7,016 research outputs found
Contro la funzionalizzazione della contrattazione collettiva. Riflessioni sul pensiero di Mario Rusciano
No full textL'autore riflette sul pensiero di Mario Rusciano in punto di funzionalizzazione della contrattazione collettiva.The author reflects on the thought of Mario Rusciano in relation to the subject of the functionalisation of collective bargaining
A Note on Statistical Arbitrage and Long Term Market Efficiency
No full textMarket efficiency is a central topic in finance. The notion of sta-
tistical arbitrage is a suitable instrument to investigate market
efficiency without the need to specify an equilibrium model. We
introduce a new definition of statistical arbitrage (named Strong
Statistical Arbitrage, SSA in the following) modifying the original
definition in an apparently infinitesimal way. We show that some
simple investment strategies, recognized as statistical arbitrages
by the standard definition, do not test positive for SSA. We dis-
cuss the relations between the proposed definition and common
definitions of arbitrage and prove that SSA is compatible with
deviations from market efficiency in a “short term frame.” The
idea is that if market anomalies are small, the markets do not
deviate significantly from efficiency, while an SSA requires time
persistent anomalies on asset prices
Rigidity and compactness with constant mean curvature in warped product manifolds
No full textWe prove the rigidity of rectifiable boundaries with constant distributional mean curvature in the Brendle class of warped product manifolds (which includes important models in general relativity, like the de Sitter-Schwarzschild and Reissner-Nordstrom manifolds). As a corollary, we characterize limits of rectifiable boundaries whose mean curvatures converge, as distributions, to a constant. The latter result is new, and requires the full strength of distributional CMC-rigidity, even when one considers smooth boundaries whose mean curvature oscillations vanish in arbitrarily strong C k C^{k} -norms. Our method also establishes that rectifiable boundaries of sets of finite perimeter in the hyperbolic space with constant distributional mean curvature are finite unions of possibly mutually tangent geodesic spheres
Immunization in an affine term structure framework
No full textIn this work I deal with affine term structure models (ATSM), namely models where the valuation function P of a default-free zero-coupon bond (ZCB) is exponentially affine in a vector of stochastic state variables (or risk factors). After a short introduction to ATSMs, I will deal with ZCB's portfolio multifactor immunization. Non trivial problems arise. No special difficulties appears in finding a suitable immunization strategy in one factor models, but all become hard to deal withas soon as the dimensions of the model grow. The problem may admit no solution even with two factors only
A Rényi-type quasimetric with random interference detection
No full textThis paper introduces a new dissimilarity measure between two discrete and finite probability distributions. The followed approach is grounded jointly on mixtures of probability distributions and an optimization procedure. We discuss the clear interpretation of the constitutive elements of the measure under an information-theoretical perspective by also highlighting its connections with the Renyi divergence of infinite order. Moreover, we show how the measure describes the inefficiency in assuming that a given probability distribution coincides with a benchmark one by giving formal writing of the random interference between the considered probability distributions. We explore the properties of the considered tool, which are in line with those defining the concept of quasimetric-i.e. a divergence for which the triangular inequality is satisfied. As a possible usage of the introduced device, an application to rare events is illustrated. This application shows that our measure may be suitable in cases where the accuracy of the small probabilities is a relevant matter
Comentarios bibliográficos
No full textComentario bibliográfico de la obra "Historia económica mundial: relaciones económicas internacionales desde 1850" (2a. ed.) de James Foreman-Peck, México, Prentice Hall Hispanoamericana, 1996. Comentario bibliográfico de la obra "Metodología de las Ciencias Sociales" de Esther Díaz, Buenos Aires, Biblos, 1997.Fil: López Crespi, Mario Luis. Universidad Nacional de Mar del Plata. Facultad de Ciencias Económicas y Sociales; Argentina.Fil: Maggi, Adela. Universidad Nacional de Mar del Plata. Facultad de Ciencias Económicas y Sociales; Argentina
A characterization of S-shaped utility functions displaying loss aversion
No full textThis paper deals with utility (or value) function for reference dependent models. A new characterization of S-shaped utility functions displaying loss aversion is put forward. Then it is used to analyze some standard forms commonly used in the literature. It is shown that, unless some parameters' restrictions are imposed, power and exponential S-shaped utilities can lead to prefer fair symmetric games to the status quo and do not display loss aversion. Finally two new examples of simple S-shaped utility functions exhibiting loss aversion are presented
Classes of probability measures built on the properties of Benford’s law
No full textBenford’s law is a particular discrete probability distribution that is often satisfed
by the signifcant digits of a dataset. The nonconformity with Benford’s law suggests
the possible presence of data manipulation. This paper introduces two novel generalized versions of Benford’s law that are less restrictive than the original Benford’s
law—hence, leading to more probable conformity of a given dataset. Such generalizations are grounded on the existing mathematical relations between Benford’s
law probability distribution elements. Moreover, one of them leads to a set of probability distributions that is a proper subset of that of the other one. We show that the
considered versions of Benford’s law have a geometric representation on the threedimensional Euclidean space. Through suitable optimization models, we show that
all the probability distributions satisfying the more restrictive generalization exhibit
at least acceptable conformity with Benford’s law, according to the most popular
distance measures. We also present some examples to highlight the practical usefulness of the introduced devices
Loss aversion and perceptual risk aversion
No full textWe prove that, in cumulative prospect theory, the weak loss aversion for S-shaped value functions is equivalent to a notion of risk aversion that we define from the perceptual point of view. No additional assumption or condition on the probability distortion is needed.
It is demonstrated that a power S-shaped value function does not satisfy weak loss aversion, i.e., a decision maker is risk seeking with respect to some mixed sign lotteries
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