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We study convex risk measures describing the upper and lower bounds of a good deal bound, which is a subinterval of a no‐arbitrage pricing bound. We call such a convex risk measure a good deal valuation and give a set of equivalent conditions for its existence in terms of market. A good deal valuation is characterized by several equivalent properties and in particular, we see that a convex risk measure is a good deal valuation only if it is given as a risk indifference price. An application to shortfall risk measure is given. In addition, we show that the no‐free‐lunch (NFL) condition is equivalent to the existence of a relevant convex risk measure, which is a good deal valuation. The relevance turns out to be a condition for a good deal valuation to be reasonable. Further, we investigate conditions under which any good deal valuation is relevant. 相似文献
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Takuji Arai 《Asia-Pacific Financial Markets》2001,8(2):167-177
We consider incomplete markets, where each risky asset fluctuation is a continuous semimartingale, and study a subset of Equivalent Local Martingale Measures in which Minimal Martingale Measure minimizes relative entropy.We also discuss, as special cases, some models with the risky assetfluctuation represented as a solution of some stochastic differential equations.Finally, we mention that the predictable representation property is essentialin order that Minimal Martingale Measure coincides with Minimal Entropy Martingale Measure. 相似文献
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Mahmood Arai 《Applied economics》2013,45(23):2965-2976
We examine the effect of firm profits on wages for individual workers while focusing on the empirical complications associated with estimating the extent of rent-sharing. Controlling for worker and firm fixed-effects and using several instruments to deal with the endogeneity of profits, we report results indicating that Ordinary Least Square (OLS)-estimates strongly underestimate the effects of profits on wages. Moreover, the effect of profits on wages are estimated separately for firms with increasing and decreasing profits within a given time period. We find a positive and stable effect only in firms with increasing profits. This is in line with the idea that falling profits do not lead to wage cuts while increasing profits imply higher wages. 相似文献
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Karen Gallant Susan Arai Bryan Smale 《Leisure Sciences: An Interdisciplinary Journal》2013,35(4):320-336
Using a communitarian framework to explore relationships between individuals and community, survey research was used to examine relationships among volunteers’ personal value orientations of individualism and collectivism, experiences of volunteering as serious leisure, and perceptions of sense of community and social cohesion. Based on survey responses from 300 current volunteers at ten voluntary organizations, findings linked collectivism and individualism to serious leisure, which in turn strongly associated with sense of community and social cohesion. In these empirical findings, serious leisure emerged as a pathway for nurturing community. 相似文献
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Makoto Matsuo Kohei Arai Takami Matsuo 《International Journal of Training and Development》2019,23(4):328-338
Drawing on positive psychology and self‐determination theories, this study investigates the direct and indirect effects of empowering leadership on meaningful work of employees, particularly through the mediation of learning goal orientation. Longitudinal survey data of 388 employees in medical institutions were used to test the hypotheses. The results support the direct positive relationship between empowering leadership and meaningful work, but also emphasize the mediating effect of learning goal orientation within this relationship. This study is among the first to examine the effect of mediation by learning goal orientation upon the relationship between empowering leadership and meaningful work. 相似文献
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An extension of mean-variance hedging to the discontinuous case 总被引:3,自引:0,他引:3
Takuji Arai 《Finance and Stochastics》2005,9(1):129-139
Our goal in this paper is to give a representation of the mean-variance hedging strategy for models whose asset price process is discontinuous as an extension of Gouriéroux, Laurent and Pham (1998) and Rheinländer and Schweizer (1997). However, we have to impose some additional assumptions related to the variance-optimal martingale measure.Received: April 2004, Mathematics Subject Classification (2000):
91B28, 60G48, 60H05JEL Classification:
G10I would like to express my gratitude to Martin Schweizer and referees for their much valuable advice. I also would like to express my gratitude to Tsukasa Fujiwara, Hideo Nagai and Jun Sekine for many helpful comments. 相似文献
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Journal of Industry, Competition and Trade - This study aims to show that the low bid price survey standard has lower limit price characteristics and analyzes the behavior of firms in the public... 相似文献
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Yota Ueda Hiroyuki Ebara Koki Nakayama Syuhei Iida 《The Review of Socionetwork Strategies》2017,11(2):185-200
Consultant-guided search (CGS) is a recent metaheuristic method. This approach is an algorithm in which a virtual person called a client creates a solution based on consultation with a virtual person called a consultant. In this study, we propose a parallel CGS algorithm with a genetic algorithm’s crossover and selection, and calculate an approximation solution for the traveling salesman problem. We execute a computer experiment using the benchmark problems (TSPLIB). Our algorithm provides a solution with less than 3.3% error rate for problem instances using less than 6000 cities. 相似文献