1,720,988 research outputs found
Multi-Fractional Stochastic Dominance and Beyond: Mathematical Foundations and Applications
Get PDFThis thesis introduces novel families of stochastic dominance rules, enhancing the tools available
for ranking alternatives under the presence of risk. Stochastic dominance relations are
widely recognized for their applicability across numerous domains. Traditional approaches,
however, often rely on strict conditions or strong assumptions to rank alternatives based on
the common preferences of a class of decision makers. This results in either lower discriminatory
power or representations of preferences from a limited group of decision makers.
Prior studies have shown the possibility of constructing novel families by adjusting these
assumptions, in a sense, either relaxing or strengthening them with a fixed parameter. In
our research we take this idea further by converting the fixed parameter into a function,
thereby opening up new pathways for the development of general families. This offers new
perspectives and methodologies for the theory of decision making. Specifically, by altering
the fixed parameter in the ranking condition of fractional stochastic dominance, see Müller
et al. (2017), we introduce a generalized family of multi-fractional stochastic dominance
rules. Such an approach extends the ability to rank a wider range of distributions. We
derive the corresponding utility class and examine the mathematical properties. The adoption
of a functional approach not only introduces greater flexibility but also leads to the
emergence of novel concepts unique to a functional framework. These new notions provide
further information for both the given alternatives and the decision makers who agree with
the ranking. A strongly consistent estimator is also introduced to derive estimates from
data, thereby facilitating real-world applications. In the subsequent part of the thesis, we
replace the fixed parameter in the utility class of fractional stochastic dominance with a
function, leading to the formation of another generalized family. The corresponding utility
class comprises increasing functions that allow for local non-concavity. The degree of the
non-concavity depends on its position and is regulated by the function. This facilitates
a representation of the more complex behaviours of decision makers, who exhibit varying
degrees of risk aversion/loving behaviour. We further introduce the notion of partial greediness,
enabling a systematic study of the utility class. In doing so, we effectively capture
the preferences of decision makers concerning greediness at a more local level, alongside risk
aversion. We present several basic properties and illustrative examples. Lastly, we introduce
an extended framework for almost stochastic dominance, establishing a generalized family
through functional extension. This approach broadens the scope beyond the traditional
concept and opens the door to novel insights and methodologies
Riemann-Stieltjes integrals with respect to fractional Brownian motion and applications
Get PDFIn this dissertation we study Riemann-Stieltjes integrals with respect to (geometric) fractional Brownian motion, its financial counterpart and its application in estimation of quadratic variation process. From the point of view of financial mathematics, we study the fractional Black-Scholes model in continuous time.
We show that the classical change of variable formula with convex functions holds for the trajectories of fractional Brownian motion. Putting it simply, all European options with convex payoff can be hedged perfectly in such pricing model. This allows us to give new arbitrage examples in the geometric fractional Brownian motion case. Adding proportional transaction costs to the discretized version of the hedging strategy, we study an approximate hedging problem analogous to the corresponding discrete hedging problem in the classical Black-Scholes model. Using the change of variables formula result, one can see that fractional Brownian motion model shares some common properties with continuous functions of bounded variation. We also show a representation for running maximum of continuous functions of bounded variations such that fractional Brownian motion does not enjoy this property
On the fractional Black-Scholes market with transaction costs
No full textpeer reviewedWe consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance between trading times. We derive a non trivial hedging error for
a class of European options with convex payoff in the case when the transaction costs coefficients decrease as . We study the expected hedging error and asymptotic behavior of the hedge as Hurst parameter approaches
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Get PDFWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Spectral characterization of the quadratic variation of mixed Brownian–fractional Brownian motion
No full textpeer reviewedDzhaparidze and Spreij (Stoch Process Appl, 54:165–174, 1994) showed that the quadratic variation of a semimartingale can be approximated using a randomized periodogram. We show that the same approximation is valid for a special class of continuous stochastic processes. This class contains both semimartingales and non-semimartingales. The motivation comes partially from the recent work by Bender et al. (Finance Stoch, 12:441–468, 2008), where it is shown that the quadratic variation of the log-returns determines the hedging strategy
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