qian Lin, Dejian Tian, Weidong Tian

    This paper introduces a class of generalized stochastic differential utility (GSDU) models in a continuous-time framework to capture ambiguity aversion on the financial market. This class of GSDU models encompasses several classical approaches to ambiguity aversion and includes new models about ambiguity aversion. For a general GSDU model, we demonstrate its continuity, monotonicity, time consistency

    更新日期:2020-03-12
  • How safe are central counterparties in credit default swap markets?
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-03-09
    Mark Paddrik, H. Peyton Young

    We propose a general framework for estimating the vulnerability to default by a central counterparty (CCP) in the credit default swaps market. Unlike conventional stress testing approaches, which estimate the ability of a CCP to withstand nonpayment by its two largest counterparties, we study the direct and indirect effects of nonpayment by members and/or their clients through the full network of exposures

    更新日期:2020-03-09
  • On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-02-24
    Julio Backhoff-Veraguas, Ludovic Tangpi

    It is well-known from the work of Kupper and Schachermayer that most law-invariant risk measures are not time-consistent, and thus do not admit dynamic representations as backward stochastic differential equations. In this work we show that in a Brownian filtration the “Optimized Certainty Equivalent” risk measures of Ben-Tal and Teboulle can be computed through PDE techniques, i.e. dynamically. This

    更新日期:2020-02-24
  • Consumption-investment optimization problem in a Lévy financial model with transaction costs and làdlàg strategies
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-02-17
    E. Lepinette, T. Q. Tran

    We consider the consumption-investment optimization problem for the financial market model with constant proportional transaction rates and Lévy price process dynamics. Contrarily to the recent work of De Vallière (Financ Stoch 20:705–740, 2016), portfolio process trajectories are only left and right limited. This allows us to identify an optimal làdlàg strategy, e.g. in the two dimensional case, as

    更新日期:2020-02-17
  • Optimal retirement and portfolio selection with consumption ratcheting
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-02-05
    Junkee Jeon, Kyunghyun Park

    The purpose of this paper is to study the optimal retirement and consumption/investment decisions of an infinitely lived agent who does not tolerate any decline in his/her consumption throughout his/her lifetime. The agent receives labor income but suffers disutility from working until retirement. The agent’s optimization problem combines features of both singular control and optimal stopping. We use

    更新日期:2020-02-05
  • Von Neumann–Gale dynamics and capital growth in financial markets with frictions
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-01-21
    Esmaeil Babaei, Igor V. Evstigneev, Klaus Reiner Schenk-Hoppé, Mikhail Zhitlukhin

    The aim of this work is to extend the classical theory of growth-optimal investments (Shannon, Kelly, Breiman, Algoet, Cover and others) to models of asset markets with frictions—transaction costs and portfolio constraints. As the modelling framework, we use discrete-time dynamical systems generated by convex homogeneous multivalued operators in spaces of random vectors—von Neumann–Gale dynamical systems

    更新日期:2020-01-21
  • Nash equilibrium strategies and survival portfolio rules in evolutionary models of asset markets
    Math. Finan. Econ. (IF 0.792) Pub Date : 2020-01-01
    Sergei Belkov, Igor V. Evstigneev, Thorsten Hens, Le Xu

    We consider a stochastic model of a financial market with one-period assets and endogenous asset prices. The model was initially developed and analyzed in the context of Evolutionary Finance with the main focus on questions of “survival and extinction” of investment strategies (portfolio rules). In this paper we view the model from a different, game-theoretic, perspective and analyze Nash equilibrium

    更新日期:2020-01-01
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