Showing 1 - 10 of 118
This paper studies the utility maximization problem on the terminal wealth with both random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios defined via the consistent price system...
Persistent link: https://www.econbiz.de/10011268277
We consider a notion of weak no arbitrage condition commonly known as Robust No Unbounded Profit with Bounded Risk (RNUPBR) in the context of continuous time markets with small proportional transaction costs. We show that the RNUPBR condition on terminal liquidation value holds if and only if...
Persistent link: https://www.econbiz.de/10010721861
A genome-wide location analysis method has been introduced as a means to simultaneously study protein-DNA binding interactions for a large number of genes on a microarray platform. Identification of interactions between transcription factors (TF) and genes provide insight into the mechanisms...
Persistent link: https://www.econbiz.de/10008460273
A genome-wide location analysis method has been introduced as a means to simultaneously study protein-DNA binding interactions for a large number of genes on a microarray platform. Identification of interactions between transcription factors (TF) and genes provide insight into the mechanisms...
Persistent link: https://www.econbiz.de/10005459168
In this paper, we propose a framework to estimate the yield curve in the illiquid market. Within this framework, seven different curve-fitting models are compared from four aspects with the trading data of government bonds listed in the Shanghai Stock Exchange (SSE) of China. We find that the...
Persistent link: https://www.econbiz.de/10004971644
This paper studies the utility maximization problem on consumption with addictive habit formation in the market with proportional transaction costs and unbounded random endowment. To model the proportional transaction costs, we adopt the Kabanov's multi-asset framework with a cash account. At...
Persistent link: https://www.econbiz.de/10010886003
An adherent nano-superhard titanium nitride (TiN) film on the substrate of Cr12Mo4V high speed steel was prefabricated in a vacuum cathode multi-arc ion-plating system. Microhardness, film-to-substrate adhesion, and microstructure of the film were investigated typically using Vickers hardometer,...
Persistent link: https://www.econbiz.de/10005080553
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete It\^{o} processes market. The investor chooses his consumption under the addictive habits constraint while only observing the market stock prices but not the instantaneous...
Persistent link: https://www.econbiz.de/10009386683
This paper studies the continuous time utility maximization problem on consumption with addictive habit formation in incomplete semimartingale markets. Introducing the set of auxiliary state processes and the modified dual space, we embed our original problem into a time-separable utility...
Persistent link: https://www.econbiz.de/10009386692
Persistent link: https://www.econbiz.de/10009391231