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  • Search: subject:"non-differentiability"
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Year of publication
Subject
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Non-differentiability 3 Aumann-Shapley value 2 Portfolio selection 2 Portfolio-Management 2 Risiko 2 Risk 2 Allocation 1 Allokation 1 Asymptotic analysis 1 Bayesian Cournot 1 Capital allocation 1 Empirical study 1 Equilibrium 1 Incomplete Information 1 Information advantage 1 Inverse demand 1 Measurement 1 Messung 1 Nutzenfunktion 1 Nutzentheorie 1 Oligopoly 1 Risikoaversion 1 Risikomanagement 1 Risikomaß 1 Risk aversion 1 Risk management 1 Risk measure 1 Sunspots 1 Theorie 1 Theory 1 Utility function 1 Utility theory 1 capital allocation 1 fuzzy games 1 non-differentiability 1 risk capital 1
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Online availability
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Free 2 Undetermined 2
Type of publication
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Article 2 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 3 Undetermined 1
Author
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De Waegenaere, Anja 2 Norde, Henk 2 Boonen, T.J. 1 Boonen, Tim J. 1 Haimanko, Ori 1 Liang, Zongxia 1 Liu, Yang 1 Ma, Ming 1 Vinoth, Rahul Pothi 1
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Institution
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Graduate School of Economics, Hitotsubashi University 1 Tilburg University, Center for Economic Research 1
Published in...
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Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion Papers / Graduate School of Economics, Hitotsubashi University 1 European journal of operational research : EJOR 1 Quantitative finance 1
Source
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ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
Cover Image
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
Liang, Zongxia; Liu, Yang; Ma, Ming; Vinoth, Rahul Pothi - In: Quantitative finance 24 (2024) 2, pp. 281-303
Persistent link: https://www.econbiz.de/10014551987
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A generalization of the Aumann-Shapley value for risk capital allocation problems
Boonen, Tim J.; De Waegenaere, Anja; Norde, Henk - In: European journal of operational research : EJOR 282 (2020) 1, pp. 277-287
Persistent link: https://www.econbiz.de/10012157603
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Cover Image
A Generalization of the Aumann-Shapley Value for Risk Capital Allocation Problems
De Waegenaere, Anja; Norde, Henk; Boonen, T.J. - Tilburg University, Center for Economic Research - 2012
Aumann-Shapley value is not defined, which is due to non-differentiability problems, the allocation rule specifies an …
Persistent link: https://www.econbiz.de/10011092920
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Cover Image
Information Advantage in Cournot Oligopoly with Separable Information, or Nondifferentiable
Haimanko, Ori - Graduate School of Economics, Hitotsubashi University - 2009
Einy et al (2002) showed that information advantage of a firm is rewarded in any equilibrium of an incomplete information Cournot oligopoly, provided the inverse demand function is differentiable and monotonically decreasing, and costs are affine. We extend this result in two directions. We show...
Persistent link: https://www.econbiz.de/10008496347
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