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Optimal liquidation with high risk aversion and small linear price impact Decisions in Economics and Finance Pub Date : 2024-03-13 Leonid Dolinskyi, Yan Dolinsky
We consider the Bachelier model with linear price impact. Exponential utility indifference prices are studied for vanilla European options in the case where the investor is required to liquidate her position. Our main result is establishing a non-trivial scaling limit for a vanishing price impact which is inversely proportional to the risk aversion. We compute the limit of the corresponding utility
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Fundamental Theorem of Asset Pricing under fixed and proportional costs in multi-asset setting and finite probability space Decisions in Economics and Finance Pub Date : 2024-03-12 Tomasz Zastawniak
The Fundamental Theorem of Asset Pricing is extended to a market model over a finite probability space with many assets that can be exchanged into one another under combined fixed and proportional transaction costs. The absence of arbitrage in this setting is shown to be equivalent to the existence of a family of absolutely continuous single-step probability measures and a multi-dimensional martingale
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The power of derivatives in portfolio optimization under affine GARCH models Decisions in Economics and Finance Pub Date : 2024-03-01 Marcos Escobar-Anel, Eric Molter, Rudi Zagst
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Disposition effect and its outcome on endogenous price fluctuations Decisions in Economics and Finance Pub Date : 2024-01-28 Alessia Cafferata, Marco Patacca, Fabio Tramontana
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On entropy martingale optimal transport theory Decisions in Economics and Finance Pub Date : 2024-01-26
Abstract In this paper, we give an overview of (nonlinear) pricing-hedging duality and of its connection with the theory of entropy martingale optimal transport (EMOT), recently developed, and that of convex risk measures. Similarly to Doldi and Frittelli (Finance Stoch 27(2):255–304, 2023), we here establish a duality result between a convex optimal transport and a utility maximization problem. Differently
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The impact of a winner takes all tournament on managers’ strategies and asset mispricing Decisions in Economics and Finance Pub Date : 2024-01-22 Enrico Lupi
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Modeling financial leasing by optimal stopping approach Decisions in Economics and Finance Pub Date : 2024-01-22 Luigi De Cesare, Lucianna Cananà, Tiziana Ciano, Massimiliano Ferrara
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The interaction between variable annuity providers and their customers under a dynamic approach Decisions in Economics and Finance Pub Date : 2024-01-22 Anna Rita Bacinello, Rosario Maggistro, Ivan Zoccolan
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Mortgages with non-random time-varying interest rates Decisions in Economics and Finance Pub Date : 2024-01-18 Laura Ziani
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Input/output-style approach to standardized traditional amortization plans Decisions in Economics and Finance Pub Date : 2024-01-12 Flavio Pressacco, Laura Ziani
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Designing amortization plans by fairness Decisions in Economics and Finance Pub Date : 2024-01-11 Rosario Maggistro, Mario Marino, Renato Pelessoni, Liviana Picech
Amortization plans are well-known financial operations to repay interest-bearing loans through a sequence of periodic payments. Since amortization plans are generally settled according to the compound interest law, some questions arise about the supposed presence of anatocism and the consequent legal matters. In this paper, we derive the traditional amortization plans by means of an alternative approach
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Variance of entropy for testing time-varying regimes with an application to meme stocks Decisions in Economics and Finance Pub Date : 2024-01-05 Andrey Shternshis, Piero Mazzarisi
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A non-invariance result for the spatial AK model Decisions in Economics and Finance Pub Date : 2024-01-02 Cristiano Ricci
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Linear-quadratic-singular stochastic differential games and applications Decisions in Economics and Finance Pub Date : 2023-12-16
Abstract We consider a class of non-cooperative N-player nonzero-sum stochastic differential games with singular controls, in which each player can affect a linear stochastic differential equation in order to minimize a cost functional which is quadratic in the state and linear in the control. We call these games linear-quadratic-singular stochastic differential games. Under natural assumptions, we
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The geometry of risk adjustments Decisions in Economics and Finance Pub Date : 2023-12-15 Hans-Peter Bermin, Magnus Holm
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Generally acceptable principles for financial amortization: a modest proposal Decisions in Economics and Finance Pub Date : 2023-12-14 Francesca Beccacece, Marco LiCalzi
We propose a minimal set of commonly acceptable principles to consistently formulate amortization schedules in accordance with different contractual clauses. Our goal is bringing to the fore premises that are sometimes left implicit, and yet seem to draw a wide consensus in practice. We demonstrate by means of examples how these principles may be used to deal with risk or financial innovations, and
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Actuarial modelling of Australian population retirement risks: an Australian functional disability and health state model Decisions in Economics and Finance Pub Date : 2023-12-07 Kyu Park, Michael Sherris
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The emergence of chaos in productivity distribution dynamics Decisions in Economics and Finance Pub Date : 2023-11-23 Orlando Gomes
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Lee–Carter model: assessing the potential to capture gender-related mortality dynamics Decisions in Economics and Finance Pub Date : 2023-11-15 Giovanna Apicella, Emilia Di Lorenzo, Gabriella Piscopo, Marilena Sibillo
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An investigation of the Volatility Adjustment Decisions in Economics and Finance Pub Date : 2023-11-02 Emilio Barucci, Daniele Marazzina, Edit Rroji
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The Black–Scholes paper: a personal perspective Decisions in Economics and Finance Pub Date : 2023-10-24 Anthony Neuberger
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Stochastic differential equations death rates models: the Portuguese case Decisions in Economics and Finance Pub Date : 2023-10-16 Daniel dos Santos Baptista, Nuno M. Brites, Alfredo D. Egídio dos Reis
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Amortization plans in simple, compound and hybrid framework: a unifying approach Decisions in Economics and Finance Pub Date : 2023-09-28 Laura Ziani, Flavio Pressacco
In this paper, five different types of amortization plans with constant instalments are analyzed with a unified approach: a pair of plans in simple interest regime, a pair of plans in compound interest regime and a plan in a hybrid context. In the two pairs there are a main plan and an auxiliary one. Here we give a comprehensive discussion of all the rules governing these plans, showing similarities
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The insider trading problem in a jump-binomial model Decisions in Economics and Finance Pub Date : 2023-09-11 Hélène Halconruy
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What is the value of the annuity market? Decisions in Economics and Finance Pub Date : 2023-08-14 Mogens Steffensen, Julie Bjørner Søe
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The economic cost of social distancing during a pandemic: an optimal control approach in the SVIR model Decisions in Economics and Finance Pub Date : 2023-08-12 Alessandro Ramponi, M. Elisabetta Tessitore
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Optimal scale sizes in economic efficiency models with integer measures: a case study of foundry industry Decisions in Economics and Finance Pub Date : 2023-08-12 Somayye Karimi Omshi, Sohrab Kordrostami, Alireza Amirteimoori, Armin Ghane Kanafi
Data envelopment analysis (DEA) is a measurement method for estimating the relative efficiency of decision-making units (DMUs) that can calculate economic (i.e., cost and revenue) efficiency levels of DMUs and can move economic activities toward the performance improvement. DEA also determines the optimal scale sizes (OSSs) of economic activities with real-valued measures in the right combination of
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Recycled and non-recycled exhaustible resource: an optimal control strategy for input allocation Decisions in Economics and Finance Pub Date : 2023-08-12 Silvia Bertarelli, Chiara Lodi, Stefania Ragni
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Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model Decisions in Economics and Finance Pub Date : 2023-08-02 Chinonso I. Nwankwo, Weizhong Dai
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Optimal control in linear-quadratic stochastic advertising models with memory Decisions in Economics and Finance Pub Date : 2023-07-28 Michele Giordano, Anton Yurchenko-Tytarenko
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Green economy with efficient public incentives Decisions in Economics and Finance Pub Date : 2023-07-15 Marcello Galeotti, Emanuele Vannucci
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Correction to: Beating the market? A mathematical puzzle for market efficiency Decisions in Economics and Finance Pub Date : 2023-07-06 Michael Heinrich Baumann
Abstract In this note, we point out a missing assumption for ‘Michael Heinrich Baumann, Beating the market? A mathematical puzzle for market efficiency, Decis Econ Finance 45: 279–325, 2022.’ In detail, we have to assume the (almost sure) survival of the controllers. Further, we discuss this assumption concerning relevance for theory and implementations and how it may alter the results and we give
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Dini and Hadamard directional derivatives in multiobjective optimization: an overview of some results Decisions in Economics and Finance Pub Date : 2023-06-07 Giorgio Giorgi, Bienvenido Jiménez, Vicente Novo
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Optimisation of drawdowns by generalised reinsurance in the classical risk model Decisions in Economics and Finance Pub Date : 2023-05-30 Leonie Violetta Brinker, Hanspeter Schmidli
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Multi-population mortality modeling with Lévy processes Decisions in Economics and Finance Pub Date : 2023-05-28 Petar Jevtić, Chengwei Qin, Hongjuan Zhou
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On the unfairness of actuarial fair annuities Decisions in Economics and Finance Pub Date : 2023-05-24 An Chen, Steven Vanduffel
Actuarial fairness pertains to the situation in which the price of an insurance contract is equal to its expected outcome. We show that actuarial fairness leads to “unfairness” in that annuitants with higher survival rates can choose a better payoff in the sense of second-order stochastic dominance than those with lower survival rates. To deal with this issue, we propose equal utility pricing, i.e
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Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions Decisions in Economics and Finance Pub Date : 2023-05-25 Lars Palapies
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On statistical indistinguishability of complete and incomplete discrete time market models Decisions in Economics and Finance Pub Date : 2023-05-12 Nikolai Dokuchaev
The paper studies asset pricing for stochastic discrete time stock market models. The possibility of statistical evaluation of the market completeness is investigated. It is known that the market completeness is not a robust property: small random deviations of the coefficients convert a complete market model into a incomplete one. The paper investigates if market incompleteness is robust. It is found
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Implied higher order moments in the Heston model: a case study of S &P500 index Decisions in Economics and Finance Pub Date : 2023-05-10 Farshid Mehrdoust, Idin Noorani
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Hedging and the regret theory of the firm Decisions in Economics and Finance Pub Date : 2023-05-11 Udo Broll, Peter Welzel, Kit Pong Wong
This paper examines the production and hedging decisions of the competitive firm under price uncertainty when the firm is not only risk averse but also regret averse. Regret-averse preferences are characterized by a modified utility function that includes disutility from having chosen ex post suboptimal alternatives. The extent of regret depends on the difference between the actual profit and the maximum
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Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business Decisions in Economics and Finance Pub Date : 2023-05-08 Maria-Laura Torrente
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Construction of voting situations concordant with ranking patterns Decisions in Economics and Finance Pub Date : 2023-04-07 Emilio De Santis, Fabio Spizzichino
Referring to a standard context of voting theory, and to the classic notion of voting situation, here we show that it is possible to observe any arbitrary set of elections’ outcomes, no matter how paradoxical it may appear. In this respect, we consider a set of candidates \(1, 2, \ldots , m \) and, for any subset A of \(\{1, 2, \ldots , m \}\), we fix a ranking among the candidates belonging to A.
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Multivariate Wold decompositions: a Hilbert A-module approach Decisions in Economics and Finance Pub Date : 2023-04-04 Simone Cerreia-Vioglio, Fulvio Ortu, Federico Severino, Claudio Tebaldi
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Modelplasticity and abductive decision making Decisions in Economics and Finance Pub Date : 2023-03-30 Subhadeep Mukhopadhyay
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Mortality projections for higher educational attainment with semi-parametric accelerated hazard relational models Decisions in Economics and Finance Pub Date : 2023-03-25 Meitner Cadena, Michel Denuit
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Differentiated goods in a dynamic Cournot duopoly with emission charges on output Decisions in Economics and Finance Pub Date : 2023-03-01 Ahmad Naimzada, Marina Pireddu
We extend the dynamic Cournot duopoly framework with emission charges on output by Mamada and Perrings (Econ Anal Policy 66:370–380, 2020), which encompassed homogeneous products in its original formulation, to the more general case of differentiated goods, in order to highlight the richness in its static and dynamic outcomes. Each firm is taxed proportionally to its own emission only and charge functions
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Revisiting the 1/N-strategy: a neural network framework for optimal strategies Decisions in Economics and Finance Pub Date : 2023-02-25 Marcos Escobar-Anel, Lorenz Thielacker, Rudi Zagst
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On game value of a differential game problem with Grönwall-type constraints on players control functions Decisions in Economics and Finance Pub Date : 2023-02-22 Jewaidu Rilwan, Pasquale Fotia, Massimiliano Ferrara
The game value of a pursuit-evasion differential game is an estimation of the game’s payoff at the instant when all the players employ their optimal strategies. In this paper, we estimate this value for a fixed duration differential game problem of countably many pursuers and one evader with the Grönwall-type constraints, a generalization of the well known geometric constraints, imposed on all the
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Risk-sharing and optimal contracts with large exogenous risks Decisions in Economics and Finance Pub Date : 2023-02-10 Jessica Martin, Stéphane Villeneuve
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Quasivariational inequalities for dynamic competitive economic equilibrium problems in discrete time Decisions in Economics and Finance Pub Date : 2023-01-24 Shapour Heidarkhani, David Barilla, Giuseppe Caristi
Equilibrium is a central concept in numerous disciplines including economics, management science, operations research, and engineering. We are concerned with an evolutionary quasivariational inequality which is connected to discrete dynamic competitive economic equilibrium problem in terms of maximization of utility functions and of excess demand functions. We study the discrete equilibrium problem
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Heterogeneity-adjusted management of pension funds using adaptive representative agents Decisions in Economics and Finance Pub Date : 2023-01-07 Thepdanai Danswasvong, Sira Suchintabandid
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Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods Decisions in Economics and Finance Pub Date : 2023-01-02 Antonio L. Martire, Emilio Russo, Alessandro Staino
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Locally-coherent multi-population mortality modelling via neural networks Decisions in Economics and Finance Pub Date : 2022-12-29 Francesca Perla, Salvatore Scognamiglio
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Inverse data envelopment analysis without convexity: double frontiers Decisions in Economics and Finance Pub Date : 2022-11-25 Farzaneh Asadi, Sohrab Kordrostami, Alireza Amirteimoori, Morteza Bazrafshan
In this research, inverse data envelopment analysis (IDEA) approaches are proposed to measure inputs changes for output perturbations made while the convexity assumption is relaxed. Actually, inverse free disposal hull (IFDH) techniques under constant returns to scale (CRS) assumption are introduced from two perspectives, optimistic and pessimistic. In models proposed in this study, the efficiency
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Bipartite choices Decisions in Economics and Finance Pub Date : 2022-11-16 Marco LiCalzi
This piece in the Milestones series is dedicated to the paper coauthored by David Gale and Lloyd Shapley and published in 1962 under the title “College admissions and the stability of marriage” on the American Mathematical Monthly.
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Optimality and duality in nonsmooth semi-infinite optimization, using a weak constraint qualification Decisions in Economics and Finance Pub Date : 2022-11-09 David Barilla, Giuseppe Caristi, Nader Kanzi
Variational analysis, a subject that has been vigorously developing for the past 40 years, has proven itself to be extremely effective at describing nonsmooth phenomenon. The Clarke subdifferential (or generalized gradient) and the limiting subdifferential of a function are the earliest and most widely used constructions of the subject. A key distinction between these two notions is that, in contrast
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Two representations of information structures and their comparisons Decisions in Economics and Finance Pub Date : 2022-11-02 Jerry R. Green, Nancy L. Stokey
This paper compares two representations of informativeness.
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The robustness of the generalized Gini index Decisions in Economics and Finance Pub Date : 2022-10-25 S. Settepanella, A. Terni, M. Franciosi, L. Li
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Cognitive limits and preferences for information Decisions in Economics and Finance Pub Date : 2022-10-14 Áron Tóbiás
The structure of uncertainty underlying certain decision problems may be so complex as to elude decision makers’ full understanding, curtailing their willingness to pay for payoff-relevant information—a puzzle manifesting itself in, for instance, low stock-market participation rates. I present a decision-theoretic method that enables an analyst to identify decision makers’ information-processing abilities
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