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On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10011260821

Subgame-perfect equilibria in stochastic timing games

Riedel, Frank; Steg, Jan-Henrik - 2014

We introduce a notion of subgames for stochastic timing games and the related notion of subgame-perfect equilibrium in … general, we argue that our model is the appropriate version for timing games. We show that the notion coincides with the usual … one for discrete-time games. Many timing games in continuous time have only equilibria in mixed strategies - in particular …

Persistent link: https://www.econbiz.de/10010406213

Valuation of Irreversible Entry Options Under Uncertainty and Taxation

Kanniainen, Vesa - 1998

We analyze the tax effects on a potential firm with an irreversible entry option and subject to risky post-entry earnings. We formulate the problem in terms of optimal stopping and derive both the necessary conditions for optimal entry and the value of the optimal premium by relying on the...

Persistent link: https://www.econbiz.de/10012790726

Investment in a Monopoly with Bayesian Learning

Koulovatianos, Christos; Mirman, Leonard J.; Santugini, Marc - University of Vienna, Department of Economics - 2006

We study how learning affects an uninformed monopolist?s supply and investment decisions under multiplicative uncertainty in demand. The monopolist is uninformed because it does not know one of the parameters deÞning the distribution of the random demand. Observing prices reveals this...

Persistent link: https://www.econbiz.de/10005463505

From Local Theory of Risk Aversion to an Intertemporal Theory of Risks Under Discrete Choices.

Alverez, L.H.R.; Kanniainen, V. - Politiikan ja Talouden Tutkimuksen Laitos, … - 1998

While the well-known Pratt-Arrow measure of risk premium is useful in studying local risks, this paper introduces new measures to cope with non-trivial risks, including default. The premia derived are cast in terms of life-time and instantaneous utilities and required income. the results follow...

Persistent link: https://www.econbiz.de/10005625254

Assessment of the «district effect» through non-radial measures of technical efficiency

Hernández Sancho, Francesc; Soler i Marco, Vicent - In: INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH (2003) 3, pp. 25-39

The aim of this work is to measure the Industrial Marshallian District (IMD) effect through non-radial measures of technical efficiency. Taking as reference the spatial location of each firm (inside or outside of the IMD), a valuable information can be obtained to assess whether there exist...

Persistent link: https://www.econbiz.de/10010992223

Retail structural dynamics and the forces behind big-box retailing

Munroe, Scott - In: The Annals of Regional Science 35 (2001) 3, pp. 357-373

Recent change on the American retail landscape warrants a revisit to the catastrophe framework originated by Harris and Wilson (1978). A retail revolution, centered around the growth of big-box retailing, is recreating metropolitan retail structure. Alterations to both the sizes and spatial...

Persistent link: https://www.econbiz.de/10005167220

Estimation of continuous time models driven by Lévy Processes

Floor Brix, Anne - 2014

Persistent link: https://www.econbiz.de/10011369534

To fight or to give up? : dynamic contests with a deadline

Ryvkin, Dmitry - In: Management science : journal of the Institute for … 68 (2022) 11, pp. 8144-8165

Persistent link: https://www.econbiz.de/10014279970

Discrete-Time Approximations of the Holmström-Milgrom Brownian-Motion Model of Intertemporal Incentive Provision

Hellwig, Martin F.; Schmidt, Klaus M. - 2001

This paper studies the relation between discrete-time and continuoustime principal-agent models. We derive the continuous-time model as a limit of discretetime models with ever shorter periods and show that optimal incentive schemes in the discrete-time models approximate the optimal incentive...

Persistent link: https://www.econbiz.de/10010427353

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