1,720,999 research outputs found
Robust portfolio decisions for financial institutions
No full textThe present paper aims to study a robust-entropic optimal control problem arising in the management of financial institutions. More precisely, we consider an economic agent who manages the portfolio of a financial firm. The manager has the possibility to invest part of the firm's wealth in a classical Black-Scholes type financial market, and also, as the firm is exposed to a stochastic cash flow of liabilities, to proportionally transfer part of its liabilities to a third party as a means of reducing risk. However, model uncertainty aspects are introduced as the manager does not fully trust the model she faces, hence she decides to make her decision robust. By employing robust control and dynamic programming techniques, we provide closed form solutions for the cases of the (i) logarithmic; (ii) exponential and (iii) power utility functions. Moreover, we provide a detailed study of the limiting behavior, of the associated stochastic differential game at hand, which, in a special case, leads to break down of the solution of the resulting Hamilton-Jacobi-Bellman-Isaacs equation. Finally, we present a detailed numerical study that elucidates the effect of robustness on the optimal decisions of both players
Optimal agglomerations in dynamic economics
No full textWe study rational expectations equilibrium problems and social optimum problems in infinite horizon spatial economies in the context of a Ramsey type capital accumulation problem with geographical spillovers. We identify sufficient local and global conditions for the emergence (or not) of optimal agglomeration, using techniques from monotone operator theory and spectral theory in infinite dimensional Hilbert spaces. We show that agglomerations may emerge, with any type of returns to scale (increasing or decreasing) and with the marginal productivity of private capital increasing or decreasing with respect to the spatial externality. This is a fairly general result indicating the importance of the network structure of the spatial externality relative to the properties of the aggregate production function. Our analytical methods can be used to systematically study optimal potential agglomeration and clustering in dynamic economics. © 2014 Elsevier B.V
Spatial externalities and agglomeration in a competitive industry
No full textWe introduce spatial spillovers as an externality in the production function of competitive firms operating within a finite spatial domain under adjustment costs. Spillovers may attenuate with distance and the overall externality could contain positive and negative components with the overall effect being positive. We show that when the spatial externality is not internalized by firms, spatial agglomerations may emerge endogenously in a competitive equilibrium. The result does not require increasing returns at the private or the social level, increasing marginal productivity of private capital with respect to the externality, or location advantages. In fact agglomerations may emerge with decreasing returns to scale, declining marginal productivity of private capital with respect to the externality, and no location advantage. The result depends on the interactions between the structures of production technology and spatial effects as shown in the paper. No agglomerations emerge at the social optimum when spillovers are internalized and diminishing returns both from the private and the social point of view prevail. Numerical experiments with Cobb-Douglas and CES technologies and an isoelastic demand confirm our theoretical predictions. © 2014 Elsevier B.V
RandONets: Shallow networks with random projections for learning linear and nonlinear operators
Full text linkDecision Making Under Model Uncertainty: Fréchet–Wasserstein Mean Preferences
Full text linkAbstract. This paper contributes to the literature on decision making under multiple probabilitymodels
by studying a class of variational preferences. These preferences are defined in
terms of Fr echet mean utility functionals, which are based on the Wasserstein metric in the
space of probabilitymodels. In order to produce ameasure that is the “closest” to all probabilitymodels
in the given set,we find the barycenter of the set. We derive explicit expressions
for the Fr echet–Wasserstein mean utility functionals and show that they can be expressed in
terms of an expansion that provides a tractable link between risk aversion and ambiguity
aversion. The proposed utility functionals are illustrated in terms of two applications. The
first application allows us to define the social discount rate under model uncertainty. In the
second application, the functionals are used in risk securitization. The barycenter in this case
can be interpreted as themodel thatmaximizes the probability that different decisionmakers
will agree on,which could be useful for designing and pricing a catastrophe bond
Robust control of parabolic stochastic partial differential equations under model uncertainty
No full textThe present paper is devoted to the study of robust control problems of parabolic stochastic partial differential equations under model uncertainty. To be more precise, the robust control problem under investigation is expressed as a stochastic differential game in a real separable infinite dimensional Hilbert space. By resorting to the theory of mild solutions, we prove that the elliptic partial differential equation associated with the problem at hand, also known as the Hamilton-Jacobi-Bellman-Isaacs equation, admits a unique solution, which is the value function of the game. Furthermore, we investigate the problem of existence of an optimal control pair that satisfies a saddle point property. Finally, as a demonstration of the proposed approach, we apply our results to the study of a certain robust control problem arising in the spatiotemporal management of natural resources
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
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