搜索结果: 1-15 共查到“商业经济学 Optimal”相关记录20条 . 查询时间(0.109 秒)
Optimal Incentives in Core-Selecting Auctions
core stable matching marriage problem auctions core-selecting auctions menu auctions proxy auctions package bidding combinatorial bidding incentives truncation strategies
2015/7/21
Auctions that select core allocations with respect to reported values generate competitive levels of sales revenues at equilibrium and limit bidder incentives to use shills. Among core-selecting aucti...
Deterring Online Advertising Fraud Through Optimal Payment in Arrears
Misleading and Fraudulent Advertising Online Advertising Profit Corporate Accountability Partners and Partnerships Mathematical Methods
2015/4/22
Online advertisers face substantial difficulty in selecting and supervising small advertising partners. Fraud can be well-hidden, and limited reputation systems reduce accountability. But partners are...
Asymptotically Optimal Algorithm for Short-Term Trading Based on the Method of Calibration
Asymptotically Optimal Algorithm Short-Term Trading the Method of Calibration Artificial Intelligence
2012/6/5
A trading strategy based on a natural learning process, which asymptotically outperforms any trading strategy from RKHS (Reproduced Kernel Hilbert Space), is presented. In this process, the trader rat...
Optimal starting times, stopping times and risk measures for algorithmic trading
Quantitative Finance High-Frequency Trading Algorithmic Trading Optimal Execution Market Impact Risk Measures
2012/6/4
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and stopping times for IS ...
Optimal execution and price manipulations in time-varying limit order books
Market impact model optimal order execution limit order book market makers price manipulation
2012/4/28
This paper focuses on an extension of the Limit Order Book (LOB) model with general shape introduced by Alfonsi, Fruth and Schied. Here, the additional feature allows a time-varying LOB depth. We solv...
Robust Strategies for Optimal Order Execution in the Almgren-Chriss Framework
market impact optimal order execution Almgren-Chriss model robustness model uncertainty
2012/4/28
Assuming geometric Brownian motion as unaffected price process $S^0$, Gatheral & Schied (2011) derived a strategy for optimal order execution that reacts in a sensible manner on market changes but can...
Drift dependence of optimal order execution strategies under transient price impact
Drift dependence of optimal order execution strategies transient price impact Trading and Market Microstructure
2012/4/28
We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with expo...
General Intensity Shapes in Optimal Liquidation
General Intensity Shapes Optimal Liquidation General Intensity Shapes in Optimal Liquidation
2012/4/28
We study the optimal liquidation problem using limit orders. Albeit the seminal literature on optimal liquidation, rooted to Almgren-Chriss models, tackles the optimal liquidation problem using a trad...
Efficiency and Equilibria in Games of Optimal Derivative Design
Adverse selection, Competing mechanisms, Delegation principle, Risk sharing, Pareto optimality
2011/7/19
In this paper the problem of optimal derivative design, pro t maximization and risk minimization
under adverse selection when multiple agencies compete for the business of a continuum of heterogenous...
Optimal consumption and investment in incomplete markets with general constraints
Optimal consumption investment incomplete markets
2010/10/22
We study an optimal consumption and investment problem in a possibly incomplete market with general, not necessarily convex, stochastic constraints. We give explicit solutions for investors with expo...
Efficient Computation of Optimal Trading Strategies
Efficient Computation Optimal Trading Strategies
2010/10/21
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algor...
Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity value function exit time
2010/10/21
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism...
Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
Optimal closing of a pair trade with a model containing jumps
a pair trade a model containing jumps
2010/10/19
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely applied investment strategy in the financial industry. Recently, Ekstr\"om, ...
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
Stochastic Utilities Optimal Portfolio Stochastic Flows
2010/10/20
The paper generalizes the construction by stochastic flows of consistent utilities processes introduced by M. Mrad and N. El Karoui (2010). The market is incomplete and securities are modeled as local...