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1.
We consider an international financial market model that consists ofN currencies. The purpose is to derive a no arbitrage condition which is not affected by the choice of numéraire between theN currencies. As a result, we show that a finiteness condition for an arbitrary chosen currency and the no arbitrage condition
for the basket currency are necessary and sufficient for the no arbitrage property of all theN currencies.
Research supported in part by Nomura Foundation for Social Science and by the European Community Stimulation Plan for Economic
Science contract Number SPES-CT91-0089. The authors thank an anonymous FEJM referee for helpful comments. 相似文献
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Dmitry B. Rokhlin 《Finance and Stochastics》2008,12(2):173-194
This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind) introduced in Probab. Theory Appl. 39, 222–229 (1994) and in Finance Stoch. 2, 143–172 (1998). We show that the arbitrage properties of a large market are completely determined by the asymptotic behavior of the sequence of the numéraire portfolios related to small markets. The obtained criteria can be expressed in terms of contiguity, entire separation, and Hellinger integrals, provided that these notions are extended to sub-probability measures. As examples, we consider market models on finite probability spaces, semimartingale models, and diffusion models. We also examine a discrete-time infinite horizon market model with one log-normal stock. This work was supported by Southern Federal University, grant No. 26 “Mathematical Finance” and by RFBR, grant 07-01-00520. 相似文献
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Anja De Waegenaere 《The GENEVA Papers on Risk and Insurance - Theory》2000,25(1):81-99
Insurance markets are subject to transaction costs and constraints on portfolio holdings. Therefore, unlike the frictionless asset markets case, viability is not equivalent to absence of arbitrage possibilities. We use the concept of unbounded arbitrage to characterize viable prices on a complete and an incomplete insurance market. In the complete market, there is an insurance contract for every possible event. In the incomplete market, risk can be insured through proportional and excess of loss like insurance contracts. We show how the the structure of viable prices is affected by the portfolio constraints, the transaction costs, and the structure of marketed contracts. 相似文献
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Dynamic programming and mean-variance hedging 总被引:4,自引:0,他引:4
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Does financial market development enhance the effectiveness of R&D investment in an economy? To address this question, we apply three distinct approaches including (i) ordinary least square method, (ii) cross-country instrumental variable regression approach, and (iii) panel regression method. By using a dataset of both developed and emerging countries, we find that financial market development significantly contributes to the effectiveness of total R&D investment. This finding remains robust across different model specifications and individual estimation methods. Our finding provides an important guidance to policy makers in implementing a sound financial environment that can facilitate the total contribution of R&D investment. 相似文献
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We construct a dynamic macro model to incorporate financial frictions and investment delay. Investment is undertaken by entrepreneurs who face liquidity frictions in the equity market and a collateral constraint in the debt market. After calibrating the model to the U.S. data, we quantitatively examine how aggregate activity is affected by a shock to equity liquidity and a shock to entrepreneurs' borrowing capacity. We then analyze the effectiveness of government interventions in the asset market after such financial shocks. In particular, we compare the effects of government purchases of private equity and of private debt in the open market. In addition, we examine how these effects of government interventions depend on the option to delay investment. 相似文献
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We establish the equivalence of competitive industry equilibrium with a central planner's decision problem under uncertainty,
when investment is irreversible. The existence of industry equilibrium is derived, and it is shown that myopic behavior on
the part of small agents is harmless, in the sense that it leads to the same decisions as full rational expectations do. Our
model is set in continuous time and allows for very general forms of randomness. The methods are based on the probabilistic
approach to singular stochastic control theory and its connections with optimal stopping problems. 相似文献