Search results for "jel:C61"
showing 7 items of 7 documents
A Unified Approach to Portfolio Optimization with Linear Transaction Costs
2004
In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…
Monotone Concave Operators: An application to the existence and uniqueness of solutions to the Bellman equation
2008
We propose a new approach to the issue of existence and uniqueness of solutions to the Bellman equation, exploiting an emerging class of methods, called monotone map methods, pioneered in the work of Krasnosel’skii (1964) and Krasnosel’skii-Zabreiko (1984). The approach is technically simple and intuitive. It is derived from geometric ideas related to the study of fixed points for monotone concave operators defined on partially order spaces.
- SHADOW PRICES AND DISTANCE FUNCTIONS: AN ANALYSIS FOR FIRMS OF THE SPANISH CERAMIC PAVEMENTS INDUSTRY.
1999
This paper deals with the calculation of shadow prices for two industrial wastes generated on their production processes by a sample of eighteen firms belonging to the Spanish ceramic pavements industry. These prices are used to construct a corrected index of productivity which allows for considering wastes going with the production of marketable goods. It is followed the ethodologicalapproach first proposed by Färe, Grosskopf, Lovell y Yaisawarng (1993), which establishes a duality between distance and revenue functions. The shadow prices obtained for watery muds and used oils allow to measure in terms of a loss of marketable output the cost of achieving a marginal reduction in the product…
European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs
2003
Abstract In this paper we provide a systematic treatment of the utility based option pricing and hedging approach in markets with both fixed and proportional transaction costs: we extend the framework developed by Davis et al. (SIAM J. Control Optim., 31 (1993) 470) and formulate the option pricing and hedging problem. We propose and implement a numerical procedure for computing option prices and corresponding optimal hedging strategies. We present a careful analysis of the optimal hedging strategy and elaborate on important differences between the exact hedging strategy and the asymptotic hedging strategy of Whalley and Wilmott (RISK 7 (1994) 82). We provide a simulation analysis in order …
Can we be satisfied with our football team? Evidence from spanish professional football.
2009
This article assesses the sporting performance of Spanish professional football teams at competition level, namely, League, King’s Cup, and European competitions (Champions League and Union of European Football Associations [UEFA] Cup). Then, the gap between the result obtained by a team at the end of a season and that expected according to its potential is used as a proxy of the degree of satisfaction that fans should feel: the narrower the gap the greater the level of satisfaction. Regarding methodology, Data Envelopment Analysis techniques and directional distance functions are used. Results reveal that most teams perform rather differently across competitions, the lower average performa…
Pragmatic languages with universal grammars
2012
Abstract This paper constructs the equilibrium for a specific code that can be seen as a “universal grammar” in a class of common interest Sender–Receiver games where players communicate through a noisy channel. We propose a Senderʼs signaling strategy which does not depend on either the game payoffs or the initial probability distribution. The Receiverʼs strategy partitions the set of possible sequences into subsets, with a single action assignment to each of them. The Senderʼs signaling strategy is a Nash equilibrium, i.e. when the Receiver responds best to the Senderʼs strategy, the Sender has no incentive to deviate. An example shows that a tie-breaking decoding is crucial for the block…
Growth vs. level effect of population change on economic development: An inspection into human-capital-related mechanisms
2011
ACL-1; International audience; This paper studies the different mechanisms and the dynamics through which demography is channeled to the economy. We analyze the role of demographic changes in the economic development process by studying the transitional and the long-run impact of both the rate of population growth and the initial population size on the levels of per capita human capital and income. We do that in an enlarged Lucas–Uzawa model with intergenerational altruism. In contrast to the existing theoretical literature, the long-run level effects of demographic changes, i.e. their impact on the levels of the variables along the balanced growth path, are deeply characterized in addition…