1,720,987 research outputs found
Utility maximization in incomplete markets for unbounded processes
No full textWhen the price processes of the financial assets are described by possibly unbounded semimartingales, the classical concept of admissible trading strategies may lead to a trivial utility maximization problem because the set of stochastic integrals bounded from below may be reduced to the zero process. However, it could happen that the investor is willing to trade in such a risky market, where potential losses are unlimited, in order to increase his/her expected utility. We translate this attitude into mathematical terms by employing a class of W-admissible trading strategies which depend on a loss random variable W. These strategies enjoy good mathematical properties and the losses they could generate in trading are compatible with the preferences of the agent. We formulate and analyze by duality methods the utility maximization problem on the new domain . We show that, for all loss variables W contained in a properly identified set , the optimal value on the class is constant and coincides with the optimal value of the maximization problem over a larger domain The class does not depend on a single but it depends on the utility function u through its conjugate function . By duality methods we show that the solution exists in and can be represented as a stochastic integral that is a uniformly integrable martingale under the minimax measure. We provide an economic interpretation of the larger class and analyze some examples to show that this enlargement of the class of trading strategies is indeed necessary. Copyright Springer-Verlag Berlin/Heidelberg 2005utility maximization, unbounded semimartingale, incomplete markets, -martingale measure, arbitrage and preferences, convex duality,
On the super replication price of unbounded claims
No full textIn an incomplete market the price of a claim f in general can not be uniquely identified by no arbitrage arguments. However, the "classical" super-replication price is a sensible indicator of the (maximum selling) value of the claim. When f satisfies certain pointwise conditions (e.g. f is bounded from below), the super-replication price is equal to sup_{Q}E_{Q}[f], where Q varies on the whole set of pricing measures. Unfortunately, this price is often too high: a typical situation is here discussed in the examples.
We thus define the less expensive weak super-replication price and we relax the requirements on f by asking just for "enough" integrability conditions.
By building up a proper duality theory, we show its economic meaning and its relation with the investor's preferences. Indeed, it turns out that the weak super-replication price of f coincides with sup_{Q∈M_{Φ}}E_{Q}[f], where M_{Φ} is the class of pricing measures with finite generalized entropy (i.e. E[Φ(((dQ)/(dP)))]<∞) and where Φ is the convex conjugate of the utility function of the investor
The supermartingale property of the optimal wealth process for general semimartingales
No full textUtility maximization, Non locally bounded semimartingale, Duality methods, Optimal wealth process, σ-martingale measure, 60G42, 60G44, G11, G12, G13,
Indifference price with general semimartingales
Full text linkUsing duality methods, we prove several key properties of the indifference price π for
contingent claims. The underlying market model is very general and the mathematical
formulation is based on a duality naturally induced by the problem. In particular, the
indifference price π turns out to be a convex risk measure on the Orlicz space induced
by the utility function
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe 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
Full text link“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
Full text linkWe 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
Full text linkWe 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
- …
