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Further to Asset Price Trend Theory : Decision Making, Optimization, Fears and Aspirations, and Notions of Market Efficiency

Dubois, Robert - 2014

the constraint that assets be fully and continuously invested is inconsistent with basic decision theory, as it disallows … in finance. We herein explore implications for the traditional ‘52'59 Markowitz approach to portfolio theory when the … incomplete Markowitz model. Relative to “Asset Price Trend Theory: Reframing portfolio theory from the ground up” (Dubois [2013 …

Persistent link: https://www.econbiz.de/10013049923

Intrinsic risk measures

Farkas, Walter; Smirnow, Alexander - 2016 - First version: October 26, 2016

Monetary risk measures classify a financial position by the minimal amount of external capital that must be added to the position to make it acceptable.We propose a new concept: intrinsic risk measures. The definition via external capital is avoided and only internal resources appear. An...

Persistent link: https://www.econbiz.de/10011620033

Structured XVAs : Diffusive Portfolios

Renzitti, Stefano - 2023

In this paper, a continuous-time, structural model of a dealer-bank is presented to derive fair value equations for credit-risky financial products that are not perfectly hedged. The impact these contracts have on the dealer-bank's earnings volatility, and consequently, their solvency and...

Persistent link: https://www.econbiz.de/10014351024

Revealed preference and aggregation

Cherchye, Laurens; Crawford, Ian; Rock, Bram de; … - 2015

Persistent link: https://www.econbiz.de/10011289145

Demand aggregation and the weak axiom of stochastic revealed preference

Bandyopadhyay, Taradas; Dasgupta, Indraneel; Pattanaik, … - In: Journal of economic theory 107 (2002) 2, pp. 483-489

Persistent link: https://www.econbiz.de/10001728106

Nonparametric market supply with variable participants

Chambers, Christopher P.; Rehbeck, John - In: Economic theory 74 (2022) 3, pp. 899-921

Persistent link: https://www.econbiz.de/10013442103

Revealed stochastic choice with attributes

Allen, Roy E.; Rehbeck, John - In: Economic theory 75 (2023) 1, pp. 91-112

Persistent link: https://www.econbiz.de/10013488823

Slutsky matrix norms and revealed preference tests of consumer behaviour

Aguiar, Victor H.; Serrano, Roberto - 2015 - This version: January 2015

Given any observed finite sequence of prices, wealth and demand choices, we characterize the relation between its underlying Slutsky matrix norm (SMN) and some popular discrete revealed preference (RP) measures of departures from rationality, such as the Afriat index. We show that testing...

Persistent link: https://www.econbiz.de/10010472595

Cardinal Revealed Preference, Price-Dependent Utility, and Consistent Binary Choice

Aguiar, Victor - 2018

theory environments with finite data. We propose a new behavioral axiom, Acyclic Enticement (AE), that requires the …

Persistent link: https://www.econbiz.de/10012930018

Classifying bounded rationality in limited data sets : a Slutsky matrix approach

Aguiar, Victor H.; Serrano, Roberto - In: SERIEs : Journal of the Spanish Economic Association 9 (2018) 4, pp. 389-421

Persistent link: https://www.econbiz.de/10011967450