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Author : Luigi Montrucchio
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-type written by Luigi Montrucchio and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Luigi Montrucchio
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (535 download)
Download or read book On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-type written by Luigi Montrucchio and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Luigi Montrucchio
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (849 download)
Download or read book On Fragilitiy of Bubbles in Equilibrium Asset Pricing Models of Lucas-type written by Luigi Montrucchio and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : S. K. Neogy
Publisher : World Scientific
ISBN 13 : 9812813225
Total Pages : 498 pages
Book Rating : 4.8/5 (128 download)
Download or read book Mathematical Programming and Game Theory for Decision Making written by S. K. Neogy and published by World Scientific. This book was released on 2008 with total page 498 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited book presents recent developments and state-of-the-art review in various areas of mathematical programming and game theory. It is a peer-reviewed research monograph under the ISI Platinum Jubilee Series on Statistical Science and Interdisciplinary Research. This volume provides a panoramic view of theory and the applications of the methods of mathematical programming to problems in statistics, finance, games and electrical networks. It also provides an important as well as timely overview of research trends and focuses on the exciting areas like support vector machines, bilevel programming, interior point method for convex quadratic programming, cooperative games, non-cooperative games and stochastic games. Researchers, professionals and advanced graduates will find the book an essential resource for current work in mathematical programming, game theory and their applications. Sample Chapter(s). Foreword (45 KB). Chapter 1: Mathematical Programming and its Applications in Finance (177 KB). Contents: Mathematical Programming and Its Applications in Finance (L C Thomas); Anti-Stalling Pivot Rule for Linear Programs with Totally Unimodular Coefficient Matrix (S N Kabadi & A P Punnen); A New Practically Efficient Interior Point Method for Convex Quadratic Programming (K G Murty); A General Framework for the Analysis of Sets of Constraints (R Caron & T Traynor), Tolerance-Based Algorithms for the Traveling Salesman Problem (D Ghosh et al.); On the Membership Problem of the Pedigree Polytope (T S Arthanari); Exact Algorithms for a One-Defective Vertex Colouring Problem (N Achuthan et al.); Complementarity Problem Involving a Vertical Block Matrix and Its Solution Using Neural Network Model (S K Neogy et al.); Fuzzy Twin Support Vector Machines for Pattern Classification (R Khemchandani et al.); An Overview of the Minimum Sum of Absolute Errors Regression (S C Narula & J F Wellington); Hedging Against the Market with No Short Selling (S A Clark & C Srinivasan); Mathematical Programming and Electrical Network Analysis II: Computational Linear Algebra Through Network Analysis (H Narayanan); Dynamic Optimal Control Policy in Price and Quality for High Technology Product (A K Bardhan & U Chanda); Forecasting for Supply Chain and Portfolio Management (K G Murty); Variational Analysis in Bilevel Programming (S Dempe et al.); Game Engineering (R J Aumann); Games of Connectivity (P Dubey & R Garg); A Robust Feedback Nash Equilibrium in a Climate Change Policy Game (M Hennlock); De Facto Delegation and Proposer Rules (H Imai & K Yonezaki); The Bargaining Set in Effectivity Function (D Razafimahatolotra); Dynamic Oligopoly as a Mixed Large Game OCo Toy Market (A Wiszniewska-Matyszkiel); On Some Classes of Balanced Games (R B Bapat); Market Equilibrium for Combinatorial Auctions and the Matching Core of Nonnegative TU Games (S Lahiri); Continuity, Manifolds, and Arrow''s Social Choice Problem (K Saukkonen); On a Mixture Class of Stochastic Games with Ordered Field Property (S K Neogy). Readership: Researchers, professionals and advanced students in mathematical programming, game theory, management sciences and computational mathematics.
Author : Anatoliy Malyarenko
Publisher : Springer Nature
ISBN 13 : 3031178203
Total Pages : 907 pages
Book Rating : 4.0/5 (311 download)
Download or read book Stochastic Processes, Statistical Methods, and Engineering Mathematics written by Anatoliy Malyarenko and published by Springer Nature. This book was released on 2023-01-26 with total page 907 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of the 2019 conference on Stochastic Processes and Algebraic Structures held in SPAS2019, Västerås, Sweden, from September 30th to October 2nd 2019, was to showcase the frontiers of research in several important areas of mathematics, mathematical statistics, and its applications. The conference was organized around the following topics 1. Stochastic processes and modern statistical methods,2. Engineering mathematics,3. Algebraic structures and their applications. The conference brought together a select group of scientists, researchers, and practitioners from the industry who are actively contributing to the theory and applications of stochastic, and algebraic structures, methods, and models. The conference provided early stage researchers with the opportunity to learn from leaders in the field, to present their research, as well as to establish valuable research contacts in order to initiate collaborations in Sweden and abroad. New methods for pricing sophisticated financial derivatives, limit theorems for stochastic processes, advanced methods for statistical analysis of financial data, and modern computational methods in various areas of applied science can be found in this book. The principal reason for the growing interest in these questions comes from the fact that we are living in an extremely rapidly changing and challenging environment. This requires the quick introduction of new methods, coming from different areas of applied science. Advanced concepts in the book are illustrated in simple form with the help of tables and figures. Most of the papers are self-contained, and thus ideally suitable for self-study. Solutions to sophisticated problems located at the intersection of various theoretical and applied areas of the natural sciences are presented in these proceedings.
Author : Pennsylvania
Publisher :
ISBN 13 :
Total Pages : 1032 pages
Book Rating : 4.0/5 (531 download)
Download or read book Journal of Economic Theory written by Pennsylvania and published by . This book was released on 2001 with total page 1032 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Journal of Economic Theory written by and published by . This book was released on 2000 with total page 616 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 812 pages
Book Rating : 4.3/5 (91 download)
Download or read book Mathematical Reviews written by and published by . This book was released on 2002 with total page 812 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ms.Anna Scherbina
Publisher : International Monetary Fund
ISBN 13 : 1475515294
Total Pages : 41 pages
Book Rating : 4.4/5 (755 download)
Download or read book Asset Price Bubbles written by Ms.Anna Scherbina and published by International Monetary Fund. This book was released on 2013-02-21 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. Unlike the standard rational models, the new literature is able to model the common characteristics of historical bubble episodes and offer insights for how bubbles are initiated and sustained, the reasons they burst, and why arbitrage forces do not routinely step in to squash them. The latest U.S. real estate bubble is described in the context of this literature.
Author : Bibliothèque centrale (Fonds Quetelet)
Publisher :
ISBN 13 :
Total Pages : 716 pages
Book Rating : 4.F/5 ( download)
Download or read book Aanwinsten van de Centrale Bibliotheek (Queteletfonds) written by Bibliothèque centrale (Fonds Quetelet) and published by . This book was released on 2002 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : João Brogueira
Publisher :
ISBN 13 :
Total Pages : 11 pages
Book Rating : 4.:/5 (931 download)
Download or read book Existence and Uniqueness of Equilibrium in Lucas' Asset Pricing Model when Utility is Unbounded written by João Brogueira and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Rational and Near-rational Bubbles Without Drift written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper derives a general class of intrinsic rational bubble solutions in a standard Lucas-type asset pricing model. I show that the rational bubble component of the price-dividend ratio can evolve as a geometric random walk without drift. The volatility of bubble innovations depends exclusively on fundamentals. Starting from an arbitrarily small positive value, the rational bubble expands and contracts over time in an irregular, wholly endogenous fashion, always returning to the vicinity of the fundamental solution. I also examine a near-rational solution in which the representative agent does not construct separate forecasts for the fundamental and bubble components of the asset price. Rather, the agent constructs only a single forecast for the total asset price that is based on a geometric random walk without drift. The agent's forecast rule is parameterized to match the moments of observable data. In equilibrium, the actual law of motion for the price-dividend ratio is stationary, highly persistent, and nonlinear. The agent's forecast errors exhibit near-zero autocorrelation at all lags, making it difficult for the agent to detect a misspecification of the forecast rule. Unlike a rational bubble, the near-rational solution allows the asset price to occasionally dip below its fundamental value. Under mild risk aversion, the near-rational solution generates pronounced low-frequency swings in the price-dividend ratio, positive skewness, excess kurtosis, and time-varying volatility--all of which are present in long-run U.S. stock market data. An independent contribution of the paper is to demonstrate an approximate analytical solution for the fundamental asset price that employs a nonlinear change of variables.
Author : Willem H. Buiter
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (129 download)
Download or read book Efficient "Myopic" Asset Pricing in General Equilibrium written by Willem H. Buiter and published by . This book was released on 2010 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excess volatility tests for financial market efficiency maintain the hypothesis of risk-neutrality. This permits the specification of the benchmark efficient market price as the present discounted value of expected future dividends. By departing from the risk-neutrality assumption in a stripped-down version of Lucas's general equilibrium asset pricing model, I show that asset prices determined in a competitive asset market and efficient by construction can nevertheless violate the variance bounds established under the assumption of risk neutrality. This can occur even without the problems of non-stationarity (including bubbles) and finite samples. Standard excess volatility tests are joint tests of market efficiency and risk neutrality. Failure of an asset price to pass the test may be due to the absence of risk neutrality rather than to market inefficiency.
Author : M. Hashem Pesaran
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.:/5 (292 download)
Download or read book Equilibrium Asset Pricing Models and Predictability of Excess Returns written by M. Hashem Pesaran and published by . This book was released on 1993 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jaume Ventura
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (318 download)
Download or read book Bubbles and Capital Flows written by Jaume Ventura and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a stylized model of international trade and asset price bubbles. Its central insight is that bubbles tend to appear and expand in countries where productivity is low relative to the rest of the world. These bubbles absorb local savings, eliminating inefficient investments and liberating resources that are in part used to invest in high productivity countries. Through this channel, bubbles act as substitute for international capital flows, improving the international allocation of investment and reducing rate-of-return differentials across countries. This view of asset price bubbles has important implications for the way we think about economic growth and fluctuations. It also provides a simple account of some real world phenomenae that have been difficult to model before, such as the recurrence and depth of financial crises or their puzzling tendency to propagate across countries
Author :
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (933 download)
Download or read book Equilibrium Asset Pricing Models and Predictability of Excess Returns written by and published by . This book was released on 1991 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (13 download)
Download or read book Asset Price Bubbles, Market Liquidity and Systemic Risk written by Robert A. Jarrow and published by . This book was released on 2019 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies an equilibrium model with heterogeneous agents, asset price bubbles, and trading constraints. Market liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when trading constraints are more binding. Systemic risk is defined as an unanticipated shock that results in the nonexistence of an equilibrium in the economy. A realization of systemic risk results in a significant loss of wealth. Systemic risk increases as: (i) the fraction of agents seeing an asset price bubble increases, (ii) as the market becomes more illiquid, and (iii) as trading constraints are relaxed.
