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We study the problem of optimally hedging exotic derivatives positions using a combination of dynamic trading strategies in underlying stocks and static positions in vanilla options when the performance is quantified by a convex risk measure. We establish conditions for the existence of an optimal static position for general convex risk measures, and then analyze in detail the case of shortfall risk with a power loss function. Here we find conditions for uniqueness of the static hedge. We illustrate the computational challenge of computing the market-adjusted risk measure in a simple diffusion model for an option on a non-traded asset. 相似文献
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?ukasz Delong 《Insurance: Mathematics and Economics》2010,47(3):278-293
In this paper we investigate an asset-liability management problem for a stream of liabilities written on liquid traded assets and non-traded sources of risk. We assume that the financial market consists of a risk-free asset and a risky asset which follows a geometric Lévy process. The non-tradeable factor (insurance risk or default risk) is driven by a step process with a stochastic intensity. Our framework allows us to consider financial risk, systematic and unsystematic insurance loss risk (including longevity risk), together with possible dependencies between them. An optimal investment strategy is derived by solving a quadratic optimization problem with a terminal objective and a running cost penalizing deviations of the insurer’s wealth from a specified profit-solvency target. Techniques of backward stochastic differential equations and the weak property of predictable representation are applied to obtain the optimal asset allocation. 相似文献
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《Insurance: Mathematics and Economics》2011,48(3):278-293
In this paper we investigate an asset–liability management problem for a stream of liabilities written on liquid traded assets and non-traded sources of risk. We assume that the financial market consists of a risk-free asset and a risky asset which follows a geometric Lévy process. The non-tradeable factor (insurance risk or default risk) is driven by a step process with a stochastic intensity. Our framework allows us to consider financial risk, systematic and unsystematic insurance loss risk (including longevity risk), together with possible dependencies between them. An optimal investment strategy is derived by solving a quadratic optimization problem with a terminal objective and a running cost penalizing deviations of the insurer’s wealth from a specified profit-solvency target. Techniques of backward stochastic differential equations and the weak property of predictable representation are applied to obtain the optimal asset allocation. 相似文献
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Noel D. Uri 《Applied Mathematical Modelling》1983,7(6):399-404
This study examines the empirical basis for the suggestion that both disembodied technical progress and embodied technical progress in the capital stock and in labour have been important in the United States in the period 1947–1980. The results obtained by using a constant elasticity of substitution production function suggest that disembodied technical progress has been about 3% per year, embodied technical progress in the capital stock is in the neighbourhood of 3 to 4% annually and educational attainment significantly enhances labour productivity. Finally, when the structural stability of the underlying production relationship is examined, the period 1971–1980 gives rise to some inconsistency. 相似文献
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We study the problem of optimal timing to buy/sell derivatives by a risk-averse agent in incomplete markets. Adopting the exponential utility indifference valuation, we investigate this timing flexibility and the associated delayed purchase premium. This leads to a stochastic control and optimal stopping problem that combines the observed market price dynamics and the agent??s risk preferences. Our results extend recent work on indifference valuation of American options, as well as the authors?? first paper (Leung and Ludkovski, SIAM J Finan Math 2(1) 768?C793, 2011). In the case of Markovian models of contracts on non-traded assets, we provide analytical characterizations and numerical studies of the optimal purchase strategies, with applications to both equity and credit derivatives. 相似文献
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考虑休闲的技术进步模型 总被引:2,自引:0,他引:2
本文研究了一个考虑休闲的一般内生技术增长模型,并对模型在一般意义下进行了均衡分析与动态分析,我们得出的结论是社会达到最优化时全社会都参与到生产发展及技术研究中去。 相似文献
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经济增长与技术进步的关系历来是国内外学者关心的热门问题.本文研究了经济增长与技术进步的关系,总结了技术进步的测算方法,提出了一个基于投资控制模型的测算技术进步的方法. 相似文献
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D.R. Goossens A.J.T. Maas F.C.R. Spieksma J.J. van de Klundert 《European Journal of Operational Research》2007
In this paper, we study the procurement problem faced by a buyer who needs to purchase a variety of goods from suppliers applying a so-called total quantity discount policy. This policy implies that every supplier announces a number of volume intervals and that the volume interval in which the total amount ordered lies determines the discount. Moreover, the discounted prices apply to all goods bought from the supplier, not only to those goods exceeding the volume threshold. We refer to this cost-minimization problem as the total quantity discount (TQD) problem. We give a mathematical formulation for this problem and argue that not only it is NP-hard, but also that there exists no polynomial-time approximation algorithm with a constant ratio (unless P = NP). Apart from the basic form of the TQD problem, we describe four variants. In a first variant, the market share that one or more suppliers can obtain is constrained. Another variant allows the buyer to procure more goods than strictly needed, in order to reach a lower total cost. We also consider a setting where the buyer needs to pay a disposal cost for the extra goods bought. In a third variant, the number of winning suppliers is limited, both in general and per product. Finally, we investigate a multi-period variant, where the buyer not only needs to decide what goods to buy from what supplier, but also when to do this, while considering the inventory costs. We show that the TQD problem and its variants can be solved by solving a series of min-cost flow problems. Finally, we investigate the performance of three exact algorithms (min-cost flow based branch-and-bound, linear programming based branch-and-bound, and branch-and-cut) on randomly generated instances involving 50 suppliers and 100 goods. It turns out that even the large instances of the basic problem are solved to optimality within a limited amount of time. However, we find that different algorithms perform best in terms of computation time for different variants. 相似文献
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物联网的发展已经成为我国实现经济转型的有力支撑,但其发展过程中呈现的波动性问题仍亟需深入研究.从效率的角度,对我国19家物联网公司的发展状况进行了研究.首先,运用DEA模型测算了19家公司2013-2015年的技术效率、纯技术效率、规模效率以及各公司的规模收益状况.计算结果表明物联网上市公司的效率在整体上呈现上升趋势,只有同方股份在三年内规模收益状况为递减.其次,运用DEA-Malmquist测算了19家公司的技术效率变化指数、技术进步指数、纯技术效率变化指数、规模效率变化指数和全要素生产率变化指数.结果表明,技术进步指数低是制约这19家公司生产力发展的关键问题.最后,运用Tobit regression分析了11项财务指标对技术效率、纯技术效率以及规模效率影响的显著性,得出财务指标对规模效率存在显著影响.基于效率和影响因素分析的实际,为物联网上市公司的发展提供合理的建议,推动我国物联网产业实现良性有序发展. 相似文献
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During the late 1970s and 1980s, volatility in the demand for natural gas in the United States created havoc in the industry's transmission sector. Managers of firms were presented with the task of improving productive efficiency in an uncertain and regulated industry. We measure the relative performance of 20 pipelines, using Data Envelopment Analysis (DEA) to produce a regulation constrained minimum cost frontier. With the results we construct a Fisher Productivity Index (FPI). Results show that despite productive efficiency decline for most years, most firms experienced improvement in technical efficiency and technical progress in most years. Most of the productive efficiency decline was due to scale diseconomies. 相似文献
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Michael Monoyios 《Applied Mathematical Finance》2013,20(6):519-551
Abstract We analyse the valuation and hedging of a claim on a non-traded asset using a correlated traded asset under a partial information scenario, when the asset drifts are unknown constants. Using a Kalman filter and a Gaussian prior distribution for the unknown parameters, a full information model with random drifts is obtained. This is subjected to exponential indifference valuation. An expression for the optimal hedging strategy is derived. An asymptotic expansion for small values of risk aversion is obtained via partial differentiation equation (PDE) methods, following on from payoff decompositions and a price representation equation. Analytic and semi-analytic formulae for the terms in the expansion are obtained when the minimal entropy measure coincides with the minimal martingale measure. Simulation experiments are carried out which indicate that the filtering procedure can be beneficial in hedging, but sometimes needs to be augmented with the increased option premium, which takes into account parameter uncertainty in order to be effective. Empirical examples are presented which conform to these conclusions. 相似文献
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Fair division has long been an important problem in the economics literature. In this note, we consider the existence of proportionally fair allocations of indivisible goods, i.e., allocations of indivisible goods in which every agent gets at least her proportionally fair share according to her own utility function. We show that when utilities are additive and utilities for individual goods are drawn independently at random from a distribution, proportionally fair allocations exist with high probability if the number of goods is a multiple of the number of agents or if the number of goods grows asymptotically faster than the number of agents. 相似文献
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Richard C. Stapleton Dan B. Hemmings Harry H. Scholefield 《The Journal of the Operational Research Society》1972,23(1):45-59
In this paper the effects of technical change on the optimal lives of assets are explored. The generality of the dynamic programming approach to the problem of optimal asset life determination is contrasted with the traditional and highly restrictive "equal life" solution. Some of the possible effects of different forms of technical change on costs are examined and numerical examples of these are solved by dynamic programming to illustrate the consequences for the optimal lives of assets. We hypothesize that the likely effect of technical progress is a lengthening of the optimal replacement cycle. 相似文献
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In this paper, we measure productivity growth of the information and computing technology (ICT) industries in 14 Organization for Economic Cooperation and Development countries over the 13-year period of 1978–1990. The ICT industries are the providers of essential information technology (IT) capital goods. This macro-level analysis seeks to find out how productively such IT capital goods are provided. The basic unit of analysis employed is the Malmquist Total Factor Productivity (TFP) index. The Malmquist TFP index is then decomposed into three constituent elements accounting for different sources of productivity growth: technological progress, efficiency change, and change in economies of scale. The approach of measurement is based on the concept of distance functions and employs the non-parametric frontier method of data envelopment analysis. Our results indicate that each country's ICT industry manifests its own particular patterns in various performance measures. Among the 14 countries examined, 10 had witnessed productivity growth in their ICT industries. Overall, these ICT industries are found more productive than other industries when compared with previous research. Further analyses reveal that (1) most of the productivity growth measured is due to technological progress; (2) efficiency change exerts a relatively small positive effect on productivity growth; and (3) the change in scale economies unfavourably affects productivity for most countries. Finally, practical implications for formulating IT policy are drawn from our results, and topics are identified for future research. 相似文献
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Rajiv D. Banker Zhanwei Cao Nirup Menon Ram Natarajan 《Annals of Operations Research》2010,173(1):77-87
The fast growing U.S. mobile wireless industry has been experiencing dramatic technological change and substantial competition.
As a result of these catalysts, we argue that wireless firms have experienced significant productivity improvement and provide
new evidence that technological progress almost exclusively contributed to productivity improvements in the wireless industry
by significantly expanding the production possibilities set. We employ nonparametric estimation procedures based on Data Envelopment
Analysis (DEA) that utilize input-output data from a representative sample of 16 firms in the mobile wireless industry to
estimate productivity change, technological change, and relative efficiency change for the period spanning the years from
2000 to 2002. Our findings show that the industry experienced a significant growth of 13% in productivity, which was primarily
due to an average technological progress of 9.9% in the industry. Additionally, we find that national wireless operators experienced
significantly higher productivity growth and contributed more to technological progress than regional providers. Firms that
were industry pioneers as evidenced by high market share at the beginning of our sample period experienced higher productivity
growth and greater technological progress compared to firms with lower initial market share. Moreover, the industry experienced
significantly higher productivity growth and technical progress in the later sample period between 2001 and 2002 than in the
early period between 2000 and 2001. 相似文献
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