Download or read book Money in the Utility Function An Empirical Implementation written by James M. Poterba and published by Palala Press. This book was released on 2018-03-03 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Download or read book Monetary Utility Functions written by Freddy Delbaen and published by . This book was released on 2012-03-01 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book New Approaches to Monetary Economics written by International Symposium in Economic Theory and Econometrics (2, 1985, Austin, Tex.) and published by Cambridge University Press. This book was released on 1987-07-31 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: New Approaches to Monetary Economics brings together presentations of innovative research in the field of monetary economics. Much of this research develops and applies approaches to modelling financial intermediation, aggregate fluctuations, monetary aggregation and transactions-motivated monetary equilibrium. The contents of this volume comprise the proceedings of the second in a conference series entitled International Symposia in Economic Theory and Econometrics. This conference was held in 1985 at the IC2 Institute at the University of Texas at Austin. The symposia in this series are sponsored by the IC2 Institute and the RGK Foundation. New Approaches to Monetary Economics, edited by Professors William A. Barnett and Kenneth J. Singleton, consists of five parts. Part I examines transactions-motivated monetary holding in general equilibrium; Part II, financial intermediation; Part III, monetary aggregation theory, Part IV, issues in aggregate fluctuation; and Part V, theoretical issues in the foundations of monetary economics and macroeconomics.
Download or read book Handbook of Utility Theory written by Salvador Barbera and published by Springer Science & Business Media. This book was released on 1998 with total page 714 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard rationality hypothesis implies that behaviour can be represented as the maximization of a suitably restricted utility function. This hypothesis lies at the heart of a large body of recent work in economics, of course, but also in political science, ethics, and other major branches of social sciences. Though the utility maximization hypothesis is venerable, it remains an area of active research. Moreover, some fundamental conceptual problems remain unresolved, or at best have resolutions that are too recent to have achieved widespread understanding among social scientists. The main purpose of the Handbook of Utility Theory is to make recent developments in the area more accessible. The editors selected a number of specific topics, and invited contributions from researchers whose work had come to their attention. Therefore, the list of topics and contributions is largely the editors' responsibility. Each contributor's chapter has been refereed, and revised according to the referees' remarks. This is the first volume of a two volume set, with the second volume focusing on extensions of utility theory.
Download or read book Handbook of the Fundamentals of Financial Decision Making written by Leonard C. MacLean and published by World Scientific. This book was released on 2013 with total page 941 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Download or read book Portfolio Theory and Risk Management written by Maciej J. Capiński and published by Cambridge University Press. This book was released on 2014-08-07 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: With its emphasis on examples, exercises and calculations, this book suits advanced undergraduates as well as postgraduates and practitioners. It provides a clear treatment of the scope and limitations of mean-variance portfolio theory and introduces popular modern risk measures. Proofs are given in detail, assuming only modest mathematical background, but with attention to clarity and rigour. The discussion of VaR and its more robust generalizations, such as AVaR, brings recent developments in risk measures within range of some undergraduate courses and includes a novel discussion of reducing VaR and AVaR by means of hedging techniques. A moderate pace, careful motivation and more than 70 exercises give students confidence in handling risk assessments in modern finance. Solutions and additional materials for instructors are available at www.cambridge.org/9781107003675.
Download or read book Economic and Financial Decisions under Risk written by Louis Eeckhoudt and published by Princeton University Press. This book was released on 2011-10-30 with total page 245 pages. Available in PDF, EPUB and Kindle. Book excerpt: An understanding of risk and how to deal with it is an essential part of modern economics. Whether liability litigation for pharmaceutical firms or an individual's having insufficient wealth to retire, risk is something that can be recognized, quantified, analyzed, treated--and incorporated into our decision-making processes. This book represents a concise summary of basic multiperiod decision-making under risk. Its detailed coverage of a broad range of topics is ideally suited for use in advanced undergraduate and introductory graduate courses either as a self-contained text, or the introductory chapters combined with a selection of later chapters can represent core reading in courses on macroeconomics, insurance, portfolio choice, or asset pricing. The authors start with the fundamentals of risk measurement and risk aversion. They then apply these concepts to insurance decisions and portfolio choice in a one-period model. After examining these decisions in their one-period setting, they devote most of the book to a multiperiod context, which adds the long-term perspective most risk management analyses require. Each chapter concludes with a discussion of the relevant literature and a set of problems. The book presents a thoroughly accessible introduction to risk, bridging the gap between the traditionally separate economics and finance literatures.
Download or read book The Economics of Risk and Time written by Christian Gollier and published by MIT Press. This book was released on 2001 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: Updates and advances the theory of expected utility as applied to risk analysis and financial decision making.
Download or read book Monetary Economics written by Jagdish Handa and published by Routledge. This book was released on 2008-09-18 with total page 1199 pages. Available in PDF, EPUB and Kindle. Book excerpt: This successful text, now in its second edition, offers the most comprehensive overview of monetary economics and monetary policy currently available. It covers the microeconomic, macroeconomic and monetary policy components of the field. Major features of the new edition include:Stylised facts on money demand and supply, and the relationships betw
Download or read book Convex Duality and Financial Mathematics written by Peter Carr and published by Springer. This book was released on 2018-07-18 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a concise introduction to convex duality in financial mathematics. Convex duality plays an essential role in dealing with financial problems and involves maximizing concave utility functions and minimizing convex risk measures. Recently, convex and generalized convex dualities have shown to be crucial in the process of the dynamic hedging of contingent claims. Common underlying principles and connections between different perspectives are developed; results are illustrated through graphs and explained heuristically. This book can be used as a reference and is aimed toward graduate students, researchers and practitioners in mathematics, finance, economics, and optimization. Topics include: Markowitz portfolio theory, growth portfolio theory, fundamental theorem of asset pricing emphasizing the duality between utility optimization and pricing by martingale measures, risk measures and its dual representation, hedging and super-hedging and its relationship with linear programming duality and the duality relationship in dynamic hedging of contingent claims
Download or read book Indifference Pricing written by René Carmona and published by Princeton University Press. This book was released on 2009-01-18 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. René Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadène, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals
Download or read book Advances in Mathematical Economics Volume 9 written by S. Kusuoka and published by Springer Science & Business Media. This book was released on 2007-03-12 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: A lot of economic problems can formulated as constrained optimizations and equilibration of their solutions. Various mathematical theories have been supplying economists with indispensable machineries for these problems arising in economic theory. Conversely, mathematicians have been stimulated by various mathematical difficulties raised by economic theories. The series is designed to bring together those mathematicians who were seriously interested in getting new challenging stimuli from economic theories with those economists who are seeking for effective mathematical tools for their researchers.
Download or read book Quantitative Portfolio Management written by Pierre Brugière and published by Springer Nature. This book was released on 2020-03-28 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and statistics and a familiarity with linear algebra and matrix manipulation. Those who want to run the code will have to install Python on their pc, or alternatively can use Google Colab on the cloud. Professionals will need to have a quantitative background, being either portfolio managers or risk managers, or potentially quants wanting to double check their understanding of the subject.
Download or read book Monetary Theory and Policy written by Carl E. Walsh and published by MIT Press. This book was released on 2003 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: An overview of recent theoretical and policy-related developments in monetary economics.
Download or read book A Study in Monetary Macroeconomics written by Stefan Homburg and published by Oxford University Press. This book was released on 2017-07-04 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial crisis of 2007 and the following recession present a major challenge to macroeconomic theory. The same holds true for exceptionally low interest rates during the recent years and for the puzzle that super-expansive monetary policies failed to produce high inflation. Approaches that focus on steady states, rational expectations, and individuals planning over infinite horizons, are not suitable for analysing such abnormal situations. A Study in Monetary Macroeconomics refines and improves mainstream approaches to resolve these puzzles and to contribute to a better understanding of monetary and fiscal policies. Using a rich institutional structure that includes features such as credit money, external finance, borrowing constraints, net worth, real estate and commercial banks, this timely study reduces rationality requirements to cope with its complex setting. It starts with a simple baseline model, deriving results from mathematical reasoning and simulations whilst adhering to the method of dynamic general equilibrium (DGE) with optimizing agents and fully specified models. Highly topical, A Study in Monetary Macroeconomics uses a unified theoretical framework to demonstrate that a DGE approach makes it possible to develop clean models that work outside steady states and are appropriate for answering macroeconomic questions of actual interest.
Download or read book The Multi Agent Transport Simulation MATSim written by Andreas Horni and published by Ubiquity Press. This book was released on 2016-08-10 with total page 620 pages. Available in PDF, EPUB and Kindle. Book excerpt: The MATSim (Multi-Agent Transport Simulation) software project was started around 2006 with the goal of generating traffic and congestion patterns by following individual synthetic travelers through their daily or weekly activity programme. It has since then evolved from a collection of stand-alone C++ programs to an integrated Java-based framework which is publicly hosted, open-source available, automatically regression tested. It is currently used by about 40 groups throughout the world. This book takes stock of the current status. The first part of the book gives an introduction to the most important concepts, with the intention of enabling a potential user to set up and run basic simulations. The second part of the book describes how the basic functionality can be extended, for example by adding schedule-based public transit, electric or autonomous cars, paratransit, or within-day replanning. For each extension, the text provides pointers to the additional documentation and to the code base. It is also discussed how people with appropriate Java programming skills can write their own extensions, and plug them into the MATSim core. The project has started from the basic idea that traffic is a consequence of human behavior, and thus humans and their behavior should be the starting point of all modelling, and with the intuition that when simulations with 100 million particles are possible in computational physics, then behavior-oriented simulations with 10 million travelers should be possible in travel behavior research. The initial implementations thus combined concepts from computational physics and complex adaptive systems with concepts from travel behavior research. The third part of the book looks at theoretical concepts that are able to describe important aspects of the simulation system; for example, under certain conditions the code becomes a Monte Carlo engine sampling from a discrete choice model. Another important aspect is the interpretation of the MATSim score as utility in the microeconomic sense, opening up a connection to benefit cost analysis. Finally, the book collects use cases as they have been undertaken with MATSim. All current users of MATSim were invited to submit their work, and many followed with sometimes crisp and short and sometimes longer contributions, always with pointers to additional references. We hope that the book will become an invitation to explore, to build and to extend agent-based modeling of travel behavior from the stable and well tested core of MATSim documented here.
Download or read book Introduction to Statistical Decision Theory written by John Winsor Pratt and published by MIT Press. This book was released on 1995 with total page 906 pages. Available in PDF, EPUB and Kindle. Book excerpt: They then examine the Bernoulli, Poisson, and Normal (univariate and multivariate) data generating processes.
