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We propose an entropic model of extrinsic utility arising out of the element of choice regarding portfolio re-balancing strategies available to an individual investor who has chosen to invest in a financial structured product with a terminal payoff same as that from a rainbow option. We also...
Persistent link: https://www.econbiz.de/10008555934
of normal multivariate integrals, in which the highest dimension of the integrands is reduced relative to the initial …-Legendre quadrature rule to the exact likelihood function of lower dimension allows for a major reduction of computing time while …
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In this article, I discuss the methods for generating nonnegatively correlated binary random variates. I provide a new command, rbinary, with examples showing how the command can be used. Copyright 2015 by StataCorp LP.
Persistent link: https://www.econbiz.de/10011265708
In this paper it is shown how a general two-sided orthant probability for a quadrivariate normal distribution can be evaluated by a one-dimensional numerical integral calculation. The quadrivariate normal distribution can have any covariance matrix and any mean vector. This affords a practical...
Persistent link: https://www.econbiz.de/10010847802
In this paper, we present both integral and infinite series expressions of μqp≡E[(x′Ax)p/(x′Bx)q] when x∼N(μ,In), where p, q are nonnegative real numbers, A is a symmetric matrix, and B is a positive semi-definite matrix. We also present efficient numerical methods for computing μqp...
Persistent link: https://www.econbiz.de/10011041907
The main results imply that the probability P(Z∈A+θ) is Schur-concave/Schur-convex in (θ12,…,θk2) provided that the indicator function of a set A in Rk is so, respectively; here, θ=(θ1,…,θk)∈Rk and Z is a standard normal random vector in Rk. Moreover, it is shown that the...
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