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Approximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model
No full textSemi-Analytical Solution for Consumption and Investment Problem under Quadratic Security Market Model with Inflation Risk
No full textApproximate Analytical Solution for Robust Consumption–Investment Problem under Quadratic Security Market Model
Get PDFTechnical ReportThe global financial crisis leads to a growing awareness of theneed for robust dynamic investment control. This study considersa consumption–investment problem for an investor with homotheticrobust utility under a quadratic security market model, in which allinflation rates, interest rates, and asset risk premiums and volatilitiesare stochastic and predictable. Homothetic robust utility is character-ized by investors’ relative risk aversion and “relative ambiguity aver-sion.” We show that the optimal portfolio is decomposed into the sumof myopic demand, intertemporal risk hedging demand, inflation riskdemand, and “intertemporal ambiguity hedging demand.” We obtaina loglinear approximate analytical solution to a nonlinear partial dif-ferential equation for the indirect utility function. The coefficients forthis solution are provided as a system of nonlinear algebraic equations.We also present an algorithm to solve this system numerically.Discussion Paper, Series E,( No. E-6), pp. 1-25technical repor
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
Semi-Analytical Solution for Consumption and Investment Problem under Quadratic Security Market Model with Inflation Risk
Get PDFTechnical ReportThere exists strong empirical evidence that all inflation rates, in-terest rates, market price of risk, and return volatilities of assets arestochastic and predictable, which is now a stylized fact. However,to the best of our knowledge, existing models providing solutions toconsumption–investment problems do not consider all of the afore-mentioned stochastic processes, leading to substantially different re-sults depending on the model structure. We consider a consumption–investment problem for a long-term investor with constant relative riskaversion utility, under a quadratic security market model, in whichall of the above-mentioned processes are stochastic and predictable.We solve a nonhomogeneous linear partial differential equation for theindirect utility function, and derive a semianalytical solution. Thisstudy obtains the optimal portfolio decomposed into the sum of my-opic demand, intertemporal hedging demand, and “inflation hedgingdemand,” and presents that all three types of demand are nonlinearfunctions of the state vector. The results highlight that the timingaspect is more important than our assumption.Discussion Paper, Series E,( No. E-5), pp. 1-25technical repor
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
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