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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

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

Nonparametric estimation and testing of interaction in additive models

Sperlich, Stefan; Tjostheim, Dag; Yang, Lijian - 1998

We consider an additive model with second order interaction terms. It is shown how the components of this model can be estimated using marginal integration, and the asymptotic distribution of the estimators is derived. Moreover, two test statistics for testing the presence of interactions are...

Persistent link: https://www.econbiz.de/10009574875

On estimation of monotone and concave frontier functions

Gijbels, Irène; Mammen, Enno; Park, Byeong U.; Simar, … - 1998

When analyzing the productivity of firms, one may want to compare how the firms transform a set of inputs x (typically labor, energy or capital) into an output y (typically a quantity of goods produced). The economic efficiency of a firm is then defined in terms of its ability of operating close...

Persistent link: https://www.econbiz.de/10009574880

Neoclassical convergence versus technological catch-up : a contribution for reaching a consensus

Desdoigts, Alain - 2000

New macro empirical evidence is provided to assess the relative importance of object and idea gaps in explaining the world income distribution dynamics. Formal statistical hypothesis tests allow us to discriminate between two competing growthmodels: (i) the standard neoclassical growth model...

Persistent link: https://www.econbiz.de/10009583880

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

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

On model based seasonal adjustment procedures

Breitung, Jörg - 1998

In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment...

Persistent link: https://www.econbiz.de/10009574877

The monetary model of the exchange rate : a structural interpretation

Moersch, Mathias; Nautz, Dieter - 1998

We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a "structural" error correction equation which allows an interpretation of the various channels affecting the...

Persistent link: https://www.econbiz.de/10009574885

Sequential versus independent commitment : an indirect evolutionary analysis of bargaining rules

Güth, Werner - 1998 - Rev.

Rational bargaining behavior depends crucially on the rules of bargaining, especially on whether parties decide sequentially or independently. Whereas in ultimatum bargaining the proposer can exploit the responder, independent commitments result in more balanced payoffs. To limit the scope of...

Persistent link: https://www.econbiz.de/10009574886

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