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Risk Arbitrage Opportunities for Stock Index Options
Post, Thierry - 2019
To analyze the economic significance of pricing errors of stock index options, a system of linear inequalities is … developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general …
Persistent link: https://www.econbiz.de/10012899380
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Existence and Uniqueness of Recursive Equilibria With Aggregate and Idiosyncratic Risk
Proehl, Elisabeth - 2020
In this paper, I study the existence and uniqueness of recursive equilibria in economies with aggregate and idiosyncratic risk. Rather than relying on compactness to establish existence, I exploit the monotonicity property of the equilibrium model and rely on arguments from convex analysis. This...
Persistent link: https://www.econbiz.de/10012851345
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Gewinnmaximierung durch Optimierung des Risikos
Scholtz, Hellmut D. - In: Kostenrechnungspraxis - Zeitschrift für … (1968) 5, pp. 203-213
Die Abhandlung zeigt für wiederholbare Prozesse eine universell anwendbare Ableitung eines Rechenalgorhithmus auf, mit dem unter Annahme einer Wahrscheinlichkeitsverteilung mögliche Plan-Istabweichungen und Aufallkosten zu einem Gleichgewicht und damit zu einem Ergebnisoptimunm führen....
Persistent link: https://www.econbiz.de/10010330144
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Gewinnmaximierung durch Optimierung des Risikos
Scholtz, Hellmut D. - In: EconStor Open Access Articles (1968-05), pp. 203-213
Die Abhandlung zeigt für wiederholbare Prozesse eine universell anwendbare Ableitung eines Rechenalgorhithmus auf, mit dem unter Annahme einer Wahrscheinlichkeitsverteilung mögliche Plan-Istabweichungen und Aufallkosten zu einem Gleichgewicht und damit zu einem Ergebnisoptimunm führen....
Persistent link: https://www.econbiz.de/10010980992
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Optimal Management of Groundwater under Uncertainty : A Unified Approach
Krishnamurthy, Chandra Kiran - 2014
Discrete-time stochastic models of management of groundwater resources have been extensively used for understanding a variety of issues in groundwater management for agriculture. Most models used suffer from two drawbacks: relatively simplistic treatment of the cost of water extraction (remarked...
Persistent link: https://www.econbiz.de/10014162783
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Optimal Management of Groundwater Under Uncertainty : A Unified Approach
Chandra, Kiran - 2014
Discrete-time stochastic models of groundwater management have been extensively used for understanding a variety of issues in groundwater management for agriculture. Most models used suffer from two drawbacks: relatively simplistic treatment of extraction cost (remarked in many papers in the...
Persistent link: https://www.econbiz.de/10013051680
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Continuous-time public good contribution under uncertainty
Ferrari, Giorgio; Riedel, Frank; Steg, Jan-Henrik - 2013
We study a continuous-time problem of optimal public good contribution under uncertainty for an economy with a finite number of agents. Each agent can allocate his wealth between private consumption and repeated but irreversible contributions to increase the stock of some public good. We study...
Persistent link: https://www.econbiz.de/10009764881
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Firm decisions under jump-diffusive dynamics
Deopa, Neha; Rinaldo, Daniele - 2019
We present a model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented by a jump diffusion. This allows to represent both the continuous Gaussian volatility and the discontinuous uncertainty related to information arrival, sudden changes and large...
Persistent link: https://www.econbiz.de/10011987374
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Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014
We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...
Persistent link: https://www.econbiz.de/10010359861
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Coherent price systems and uncertainty-neutral valuation
Beißner, Patrick - 2012
We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …
Persistent link: https://www.econbiz.de/10010320000