Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

Describes the behavior of financial markets as functions of the variables 'price return' and 'time' based on the net difference between ask and bid volumes over a unit period, thereby suggesting that at least a negative non-trivial price return extreme exists for a unit period. This admittedly...

One of the most important properties of self-organized networks is their scale-free property. Prior research proved empirically and theoretically that scale-free networks emerge under the preferential attachment rule. However, a few empirical studies also show that empirical networks diverge...

This discussion paper resulted in a publication in the <I>Siam Journal on Matrix Analysis and Applications (2011). Volume 32, issue 3, pages 665-684.<P> A sequence of real numbers (<I>x_n</I>) is Benford if the significands, i.e. the fractionparts in the floating-point representation of (<I>x_n</I>), are distributed...</i></i></p></i>

The article analyses an approach to construction of the mathematical model for the commercial banking industry based upon set theory, abstract algebra, and computational linguistics.

We develop a general method to solve models of interactions between multiple agents, including the possibility of strategic advantage for some of them. We argue that this type of model applies to the description of apparently irrational or biased behaviors in a person whose action is the...

The successful active portfolio manager has to have at least two main competencies: Felicitous asset allocation choice and the competence to do so at the right point in time. Based on an extension of Grinold and Kahn’s Fundamental Law of Active Management, this paper describes a method to...

In the classical theory of monotone equimeasurable rearrangements of functions, “equimeasurability” (i.e. the fact the two functions have the same distribution) is defined relative to a given additive probability measure. These rearrangement tools have been successfully used in many problems...

The article analyses an approach to construction of the mathematical model for the bank based upon set theory and abstract algebra. It is shown that selection of correspond algebraic structure for simulation is influence directly on basis of methods for solving engineering and economical...

In the classical Arrow-Borch-Raviv problem of demand for insurance contracts, it is well-known that the optimal insurance contract for an insurance buyer – or decision maker (DM) – is a deductible contract, when the insurer is a risk-neutral Expected-Utility (EU) maximizer, and when the DM...