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Ruszczynski, Andrzej; Shapiro, Alexander - EconWPA - 2004

We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk models, and optimality and duality theory for problems involving risk...

Persistent link: https://www.econbiz.de/10005076666

Consumption and Investment Optimization under Constraints

Nguyen-Thanh, Long - EconWPA - 2002

We analyze a problem of maximization of expected terminal wealth and consumption under constraints in a general framework including financial models with constrained portfolios, labor income and large investor models. By using general optional decomposition under constraints in a multiplicative...

Persistent link: https://www.econbiz.de/10005134845

Utility Maximization in Imperfected Markets

Nguyen-Thanh, Long - EconWPA - 2003

We analyze a problem of maximization of expected terminal wealth and consumption in markets with some ``imperfection'', such as constraints on the permitted portfolios, labor income, or/and nonlinearity of portfolio dynamics. By using general optional decomposition under constraints in...

Persistent link: https://www.econbiz.de/10005134936

Investment Optimization under Constraints

Nguyen-Thanh, Long - EconWPA - 2003

We analyze general stochastic optimization financial problems under constraints in a general framework, which includes financial models with some ``imperfection'', such as constrained portfolios, labor income, random endowment and large investor models. By using general optional decomposition...

Persistent link: https://www.econbiz.de/10005413179

Conditional Risk Mappings

Ruszczynski, Andrzej; Shapiro, Alexander - EconWPA - 2004

We introduce an axiomatic definition of a conditional convex risk mapping. By employing the techniques of conjugate duality we derive properties of conditional risk mappings. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. We...

Persistent link: https://www.econbiz.de/10005561062

Markov Chain Approximations For Term Structure Models

Backus, David; Wu, Liuren; Zin, Stanley - EconWPA - 2002

We derive discrete markov chain approximations for continuous state equilibrium term structure models. The states and transition probabilities of the markov chain are chosen effciently according to a quadrature rule as in Tauchen and Hussey (1991). Quadrature provides a simple yet method which...

Persistent link: https://www.econbiz.de/10005134854

Common Priors and Markov Chains

Samet, Dov - EconWPA - 1996

The type function of an agent, in a type space, associates with each state a probability distribution on the type space. Thus, a type function can be considered as a Markov chain on the state space. A common prior for the space turns out to be a probability distribution which is invariant under...

Persistent link: https://www.econbiz.de/10005550941

HEURISTICS USED BY HUMANS WITH PREFRONTAL CORTEX DAMAGE: TOWARD AN EMPIRICAL MODEL OF PHINEAS GAGE

Houser, Daniel; McCabe, Kevin; Keane, Michael; Bechara, … - EconWPA - 2003

by pre-specifying a set of candidate decision-making heuristics and then assigning each subject to the heuristic that … type classification approach introduced by Houser, Keane and McCabe (2002) to investigate the heuristics used by subjects … that it does not require us to specify the nature of subjects’ heuristics in advance. Rather, both the number and nature of …

Persistent link: https://www.econbiz.de/10005062723