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Persistent link: https://www.econbiz.de/10011644219
An equivalent !-martingale measure (E!MM) for a given stochastic process Sis a probability measure R equivalent to the original measure P such that S isan R-!-martingale. Existence of an E!MM is equivalent to a classical absenceof-arbitrage property of S, and is invariant if we replace the...
Persistent link: https://www.econbiz.de/10009486965
In the world of investment, the subject of building a portfolio concerning tail risk is still one of the frequently discussed subjects and unquestionably vital for investors. This paper seeks to examine how the risk measures, lower tail-dependence based on the copulas approach and Conditional...
Persistent link: https://www.econbiz.de/10012889418
idiosyncratic risk can be removed through some device of aggregation or diversification when such risk is explicitly introduced into …
Persistent link: https://www.econbiz.de/10014194823
human perception of relatedness and a fuzzy set theory. The fuzzy semantic relatedness measure is perceived as a linguistic …
Persistent link: https://www.econbiz.de/10014132134
This document, static and dynamically, analyzes the changes in living conditions in Colombia between 1997 and 2003 by means of an alternative index which includes health aspects and the time spent in mobilization. These variables reduce the importance granted to physical capital in other indexes...
Persistent link: https://www.econbiz.de/10014026428
This study employs data on small businesses from the Office of Advocacy for the U.S. Small Business Administration along with the FDIC Call Report data for U.S. commercial banks. We examine the efficiency of the impact of the financial inputs on small business entrepreneurial output. Our study...
Persistent link: https://www.econbiz.de/10013160272
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/10010281322
This study introduces an objective multicriteria ranking method based on the Analytic Hierarchy Process (AHP). Different multicriteria decision analysis methods generate different solutions for the same ranking problem because of their varying mathematical models. In AHP, decision makers...
Persistent link: https://www.econbiz.de/10012946792
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