continuous time consumption and portfolio choice
A note on the Non negativity of continuous time ARMA and GARCH processes
Ngày tải lên :
14/11/2015, 08:03
... Brockwell, P J (2000) Heavy-tailed and non-linear continuous- time ARMA models for financial time series In W S Chan, W K Li and 13 H Tong (eds), Statistics and Finance: An Interface, 3-22 London: ... (2005) and Brockwell et al (2006) There are, at least, two approaches to modeling a continuoustime volatility process In the first approach, the volatility process is modeled as some continuous- time ... L´evy-driven and fractionally integrated ARMA processes with continuous time parameter Statistica Sinica, Statist Sinica 15, 477-494 [10] Comte, F & Renault, E (1998) Long memory in continuous- time stochastic...
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Continuous time finite horizon optimal investment and consumption problems with proportional transaction costs
Ngày tải lên :
14/09/2015, 08:46
... Optimal Investment and Consumption Problem with Transaction Costs 60 3.1 Formulation of the optimal investment and consumption problem 60 3.1.1 A generalized optimal investment and consumption problem ... intermediate consumption, and their work became a landmark in the study of transaction cost problems A key insight suggested by Magil and Constantinides (1976) and exploited by Davis and Norman ... rate, and α > r and σ > stand for the constant expected rate of return and the volatility, respectively, of the risky asset These constitute the simplest standard setting of an asset market, and...
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Changes of temperature data for energy studies over time and their impact on energy consumption and CO2 emissions. The case of Athens and Thessaloniki – Greece
Ngày tải lên :
05/09/2013, 16:10
... cooling demands is 28.5% and for Thessaloniki 13.2% Obviously, directly proportional to the energy demand for heating and cooling is the fuel (diesel oil) and electricity consumption and hence ... indicator and the basis for calculations of heating and cooling energy demand [1] or for estimating bin data and heating and cooling degree-days at any base [2, 10, 11] Table shows the monthly and ... caution and need further investigation, since the decade time horizon is relative short for drawing solid conclusions regarding the climate and consequently the estimation of energy demands and CO2...
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Báo cáo sinh học: " Heritability of longevity in Large White and Landrace sows using continuous time and grouped data models" ppsx
Ngày tải lên :
14/08/2014, 13:21
... using continuous time and grouped data models in Large White and Landrace sows were examined Risk of culling associated with length of productive life was influenced by all fixed and random effects ... 0.08 and 0.14 (s.e 0.012 - 0.026) for the continuous time and between 0.08 and 0.13 (s.e 0.012 0.025) for the grouped data models Whatever the breed, heritabilities are highest for the sire and ... model for the Landrace breed For the Landrace breed, heritabilities range between 0.05 and 0.08 (s.e 0.014 - 0.020) for the continuous time and between 0.07 and 0.11 (s.e 0.016 - 0.023) for the...
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Discrete choice and portfolio optimization under limited distributional information
Ngày tải lên :
09/09/2015, 17:52
... (CMM) and show that the choice probabilities can be found using a semidefinite program (SDP) We test CMM using a few examples in route choice and random walk, and compare the quality of choice ... distribution θ of random vector U This latter probability is sometimes refered to as persistency value as in [62], and called choice probability in discrete choice literature In discrete choice, let ... variable yj in ∗ ˜ ˜ (1.1), and is random due to random coefficients Uij , and Pθ∗ (yij (Ui ) = 1) is the choice probability of jth product under some extremal distribution These choice probabilities...
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Tài liệu The perception of time, risk and return during periods of speculation pptx
Ngày tải lên :
12/12/2013, 14:15
... intrinsic time τi and standard calendar time t I will define and discuss these relationships more carefully in the following sections Trading frequencies vary with time in both systematic and random ... they can earn and the volatilities they will experience with respect to some interval of calendar time, the time continuously measured by a standard clock, common to all investors and markets The ... tick of intrinsic time, i denotes the volatility of these intrinsic -time returns, and πij is their correlation What is the relationship between the intrinsic -time and calendar -time measures? I...
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Capital markets and portfolio theory (2000)
Ngày tải lên :
18/12/2013, 09:12
... iv PART I Standard (One Period) Portfolio Theory Chapter Portfolio Choices Chapter Portfolio Choices 1.A Framework and notations In all the following we consider a single period or time interval ... 70 PART V Continuous Time Portfolio Optimization 72 13 Dynamic Consumption and Portfolio Choices (The Merton Model) ... discrete time, but less unrealistic in continuous time In continuous time the possibility of rebalancing at each point of time allows a much larger spanning When completeness is obtained through continuous...
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Tài liệu Competition and Quality Choice in the CPU Market ppt
Ngày tải lên :
18/02/2014, 07:20
... Mussa and Rosen (1978), with generalizations to multi-dimensional consumer types and/ or multiple firms by Rochet and Stole (2002), Armstrong (1996), Rochet and Chone (1998), and Armstrong and Vickers ... components Splitting apart the random coefficients into a mean and variance term and assuming that αi is distributed lognormal and νi normal gives (where nν and nα are standard normals): uij = βxj + ... utilities on the left-hand side and the right-hand side includes product dummies (kj ), time dummies (kt ), and market dummies (km ) See equation ˜ 13 ξjtm is the market /time specific error term...
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Tài liệu MASTER OF BUSINESS ADMINISTRATION (MBA) II TO IV SEMESTERS (FULL TIME) CURRICULUM AND SYLLABUS doc
Ngày tải lên :
18/02/2014, 08:20
... Basics Understanding of Brands – Definitions - Branding Concepts – Functions of Brand Significance of Brands – Different Types of Brands – Co branding – Store brands UNIT II BRAND STRATEGIES ... Brand Management process – Building a strong brand – Brand positioning – Establishing Brand values – Brand vision – Brand Elements – Branding for Global Markets – Competing with foreign brands ... BRAND COMMUNICATIONS Brand image Building – Brand Loyalty programmes – Brand Promotion Methods – Role of Brand ambassadors, celebraties – On line Brand Promotions UNIT IV BRAND EXTENSION Brand...
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Tài liệu An Introduction to Project, Program, and Portfolio Management doc
Ngày tải lên :
18/02/2014, 11:20
... budget to meet scope and time goals or decrease the scope to meet time and budget goals The other two constraints—quality and risk—affect the ability to meet scope, time, and cost goals Projects ... financial and analytical skills and understand how projects and programs can contribute to meeting strategic goals 17 The main distinction between project or program management and portfolio ... include understanding change, and understanding how organizations work within their social, political, and physical environments Project managers must be comfortable leading and handling change,...
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Tài liệu Regulating Football Commodification, Consumption and the Law pot
Ngày tải lên :
22/02/2014, 00:20
... threads and angles to regulation, moving away from public order and criminal issues and into the areas of civil law (contract and tort), and wider commercial issues such as broadcasting and merchandising ... home and abroad The post-Taylor landscape has seen further consolidation, and extension, of controls over fans.2 At the same time we have also witnessed the creation of a new licensing and safety ... understand and believe in it for Context and Development of Regulation 21 themselves; and achieving safety is not a one off but a continual process The FLA’s approach is to educate, advise and persuade...
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Hyperspace: A Scientific Odyssey Through Parallel Universes, Time Warps, and the 10th Dimension
Ngày tải lên :
05/03/2014, 16:14
... go backward in time Unlike the m a c h i n e portrayed in H G Wells's The Time Machine, however, which could hurl the protagonist h u n d r e d s of thousands of years into England's distant future ... star So, although it is possible that Worlds Beyond Space and Time 27 Einstein's laws and the laws of q u a n t u m theory might allow for time travel, this is n o t within the capabilities of earthlings ... his pioneering work Contents Part I Entering the Fifth Dimension Worlds Beyond Space and Time, Mathematicians and Mystics, 30 The Man Who "Saw" the Fourth Dimension, 55 The Secret of Light: Vibrations...
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Measuring the Subjective Well-Being of Nations: National Accounts of Time Use and Well-Being potx
Ngày tải lên :
06/03/2014, 21:20
... events and circumstances Gershuny and Halpin (1996) and Robinson and Godbey (1997), who analyzed a single well- being measure (extent of enjoyment) and time use collected together in a time diary, ... different “meanings of time, ” such as social time, time for personal gratification, and meaningless time Instead, we focus on the emotional experiences that occur over time National Time Accounting: ... of Time Use, Goods, and Utility In a standard economic model, households receive utility from their consumption of leisure and goods People choose to work because of the income and hence, consumption...
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Mental Accounting and Consumer Choice: Evidence from Commodity Price Shocks pot
Ngày tải lên :
06/03/2014, 21:20
... value equal to the expected consumption level We assume that there are two consumption dimensions: gasoline consumption and non-gasoline consumption Non-gasoline consumption delivers utility ... Quality perceptions and asymmetric switching between brands Marketing Science 10(3): 185-204 Anderson, Simon P., André de Palma and Jacques-François Thisse 1992 Discrete Choice Theory of Product ... columns (1) and (2) reveals differences between all households purchasing gasoline and those purchasing gasoline at least 24 times per year during our 3year period, and comparing columns (1) and (3)...
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Risk and Portfolio Analysis doc
Ngày tải lên :
07/03/2014, 06:20
... at time kı is the interest earned between times k 1/ı and kı on the notional L, i.e., the random amount L Á ; dk 1;k where dk 1;k denotes the discount factor at time k 1/ı between times k 1/ı and ... Derivatives and No-Arbitrage Pricing Consider the times and T > 0, with being the present time, and let ST be the spot price of some asset at time T A contract with payoff f ST / at time T for ... at time 0, buying the share and short-selling a zero-coupon bond that matures at time t1 with face value c, and at time t2 selling the share The initial cost of this strategy is S0 dt1 c, and...
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ASSESSING THE ENVIRONMENTAL IMPACTS OF CONSUMPTION AND PRODUCTION: PRIORITY PRODUCTS AND MATERIALS pdf
Ngày tải lên :
15/03/2014, 16:20
... Habitat change and resource competition due to water and land use Demand projections indicate, however, that the consumption of some metals and oil and gas will outstrip supply and may exhaust ... understand the relative importance of specific resource limitations and environmental problems, the ways that production and consumption affect the environment and resources, and which production and ... environment and tropical grassland and savannah causes especially severe impacts The exploitation of tropical forests and coastal regions is considerable and increasing Expanding forestry and pasture...
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Geochemistry of inorganic arsenic and selenium in a tropical soil effect of reaction time, ph, and comp
Ngày tải lên :
16/03/2014, 00:25
... main inorganic forms of As in contaminated soils and sediments are +5 and +3 (Harper and Haswell, 1988) but sometimes the oxidation states of )3 and are expected to be found in highly reducing ... in aqueous and subsurface systems, namely )2, 0, +4, and +6 The fate and transport of Se in contaminated sites are very much influenced by its chemical form and speciation Selenite and Se(VI) ... 1994; Carbonell Barrachina et al., 1996; Lo and Chen, 1997; Su and Suarez, 2000; O’Reilly et al., 2001), and oxidation states of As and Se Competitive ions and soil properties are also being emphasized...
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By foot, bus or car: children''''s school travel and school choice policy docx
Ngày tải lên :
16/03/2014, 12:20
... initiatives (school choice and SR2S), improved understanding of this topic can help researchers, practitioners, government and school officials, and the general public understand the impacts of ... state and school district budgets, school -choice policy may require more fully considering travel demand, racial and economic equity issues, trade-offs between public and private costs, and environmental ... school district may include school -choice (magnet) schools and non-school -choice (neighborhood) schoolsöas is the case for both of the cities we surveyed and choice can be solely within district...
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The Evolution of Entertainment Consumption and the Emergence of Cinema, 1890-1940 docx
Ngày tải lên :
16/03/2014, 17:20
... Phonograph rolls and discs Cinema and live entertainment Cinema and live entertainment Cinema and live entertainment Cinema and live entertainment Cinema and live entertainment Cinema and live entertainment ... role of wider consumption routines, skills and capabilities in the evolution of demand through processes such as selection, replication, imitation and modification and through random 21 If we ... Income/household (times average income) Source: see table and text 39 2.60 3.00 3.40 3.5 Decomposing international consumption differences in technology and taste effects Price and consumption per...
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