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The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
continuous behavior numeraire portfolio small changes information structure probabilistic views investment constraints
2010/12/17
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio de...
Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time
Multistep Bayesian strategy coin-tossing games
2010/12/13
We study multistep Bayesian betting strategies in coin-tossing games in the framework of game-theoretic probability of Shafer and Vovk (2001). We show that by a countable mixture of these strategies, ...
Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
Dual method continuous-time Markowitz's Problems nonlinear wealth equations
2010/12/20
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the op...
GARCH modelling in continuous time for irregularly spaced time series data
GARCH modelling continuous time irregularly spaced time series data
2010/12/17
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' conce...
Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
Log-Normal continuous cascades aggregation properties estimation Application financial time-series
2010/12/17
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this model are studied. W...
Constructing the Optimal Solutions to the Undiscounted Continuous-Time Infinite Horizon Optimization Problems
Constructing Optimal Solutions Undiscounted Continuous-Time Infinite Horizon Optimization Problems
2010/12/17
We aim to construct the optimal solutions to the undiscounted continuous-time infinite horizon optimization problems, the objective functionals of which may be unbounded. We identify the condition un...
Continuous growth models in terms of generalized logarithm and exponential functions
Continuous growth models generalized logarithm exponential functions
2010/12/17
Consider the one-parameter generalizations of the logarithmic and exponential functions which are obtained from the integration of non-symmetrical hyperboles. These generalizations coincide to the on...
MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps
Risk Aversion MV Analysis temporal efficient frontier
2011/4/6
This paper studies sequential portfolio choices by MPS-risk-averse investors in a continuous time jump-diffusion framework. It is shown that the optimal trading strategies for MPS risk averse investor...
Testing Continuous-Time Models of the Spot Interest Rate
Testing Continuous-Time Models Spot Interest Rate
2014/3/13
Testing Continuous-Time Models of the Spot Interest Rate.