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THE GRAVITY MODEL AND THE PROBLEM OF ZERO’S IN AGRIFOOD TRADE
Gravity model selection bias Agrifood Trade Heckman Selection Model marginal effects
2014/4/11
In the analysis of bilateral trade flows, reported trade of zero or missing observations are quite common and this is a problem when estimating log-linear gravity equations. This has caused many resea...
Asymptotics and Duality for the Davis and Norman Problem
Asymptotics Duality Davis Norman Problem
2010/10/22
We revisit the problem of maximizing expected logarithmic utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in the seminal p...
On a free boundary problem for an American put option under the CEV process
free boundary problem American option CEV process
2010/10/21
We consider an American put option under the CEV process. This corresponds to a free boundary problem for a PDE. We show that this free bondary satisfies a nonlinear integral equation, and analyze it ...
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. ...
Dissolving the Chimera of the ‘Adam Smith Problem’
Dissolving the Chimera Adam Smith Problem
2014/6/24
In The Wealth of Nations, Adam Smith set out his influential theory that societies achieve prosperity by securing the freedom of individuals to pursue their own endby the means they choose within a f...
We prove existence, regularity and a Feynman-Kaˇc representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian optio...
An explicit solution for an optimal stopping/optimal control problem which models an asset sale
explicit solution optimal stopping/optimal control problem models asset sale
2010/12/20
In this article we study an optimal stopping/optimal control problem which models the decision facing a risk-averse agent over when to sell an asset. The market is incomplete so that the asset exposu...
This paper considers the Merton portfolio management problem. We are concerned with non-exponential discounting of time and this leads to time inconsistencies of the decision maker. Following Ekeland...
The Problem of Modelling of Economic Dynamics in Differential Form
Problem Modelling Economic Dynamics Differential Form
2010/12/17
Traditional models of macroeconomic dynamics are fundamentally incorrect. The reason lies in a misunderstanding of peculiarities of the analysis of infinitesimal quantities. However, even those types ...
Backward Stochastic PDEs related to the utility maximization problem
Backward Stochastic PDEs utility maximization problem
2010/12/20
We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are descri...
Convex Risk Measures: Lebesgue Property on one Period and Multi Period Risk Measures and Application in Capital Allocation Problem
Convex Risk Measures Lebesgue Property Period Multi Period Risk Measures Application Capital Allocation Problem
2010/12/17
In this work we study the Lebesgue property for convex risk measures on the space of bounded c\`adl\`ag random processes ($\mathcal{R}^\infty$). Lebesgue property has been defined for one period conv...
The Ties That Bind: Mutual Buildings and Loans and the Problem of Agency, 1880-1920
The Ties That Bind: Mutual Buildings Loans the Problem of Agency
2010/10/8
I examine how immigrants used ethnic building and loans (B&Ls) to establish personal networks and overcome the problem of asymmetrical information flows in home finance. American B&Ls
were cooperativ...