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Evolutionary Dynamics in Complex Networks of Adaptive and Competing Agents

Yuan, Baosheng - 2007

and can be understood with a descendant clusters theory. Evolution dramatically enhances the performance of a system in a … reducing quot;crowdednessquot; of agents' strategies and can be explained by a crowd-anticrowd theory …

Persistent link: https://www.econbiz.de/10012731227

Infinite Horizon Dynamic Optimization With Unbounded Returns : Necessity, Sufficiency, Existence, Uniqueness, Convergence and a Sequence of Counterexamples

Wiszniewska-Matyszkiel, Agnieszka - 2018

In this paper, we state sufficiency, necessity, convergence, existence and uniqueness results for infinite horizon optimal control problems with unbounded payoffs in which the assumptions are very weak and there are no topological assumptions about the model components. We also state a sequence...

Persistent link: https://www.econbiz.de/10012907112

GJR-Copula-CVaR Model for Portfolio Optimization : Evidence for Emerging Stock Markets

Nikusokhan, Moien - 2018

This paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to...

Persistent link: https://www.econbiz.de/10012909312

'Quantum Equilibrium-Disequilibrium' : Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons

Halperin, Igor - 2019

produce both defaults and divergence of perturbation theory in a small market friction parameter …

Persistent link: https://www.econbiz.de/10012898637

Optimal Placement in a Limit Order Book

Guo, Xin - 2016

This paper proposes and studies an optimal placement problem in a limit order book. To gain some analytical insights, a simple correlated random walk model with mean-reversion is proposed for the best ask price. Optimal placement strategies for both single-period and multi-period cases are...

Persistent link: https://www.econbiz.de/10013007240

Collateral Risk for Fair Valuation and CCR Capital

Koehler, Etienne - 2015

The exchange of regulatory initial margin for uncleared derivatives (BCBS 261 due on the 1st of September 2016) implies a massive consumption of collateral. This paper proposes a new model to account for collateral and its quality for both fair valuation and CCR capital frameworks defined under...

Persistent link: https://www.econbiz.de/10013011500

Expected Returns Independent Allocations

Susinno, Gabriele - 2015

Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns. Indeed, in turmoil periods traditional market...

Persistent link: https://www.econbiz.de/10013018612

Demystifying Rebalancing Premium : A Methodological Path to Risk Premia Engineering

Dubikovsky, Vladislav - 2015

Volatility is usually considered as a synonym for risk. Mainstream financial theory states that higher portfolio … framework that encompasses various investment styles and portfolio construction methodologies. Modern Portfolio Theory is a one … theory. We show that Markowitz portfolios and Warren Buffett's investment style are valid special cases of optimal growth …

Persistent link: https://www.econbiz.de/10013018815

Measuring Risk When Expected Losses are Unbounded

Balbás, Alejandro - 2015

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

Persistent link: https://www.econbiz.de/10013024274

Optimal Maintenance Scheduling of Local Public Purpose Buildings

Hopland, Arnt - 2014

We formulate the maintenance scheduling decision as a dynamic optimization problem, subject to an accelerating decay. This approach offers a formal, yet intuitive, weighting of the trade-offs involved when deciding a maintenance schedule. The optimal maintenance schedule reflects the trade-off...

Persistent link: https://www.econbiz.de/10013043800