1,721,009 research outputs found
On the relationship between comparisons of risk aversion of different orders
No full textWe show conditions which ensure that the comparisons between risk aversion of different orders of two decision makers are related. In particular, we derive a condition ensuring that greater downside risk aversion implies greater risk aversion and a different condition ensuring that the opposite implication holds. We then generalize these results to higher order greater risk aversion, obtaining conditions which make it possible to infer the direction of the comparison for risk aversion of a given order from the knowledge of the direction for a different order. (c) 2022 Elsevier B.V. All rights reserved
Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
No full textThis paper reconsiders the conditions determining the optimal response of a decision maker in case of stochastic changes in multiplicative risks. In particular, we focus on an optimal portfolio choice where the return of the risky asset exhibits an Nth-degree risk increase. We provide two interpretations of the conditions analyzed. The first interpretation involves a comparison between the elasticities with respect to the investment in the risky asset of the Nth derivative of the utility function and of the distance between the Nth moments of the two risks. The second interpretation refers to the direction of the change in the utility premium when the investment in the risky asset changes. We then study the linkages between the conditions determining optimal responses of risky investment in the case of risk increases of different degrees. We show that, under some assumptions, the optimal behavior of an agent in the case of Nth degree risk increase makes it possible to infer agent’s behavior in case of risk increases of lower degrees
DGFLOW: a software for energy folw analysis of distribution systems with distributed generation
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Super-replication and utility maximization in large financial markets
No full textAbstractWe study the problems of super-replication and utility maximization from terminal wealth in a semimartingale model with countably many assets. After introducing a suitable definition of admissible strategy, we characterize superreplicable contingent claims in terms of martingale measures. Utility maximization problems are then studied with the convex duality method, and we extend finite-dimensional results to this setting. The existence of an optimizer is proved in a suitable class of generalized strategies: this class has also the property that maximal expected utility is the limit of maximal expected utilities in finite-dimensional submarkets. Finally, we illustrate our results with some examples in infinite dimensional factor models
Public Administration as a Complex Adaptive System between Crisis And Conflict
No full textCan complexity theories be applied to administrative activity and organization? What relationship exists between administrative dysfunction and complexity? What differences exist between administrative complexity and mere complication? Does the occurrence of crises and emergencies affect the degree and effects of administrative complexity? Does administrative complexity affect the protection of rights and interests with necessary protection? Starting from these questions, the paper examines the critical issues that emerged during the management of the health pandemic and their relationship with administrative complexity, focusing on the conflicts between levels of government and between public bodies, citizens and economic operators
A Theory of Stochastic Integration for Bond Markets
No full textWe introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets.
We apply our results to the problem of super-replication and utility maximization from terminal wealth in a bond market. Finally, we compare our approach to those already existing in literature
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