Now showing items 11-20 of 23
On Arbitrage And Duality Under Model Uncertainty And Portfolio Constraints
(SpringerWiley Periodicals, Inc., 2017-10)
We consider the fundamental theorem of asset pricing (FTAP) and the hedging prices of options under nondominated model uncertainty and portfolio constraints in discrete time. We first show that no arbitrage holds if and ...
Comparing cross‐country estimates of Lorenz curves using a Dirichlet distribution across estimators and datasets
(Board of Governors of the Federal Reserve SystemWiley Periodicals, Inc., 2018-04)
Bayesian estimation of manufacturing effects in a fuel economy model
(Wiley Subscription Services, Inc., A Wiley Company, 1993-12)
The analysis of fuel economy data results in estimates of the technology utilization by manufacturer and vehicle line. The analysis employs a hierarchical Bayesian regression model with random components representing vehicle ...
Optimal Investment For All Time Horizons And Martin Boundary Of Space‐Time Diffusions
(Wiley Periodicals, Inc.The Open Court Publishing Company, 2017-04)
Anticipation, Tax Avoidance, and the Price Elasticity of Gasoline Demand
(Cambridge University PressWiley Periodicals, Inc., 2017-01)
Selected Problems for High-Dimensional Data - Quantile and Errors-in-Variables Regressions.
(2016)
This dissertation addresses two problems. First, we study joint quantile regression at multiple quantile levels with high dimensional covariates. Variable selection performed at individual quantile levels may lack stability ...
Liquidity effects of trading frequency
(Wiley Periodicals, Inc.Springer‐Verlag, 2018-07)
In this paper, we present a discrete‐time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the ...
Strict local martingales and optimal investment in a Black–Scholes model with a bubble
(BirkhäuserWiley Periodicals, Inc., 2019-01)
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen–Ledoit–Sornette (JLS) financial bubble model. Based on a class of models that embeds ...
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
(Cambridge University PressWiley Periodicals, Inc., 2021-01)
We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small nonlinear price impact. In our model, cross‐impacts between assets are allowed. In the ...
Equilibrium concepts for time‐inconsistent stopping problems in continuous time
(University of British ColumbiaWiley Periodicals, Inc., 2021-01)
A new notion of equilibrium, which we call strong equilibrium, is introduced for time‐inconsistent stopping problems in continuous time. Compared to the existing notions introduced in Huang, Y.‐J., & Nguyen‐Huu, A. (2018, ...