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Motivated by the problems of the conventional model in rationalizing market data, we derive the equilibrium interest rate and risk premiums using recursive utility in a continuous time model. We consider the version of recursive utility which gives the most unambiguous separation of risk...
Persistent link: https://www.econbiz.de/10013034144
In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a...
Persistent link: https://www.econbiz.de/10003961438
In this paper an algorithm is proposed to find an integral solution of (nonlinear) complementarity problems. The algorithm starts with a nonnegative integral point and generates a unique sequence of adjacent integral simplices of varying dimension. Conditions are stated under which the algorithm...
Persistent link: https://www.econbiz.de/10011343323
An equivalent sigma-martingale measure (EsigmaMM) for a given stochastic process S is a probability measure R … equivalent to the original measure P such that S is an R-sigma-martingale. Existence of an EsigmaMM is equivalent to a classical … only a local integrability requirement. sigma-martingale ; equivalent martingale measures ; Jacod decomposition …
Persistent link: https://www.econbiz.de/10009558691
We study the existence problem of a zero point of a function defined on a finite set of elements of the integer lattice of the n-dimensional Euclidean space. It is assumed that the set is integrally convex, which implies that the convex hull of the set can be subdivided in simplices such that...
Persistent link: https://www.econbiz.de/10010325776
In this paper, we study resource allocation in multiclass networks having several types of flexible servers and general constraints on the number of servers at each station. Each job class is characterized by the station where the job is processed and by the amount of work allocated to that...
Persistent link: https://www.econbiz.de/10010326889
Persistent link: https://www.econbiz.de/10003807167
We study the existence problem of a zero point of a function defined on a finite set of elements of the integer lattice of the n-dimensional Euclidean space. It is assumed that the set is integrally convex, which implies that the convex hull of the set can be subdivided in simplices such that...
Persistent link: https://www.econbiz.de/10011378347
In this paper, we study resource allocation in multiclass networks having several types of flexible servers and general constraints on the number of servers at each station. Each job class is characterized by the station where the job is processed and by the amount of work allocated to that...
Persistent link: https://www.econbiz.de/10009388987
In this paper we study the existence problem of a zero point of a function defined on a finite set of elements of the integer lattice Zn of the n-dimensional Euclidean space IRn. It is assumed that the set is integrally convex, which implies that the convex hull of the set can be subdivided in...
Persistent link: https://www.econbiz.de/10012722331