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A Note on Mixture Sets in Decision Theory.

Mongin, P. - Center for Operations Research and Econometrics (CORE), … - 1996

Mixture sets were introduced by Herstein and Milnor (1953) into decision theory, where they are still widely used. This …

Persistent link: https://www.econbiz.de/10005478938

Turnpikes.

McKenzie, L.W. - University of Rochester - Center for Economic Research … - 1998

accumulation to the theory of competitive equilibrium over time. Finally I will make some remarks on the relations of this … literature to some recent developments in the theory of economic growth which are often referred to comprehensively as the New … Growth Theory. …

Persistent link: https://www.econbiz.de/10005698152

A logical critique of mathematical formalism in economics

Dennis, Ken - In: Journal of Economic Methodology 3 (1996) 1, pp. 151-169

Mathematical economic theory is lacking in logical rigour. Even if the mathematics used in constructing formal economic … theory is rigorous as pure mathematics, economic theory possesses both mathematical and non-mathematical components. But …, distinguished, and integrated. However, the real challenge to formalizing economic theory points not to mathematics but to problems …

Persistent link: https://www.econbiz.de/10009219429

A logical critique of mathematical formalism in economics

Dennis, Ken - In: Journal of Economic Methodology 2 (1995) 2, pp. 181-200

Persistent link: https://www.econbiz.de/10009219473

Cunoaştere matematică şi comprehensiune economică

Emil, Dinga - In: Revista OEconomica (2010) 03

The present study presents a general scheme of the categories of human activities, integrating mathematics into the …

Persistent link: https://www.econbiz.de/10009140947

A design and a code invariant under the simple group Co3

Haemers, W.H.; Parker, C.; Pless, V.; Tonchev, V.D. - Tilburg University, School of Economics and Management - 1990

Persistent link: https://www.econbiz.de/10011087038

Sato processes and the valuation of structured products

Eberlein, Ernst; Madan, Dilip - In: Quantitative Finance 9 (2009) 1, pp. 27-42

We report on the adequacy of using Sato processes to value equity structured products. In models used to price options on realized variance, the latter must be a random variable with a positive variance. An analysis of this variance of realized variance for Sato processes shows that these...

Persistent link: https://www.econbiz.de/10005495780

On the structure of Gaussian pricing models and Gaussian Markov functional models

Neumann, C. D. D. - In: Quantitative Finance 7 (2007) 5, pp. 487-496

formulation of the theory of derivative pricing in which numeraire invariance is manifest, extending earlier work on this subject … fraction of total value invested in each asset is a deterministic function of time. Applying this theory to Gaussian Heath …

Persistent link: https://www.econbiz.de/10005462673

$\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE

ARAI, TAKUJI - In: International Journal of Theoretical and Applied … 11 (2008) 08, pp. 869-888

The aim of this paper is to give an extension of the mean-variance hedging problem to the $\mathcal{L}^p$-setting, where 1 p ∞. Remark that the mean-variance hedging is corresponding to the case where p = 2. Firstly, we prove that the unique existence of the optimal hedging strategy in the...

Persistent link: https://www.econbiz.de/10004971770

Barrier option hedging under constraints: a viscosity approach

Bouchard, Bruno; Ben Tahar, Imen - Université Paris-Dauphine (Paris IX) - 2006

We study the problem of ﬁnding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constrained to lie in a closed convex domain. In the context of a Brownian diﬀusion model, we provide a...

Persistent link: https://www.econbiz.de/10011099441