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Heuristics as decision rules : Part I: the single consumer
Güth, Werner; Neuefeind, Wilhelm - 2001
commodities as food items. Using utility functions we can measure the welfare loss, caused by such heuristics, and to what extent …-Douglas utility function. General utility functions will also be considered. Part II will study exchange economies. …
Persistent link: https://www.econbiz.de/10009612561
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Notes on an endogenous growth model with two capital stocks i : the deterministic case
Bethmann, Dirk - 2002
This paper extends the class of AK models with an explicit solution to the case where there are two capital goods in the model. this extension holds, even if an external effect in the use of human capital in goods production ia assumed.
Persistent link: https://www.econbiz.de/10009626676
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American options, multi-armed bandits and optimal consumption plans : a unifying view
Bank, Peter (contributor); Föllmer, Hans (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001917057
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Transitional dynamics in the Uzawa-Lucas model of endogenous growth
Bethmann, Dirk (contributor); Reiß, Markus (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919298
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Additional logarithmic utility of an insider
Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin - 1998
expected logarithmic utility from terminal wealth. While the ordinary investor's portfolio decisions are based on a public … expected logarithmic utility in terms of a relative entropy. This allows us to provide simple conditions on G for the … finiteness of this additional utility and to show that it is basically given by the entropy of G. -- insider trading ; entropy …
Persistent link: https://www.econbiz.de/10009577457
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Malliavin's calculus in insider models : additional utility and free lunches
Imkeller, Peter - 2002
we focus on are the calculation of the additional utility of the insider and a study of his free lunch possibilities. The … examples are given to illustrate additional utility and free lunch possibilities. In particular, if the insider has advance …
Persistent link: https://www.econbiz.de/10009620768
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A stochastic representation theorem with applications to optimization and obstacle problems
Bank, Peter; El Karoui, Nicole - 2001
We study a new type of representation problem for optional processes with connections to singular control, optimal stopping and dynamic allocation problems. As an application, we show how to solve a variant of Skorohod's obstacle problem in the context of backward stochastic differential...
Persistent link: https://www.econbiz.de/10009620781
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Adaptive wavelet Galerkin methods for linear inverse problems
Cohen, Albert; Hoffmann, Marc; Reiß, Markus - 2002
We introduce and analyse numerical methods for the treatment of inverse problems, based on an adaptive wavelet Galerkin discretization. These methods combine the theoretical advantages of the wavelet-vaguelette decomposition (WVD) in terms of optimally adapting to the unknown smoothness of the...
Persistent link: https://www.econbiz.de/10009624840
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Asymptotic theory for m-estimators of boundaries
Knight, Keith (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916817
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876