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Strong convergence and dynamic economic models
Bray, Robert L. - In: Quantitative economics : QE ; journal of the … 10 (2019) 1, pp. 43-65
Morton and Wecker (1977) stated that the value iteration algorithm solves a dynamic program's policy function faster than its value function when the limiting Markov chain is ergodic. I show that their proof is incomplete, and provide a new proof of this classic result. I use this result to...
Persistent link: https://www.econbiz.de/10011994824
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Reverse engineering of option pricing : an AI application
Herzog, Bodo; Osamah, Sufyan - In: International Journal of Financial Studies : open … 7 (2019) 4/68, pp. 1-12
This paper studies option pricing based on a reverse engineering (RE) approach. We utilize artificial intelligence in order to numerically compute the prices of options. The data consist of more than 5000 call- and put-options from the German stock market. First, we find that option pricing...
Persistent link: https://www.econbiz.de/10012150380
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Positivistic models of long-run labor allocation dynamics
Stijepic, Denis - In: Journal of economic structures : JES; the official … 6 (2017) 19, pp. 1-30
The three-sector framework (relating to agriculture, manufacturing, and services) is one of the major concepts for studying the long-run dynamics of the economic structure. We summarize the empirical/theoretical literature consensus by formulating ‘economic laws’ of long-run structural...
Persistent link: https://www.econbiz.de/10011765034
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Optimal stopping under probability distortions
Belomestny, Denis; Krätschmer, Volker - In: Mathematics of operations research 42 (2017) 3, pp. 806-833
Persistent link: https://www.econbiz.de/10011742531
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Optimal learning under robustness and time-consistency
Epstein, Larry G.; Ji, Shaolin - In: Operations research 70 (2022) 3, pp. 1317-1329
Persistent link: https://www.econbiz.de/10013366075
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A new approach to identifying generalized competing risks models with application to second-price auctions
Komarova, Tatiana - In: Quantitative economics : QE ; journal of the … 4 (2013) 2, pp. 269-328
This paper proposes an approach to proving nonparametric identification for distributions of bidders’ values in asymmetric second-price auctions. I consider the case when bidders have independent private values and the only available data pertain to the winner’s identity and the transaction...
Persistent link: https://www.econbiz.de/10011757066
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Metodología para elaborar leyes de posibilidad de retirada del cliente : una aplicación al sector del vestido
Ortigosa Hernández, Mauricio; Gil Lafuente, Ana María - In: Revista de métodos cuantitativos para la economía y … 22 (2016), pp. 139-163
uncertainty and the fuzzy subsets, in order to build laws of possibilities for the retreat of clients only with the subjective … even from heuristic methods. The results show the utility of fuzzy concepts in a problem where the uncertainty in relation … Value (CLV) is required to be measured in the field of uncertainty. …
Persistent link: https://www.econbiz.de/10011588325
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The multi-faceted character of risk in maritime freight markets (Panamax) 1996 - 2012
Goulielmos, Alexandros M. - In: Spoudai : journal of economics and business 65 (2015) 1/2, pp. 67-86
The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets. Traditionally, risk is measured by "standard deviation". Other risk measures like "excess kurtosis", "excess skewness", "long-term dependence" and the "catastrophe propensity"...
Persistent link: https://www.econbiz.de/10011300238
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The Italian pension gap : a stochastic optimal control approach
Milazzo, Alessandro; Vigna, Elena - In: Risks : open access journal 6 (2018) 2, pp. 1-20
We study the gap between the state pension provided by the Italian pension system pre-Dini reform and post-Dini reform. The goal is to fill the gap between the old and the new pension by joining a defined contribution pension scheme and adopting an optimal investment strategy that is...
Persistent link: https://www.econbiz.de/10011866511
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A tale of two debt crises : a stochastic optimal control analysis
Stein, Jerome L. - 2010
Creditors, banks and bank regulators should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset...
Persistent link: https://www.econbiz.de/10003919000