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Mathematics and Financial Economics

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Mathematics and Financial Economics

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    Article

    Household risk aversion and portfolio choices

    In practice, stock investment is one of the most important decisions made by households. The primary goal of this paper is to explain family investment decisions under the assumptions of household member’s pre...

    Weiwei Zhang in Mathematics and Financial Economics (2017)

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    Article

    Drawdown: from practice to theory and back again

    Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of measures o...

    Lisa R. Goldberg, Ola Mahmoud in Mathematics and Financial Economics (2017)

  3. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    Arbitrage without borrowing or short selling?

    We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has pe...

    Jani Lukkarinen, Mikko S. Pakkanen in Mathematics and Financial Economics (2017)

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    Article

    Option spanning beyond \(L_p\) -models

    The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in Galvani (J Math Econ 45(1):73–79, 2009)...

    N. Gao, F. Xanthos in Mathematics and Financial Economics (2017)

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    Article

    Optimal investment in markets with over and under-reaction to information

    In this paper we introduce a jump-diffusion model of shot-noise type for stock prices, taking into account over and under-reaction of the market to incoming news. We work in a partial information setting, by s...

    Giorgia Callegaro, M’hamed Gaïgi, Simone Scotti in Mathematics and Financial Economics (2017)

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    Article

    The effect of market power on risk-sharing

    The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a s...

    Michail Anthropelos in Mathematics and Financial Economics (2017)

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    Article

    Optimal investment with transaction costs under cumulative prospect theory in discrete time

    We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with transaction costs. The objective...

    Bin Zou, Rudi Zagst in Mathematics and Financial Economics (2017)

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    Article

    Additive portfolio improvement and utility-efficient payoffs

    How can individual financial contracts be improved in an additive manner, such that any portfolio comprising improved contracts is at least as attractive as the portfolio of original contracts? We show that an...

    Stefan Kassberger, Thomas Liebmann in Mathematics and Financial Economics (2017)

  9. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    Optimal mean-variance portfolio selection

    Assuming that the wealth process \(X^u\) X ...

    Jesper Lund Pedersen, Goran Peskir in Mathematics and Financial Economics (2017)

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    Article

    Optimal placement in a limit order book: an analytical approach

    This paper proposes and studies an optimal placement problem in a limit order book. Under a correlated random walk model with mean-reversion for the best ask/bid price, optimal placement strategies for both st...

    Xin Guo, Adrien de Larrard, Zhao Ruan in Mathematics and Financial Economics (2017)

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    Article

    On uniqueness of equilibrium in the Kyle model

    A longstanding unresolved question is whether the one-period Kyle model of an informed trader and a noisily informed market maker has an equilibrium that is different from the closed-form solution derived by K...

    A. McLennan, P. K. Monteiro, R. Tourky in Mathematics and Financial Economics (2017)

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    Article

    Hedging with temporary price impact

    We consider the problem of hedging a European contingent claim in a Bachelier model with temporary price impact as proposed by Almgren and Chriss (J Risk 3:5–39, 2001). Following the approach of Rogers and Singh ...

    Peter Bank, H. Mete Soner, Moritz Voß in Mathematics and Financial Economics (2017)

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    Article

    Existence of solutions in non-convex dynamic programming and optimal investment

    We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization in finite discrete time without assuming either convexity or coercivity of the objective function. We app...

    Teemu Pennanen, Ari-Pekka Perkkiö, Miklós Rásonyi in Mathematics and Financial Economics (2017)

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    Article

    The lifetime of a financial bubble

    We combine both a mathematical analysis of financial bubbles and a statistical procedure for determining when a given stock is in a bubble, with an analysis of a large data set, in order to compute the empiric...

    Yoshiki Obayashi, Philip Protter, Shihao Yang in Mathematics and Financial Economics (2017)

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    Article

    Diversification, protection of liability holders and regulatory arbitrage

    Any solvency regime for financial institutions should be aligned with the fundamental objectives of regulation: protecting liability holders and securing the stability of the financial system. The first object...

    Pablo Koch-Medina, Cosimo Munari, Mario Šikić in Mathematics and Financial Economics (2017)

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    Article

    The robust Merton problem of an ambiguity averse investor

    We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. Confidence is here represented using ellipsoidal uncerta...

    Sara Biagini, Mustafa Ç. Pınar in Mathematics and Financial Economics (2017)

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    Article

    Liquidity risk and optimal dividend/investment strategies

    In this paper, we study the problem of determining an optimal control on the dividend and investment policy of a firm operating under uncertain environment and risk constraints. We allow the company to make in...

    Etienne Chevalier, M’hamed Gaïgi, Vathana Ly Vath in Mathematics and Financial Economics (2017)

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    Article

    On optimal partitions, individual values and cooperative games: Does a wiser agent always produce a higher value?

    We consider an optimal partition of resources (e.g. consumers) between several agents, given utility functions (“wisdoms”) for the agents and their capacities. This problem is a variant of optimal transport (M...

    Gershon Wolansky in Mathematics and Financial Economics (2017)

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    Article

    On the equivalence of financial structures with long-term assets

    In a stochastic financial exchange economy, two financial structures are equivalent if, for each given state price, the marketable payoffs are identical for the associated asset prices. The key property of two...

    Jean-Marc Bonnisseau, Achis Chery in Mathematics and Financial Economics (2017)

  20. No Access

    Article

    Existence and uniqueness of a steady state for an OTC market with several assets

    We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE’s), in the spirit of Duffie-Gârleanu-Pedersen Duffie et al. (Econometrica 73(1):181...

    Alain Bélanger, Ndouné Ndouné in Mathematics and Financial Economics (2016)

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