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Voorneveld, Mark (contributor); … - 2008 - This version: April 6, 2009

approach for countable domains and combining this with basic measure theory, we obtain necessary and sufficient conditions for … the existence of upper semi-continuous utility functions on a wide class of domains. Although links between utility theory … and measure theory have been pointed out before, to the best of our knowledge this is the first time that the present …

Persistent link: https://www.econbiz.de/10003766840

A utility representation theorem with weaker continuity condition

Inoue, Tomoki (contributor) - 2008

We prove that a preference relation which is continuous on every straight line has a utility representation if its domain is a convex subset of a finite dimensional vector space. Our condition on the domain of a preference relation is stronger than Eilenberg (1941) and Debreu (1959, 1964), but...

Persistent link: https://www.econbiz.de/10003771267

A note on the accuracy of Markov-chain approximations to highly persistent AR(1)-processes

Flodén, Martin (contributor) - 2007

This note examines the accuracy of methods that are commonly used to approximate AR(1)-processes with discrete Markov chains. The quadrature-based method suggested by Tauchen and Hussey (1991) generates excellent approximations with a small number of nodes when the autocorrelation is low or...

Persistent link: https://www.econbiz.de/10003426472

Conditional density models for asset pricing

Filipović, Damir; Hughston, Lane P.; Macrina, Andrea - 2010

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Brownian motion, an associated "master...

Persistent link: https://www.econbiz.de/10008797695

Semi-parametric estimation of American option prices

Gagliardini, Patrick; Ronchetti, Diego - 2010

We introduce a novel semi-parametric estimator of the price of American options in a discrete time, Markovian framework. The estimator is based on a parametric specification of the stochasticdiscount factor and is non-parametric w.r.t. the historical dynamics of the state variables. The...

Persistent link: https://www.econbiz.de/10008798293

Local risk-minimization under transaction costs

Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...

Persistent link: https://www.econbiz.de/10009576212

Convex duality in mean variance hedging under convex trading constraints

Czichowsky, Christoph; Schweizer, Martin - 2012 - This version: June 4, 2012

We study mean-variance hedging under portfolio constraints in a general semimartingale model. The constraints are formulated via predictable correspondences, meaning that the trading strategy is restricted to lie in a closed convex set which may depend on the state and time in a predictable way....

Persistent link: https://www.econbiz.de/10009558290

Agreement theory and consensus

Candeal-Haro, Juan Carlos; Induráin-Eraso, Esteban; … - 2011

In order to formalize the act of agreement between two individuals, the concept of consensus functional equation, for a bi-variate map defined on an abstract choice set, is introduced. Then, and in a purely choice-theoretical framework, we relate the solutions of this equation to the notion of a...

Persistent link: https://www.econbiz.de/10009524368

Mutually consistent revealed preference bounds

Adams, Abi - 2015

Revealed preference restrictions are increasingly used to bound demand responses and as shape restrictions in nonparametric estimation exercises. However, the restrictions imposed are not sufficient for rationality when predictions are made at more than a single price regime. We highlight the...

Persistent link: https://www.econbiz.de/10011307801

The socially stable core in structured transferable utility games

Herings, Peter Jean-Jacques; Laan, Gerard van der; … - 2004

We consider cooperative games with transferable utility (TU-games), in which we allow for a social structure on the set of players. The social structure is utilized to refine the core of the game. For every coalition the relative strength of a player within that coalition is induced by the...

Persistent link: https://www.econbiz.de/10011335223