搜索结果: 106-120 共查到“经济学 Optimal”相关记录148条 . 查询时间(0.125 秒)
On the rates of convergence of simulation based optimization algorithms for optimal stopping problems
optimal stopping simulation based algorithms entropy with bracketing increments of empirical processes
2010/11/2
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of qu...
On Azema-Yor processes, their optimal properties and the Bachelier-Drawdown equation
optimal properties Bachelier-Drawdown equation
2010/10/29
We study the class of Az´ema–Yor processes defined from a general semimartingale with a continuous running supremum process. We show that they arise as unique strong solutions of the Bachelier s...
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
Bermudan options Nonparametric regression Boundary condition；Suboptimal stopping rule
2010/11/1
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopp...
Optimal Execution Problem with Market Impact
Optimal execution market impact liquidity problems HJB viscosity solutions
2010/11/1
We study the optimal execution problem in the market model in consideration of market impact. First we study the discrete-time model and describe the value function with respect to the trader’s optimi...
We extend a model of wasteful state aid in Dewatripont and Seabright (2006, Journal of the European Economic Association 4, 513--522) by a supranational controlling authority. The model combines mora...
Optimal investment on finite horizon with random discrete order flow in illiquid markets
liquidity modelling discrete order flow optimal investment inhomogenous Poisson process dynamic programming
2010/11/1
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently nea...
An application to credit risk of a hybrid Monte Carlo-Optimal quantization method
credit risk structural approach survival probability partial informainformation filtering optimal quantization Monte Carlo method
2010/11/1
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit default, under partial in...
An Optimal Rate of the National Burden in an Aging Japan
aging population national burden rate government expenditure tax reform
2009/5/7
This paper examines an optimal rate of the national burden to establish guidelines for fiscal reform in Japan’s graying society. The paper looks at Japanese tax and social security systems through an...
Optimal Aid in Environmental Policy A Real Options Approach
external effect direct aid social welfare environmental policy
2009/5/6
In this paper, we analyze an environmental policy that is designed to reduce the emission of pollutants when there is uncertainty over the social costs of environmental damage.We first establish a mod...
Implementability of the Non-Ricardian Optimal Fiscal Policy
Fiscal Theory of the Price level Ramsey Equilibrium Nash Equilibrium
2009/5/6
Dealing with out-of-equilibrium behaviors of economic agents is necessary to fill in the gaps in the controversy surrounding the admissibility of the fiscal theory of the price level (FTPL). Incorpor...
Optimal partial hedging in a discrete-time market as a knapsack problem
Optimal partial discrete-time market knapsack problem
2010/11/2
Optimal partial hedging in a discrete-time market as a knapsack problem.
A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem
the stock at any time before or on the loan maturity. The way of dividends distribution has a
significant eff...
Regularity of the Optimal Stopping Problem for Levy Processes with Non-Degenerate Diffusions
Regularity Levy Processes Non-Degenerate Diffusions
2010/10/29
The value function of an optimal stopping problem for a process with L´evy jumps is known to be a generalized solution of a variational inequality. Assuming the diffusion component of the proces...
Optimal double stopping time
Optimal stopping optimal multiple stopping stopping times hitting times american options with double exercise time
2010/11/2
We consider the optimal double stopping time problem defined for each stopping time S by v(S) = ess sup{E[ ( 1, 2) |FS], 1, 2 S }. Following the optimal one stopping timeproblem, we study the exi...
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
capital growth theory transaction costs numeraire portfolios
2010/11/2
The aim of this work is to extend the capital growth theory devel-oped by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the noti...