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Risk minimizing of derivatives via dynamic g-expectation and related topics
dynamicg-expectation risk minimization problem risk indifferent price mar-ket price of risk risk aversion parameter.
2012/9/14
In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamicg-expectations which are slight different from conditionalg-expectations. In...
Involving copula functions in Conditional Tail Expectation
Conditional tail expectation Copulas Dependence concepts Risk measure Capital requirement Heavy-tailed distributions
2012/6/5
We discuss a new notion of risk measures that preserve the property of coherence called Copula Conditional Tail Expectation (CCTE). This measure describes the expected amount of risk that can be exper...
Shocks in financial markets, price expectation, and damped harmonic oscillators
modified damped harmonic price expectations reaction of financial markets
2011/3/30
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gath...
Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times
bubble super-exponential regime rational expectation critical time finite-time-singularity
2010/11/2
We propose two rational expectation models of transient financial bubbles with heterogeneous
arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic
faster-than-exponent...
Multidimensional dynamic risk measure via conditional g-expectation
risk measure conditional g-expectation
2010/12/13
This paper studies multidimensional dynamic risk measure induced by conditional $g$-expectation. A notion of multidimensional $g$-expectation is proposed to provide a multidimensional version of nonli...