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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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Asymptotic theory for m-estimators of boundaries
Knight, Keith (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916817
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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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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
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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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Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes
Jaschke, Stefan R. - 2001
Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...
Persistent link: https://www.econbiz.de/10009614286
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The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations
Jaschke, Stefan R. - 2001
Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as...
Persistent link: https://www.econbiz.de/10009614287
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The great demand depression
Weder, Mark - 2001
This paper entertains the notion that disturbances on the demand side play a central role in our understanding of the Great Depression. In fact, from Euler equation residuals we are able to identify a series of unusually large negative demand shocks that appeared to have hit the U. S. economy...
Persistent link: https://www.econbiz.de/10009614288