搜索结果: 1-15 共查到“知识库 国民经济学 model”相关记录15条 . 查询时间(0.484 秒)
Two-fund separation under model mis-specification
Fund separation theorem the investors procedure asset allocation the tangency portfolio risky assets
2015/8/10
The two-fund separation theorem tells us that an investor with quadratic utility can separate her asset allocation decision into two steps: First, find the tangency portfolio (TP), i.e., the portfolio...
The representative consumer in the neoclassical growth model with idiosyncratic shocks
Neoclassical growth model Heterogeneous agents Aggregation Business cycles Idiosyncratic shocks
2015/7/21
This paper studies a complete-market version of the neoclassical growth model, where agents face idiosyncratic shocks to earnings. We show that if agents possess identical preferences of either the CR...
A Goal Programming Model for Optimal Portfolio Diversification
Set-valued risk measure portfolio optimization multi-criteria optimization goal programming
2012/3/2
We present a goal programming model for risk minimization of a financial portfolio managed by an agent subject to different possible criteria. We extend the classical risk minimization model with scal...
A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds
Pension funds Demographic risk New entrants Markovchain Professional categories
2011/7/4
This research presents an analysis of the demographic risk
related to future membership patterns in pension funds with restricted
entrance, nanced under a pay-as-you-go scheme. The paper, therefore...
Business Cycle Asymmetry in China: Evidence from Friedman’s Plucking Model
business cycle plucking model asymmetry regime switching structural break
2011/4/1
Friedman’s plucking model of business fluctuations suggests that output cannot exceed an upper limit, or ceiling level, but it is occasionally plucked downward, with depth and steepness, due to recess...
Analytic Loss Distributional Approach Model for Operational Risk from the alpha-Stable Doubly Stochastic Compound Processes and Implications for Capital Allocation
Operational Risk Loss Distributional Approach Doubly stochastic Poisson Process -Stable Basel II Solvency II
2011/3/23
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach is not prescriptive regarding the class of statistical model utilised to undertake capital estimation. It has ...
An Econophysics Model for the Currency Exchange with Commission
econophysics electrochemical sources contact phenomena electrode
2010/10/20
In this paper an econophysics model for the currency exchange operations with commission is proposed. With this purpose some analogies and similarities of the processes that take place in the frame o...
A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
model-insensitive First-hitting-time densities Application Equity default-swaps
2010/10/18
Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable re...
Explicit equilibria in a kinetic model of gambling
a kinetic model of gambling nonlinear kinetic equation
2010/10/18
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the evolution of wealth in a pure gambling process, where the entire sum of wealths of two agents is up for gamb...
On refined volatility smile expansion in the Heston model
refined volatility expansion Heston model
2010/10/18
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s^{*}$ can be obtained by solving (numerically) a simple equation. This yields a leading ...
Quantum Model of Bertrand Duopoly
Quantum Bertrand duopoly profit functions Nash equilibria
2010/10/18
We present the quantum model of Bertrand duopoly and study the entanglement behaviour on the profit functions of the firms. Using the concept of optimal response of each firm to the price of the oppon...
Hedging in an equilibrium-based model for a large investor
large investor liquidity utility optimization equilibrium
2010/11/2
We study a financial model with a non-trivial price impact effect.In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting price...
A microeconomic model is developed, which accurately predicts the shape of personal income
distribution (PID) in the United States and the evolution of the shape over time. The underlying concept is ...
Advisors and Asset Prices: A Model of the Origins of Bubbles
Advisors Asset Prices A Model of the Origins Bubbles
2014/3/18
We develop a model of asset price bubbles based on the communication process between advisors and investors. Advisors are well-intentioned and want to maximize the welfare of their advisees (like a pa...
Foreign Enclaves, Informal Sector and Urban Unemployment in Efficiency-Wage Model
foreign enclave informal sector urban unemployment efficiency-wage
2010/12/7
We consider a small open Harris-Todaro (1970) economy with a rural foreign enclave and urban informal sector. We introduce consumption-efficiency relation to explain the simultaneous existence of info...