搜索结果: 1-14 共查到“经济学 U-functions”相关记录14条 . 查询时间(0.078 秒)
General Balance Functions in the Theory of Interest
balance function investment project internal rate of return
2012/9/14
We develop an axiomatic theory of balance functions (future value functions) in the theory of interest that is derived from financial considerations and which applies to general regulated payment stre...
Involving copula functions in Conditional Tail Expectation
Conditional tail expectation Copulas Dependence concepts Risk measure Capital requirement Heavy-tailed distributions
2012/6/5
We discuss a new notion of risk measures that preserve the property of coherence called Copula Conditional Tail Expectation (CCTE). This measure describes the expected amount of risk that can be exper...
SUBSTITUTION POSSIBILITIES FOR UNPRICED NATURAL RESOURCES: RESTRICTED COST FUNCTIONS FOR THE CANADIAN METAL MINING INDUSTRY
economic growth natural resources restricted cost functions
2011/10/4
The effects of resource depletion on economic growth depend critically on the elasticities of substitution between non-renewable natural resources and reproducible inputs. Estimation of the elasticiti...
The influence of the Slovak household income differentiation on food expenditures ?the Engel抯 expenditures functions estimation --
food expenditures food groups Engel抯 expenditure function household income groups
2014/2/27
The economy of the Slovak Republic, as a part of the European economic area, is significantly determined by the world globalization process. One of the aspects, which globalization brings, is the soci...
Log-supermodularity of weight functions and the loading monotonicity of weighted insurance premiums
Insurance premium Weighted premium Weighted distribution
2010/10/21
The paper is motivated by a problem concerning the monotonicity of insurance premiums with respect to their loading parameter: the larger the parameter, the larger the insurance premium is expected to...
Prediction accuracy and sloppiness of log-periodic functions
Prediction accuracy sloppiness log-periodic functions
2010/10/20
We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combination...
Smooth Value Functions for a Class of Nonsmooth Utility Maximization Problems
nonsmooth utility maximization classical solution to HJB equation smooth
2010/10/20
In this paper we prove that there exists a smooth classical solution to the HJB equation for a large class of constrained problems with utility functions that are not necessarily differentiable or st...
Optimal investment with bounded VaR for power utility functions
VaR power utility functions
2010/10/18
We consider the optimal investment problem for Black-Scholes type financial market with bounded VaR measure on the whole investment interval $[0,T]$. The explicit form for the optimal strategies is f...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Risk measures Utility functions Nonexpected utility theory Maxmin Conditional Value-at-Risk Loss aversion
2010/11/1
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expect...
Aggregation in Incomplete Market with General Utility Functions
Aggregation constrained Pareto optimal incomplete market
2011/4/2
This paper tackles the "aggregation problem" for stochastic economies with possibly incomplete market. An "aggregation theorem" is proved towards an analytic construction of the representative agent’s...
Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
Call and put pricing functions Implied volatility Asymptotic formulas Pareto-type distributions Regularly varying functions
2010/11/1
In this paper, we obtain asymptotic formulas with error estimates for the implied volatility
associated with a European call pricing function. We show that these formulas imply Lee’s moment formulas ...
Continuous growth models in terms of generalized logarithm and exponential functions
Continuous growth models generalized logarithm exponential functions
2010/12/17
Consider the one-parameter generalizations of the logarithmic and exponential functions which are obtained from the integration of non-symmetrical hyperboles. These generalizations coincide to the on...
Price transmission and estimations of price elasticity of secondary demand functions: application on commodity market for food grains
price transmission elasticity of price transmission consumer demand for bakery products and flour direct price elasticity of consumer demand direct price elasticity of secondary demand
2014/3/20
The paper is focused on the quantitative analysis of the price transmission and on its use for the estimations of the direct price elasticity of the vertical-derived demand functions. The price transm...