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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
3.
Takuji Watanabe 《Telecommunications Policy》1980,4(4):287-294
The author considers a strategy for the study of visual communications in the 1980s. To establish a basis for this strategy, market research was carried out to ascertain major visual communications needs in leading business organizations. The systems found to have greatest potential were video conferencing, interactive information retrieval, facsimile, document processing, and office automation (integrating all four systems). In the light of these requirements, the author describes a study programme for the 1980s and shows which technologies should be developed. 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
5.
This paper estimates the equilibrium exchange rates for Korea'sreal effective rates using Clark and MacDonald's (1999) behaviouralequilibrium exchange rate (BEER) approach. The estimation resultsuggests that the real exchange rate was substantially overvaluedduring the period prior to the currency crisis of 1997–98.The subsequent adjustment, however, was disorderly in the sensethat the real exchange rate overshot its long-run equilibriumvalue. There was also a large deviation from the BEER, indicatingthat the sharp depreciation was not an equilibrium phenomenon. 相似文献
6.
This article introduces a novel technological distance measure between companies based on their patent portfolios. We describe the technological position or characteristics of companies by applying the framework of language modelling technique in information retrieval on their patent portfolios. The proposed novel approach is an asymmetric measure and better captures the technological characteristic of a company and hence is a more accurate distance measure. 相似文献
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We obtain explicit representations of locally risk-minimizing strategies for call and put options in Barndorff-Nielsen and Shephard models, which are Ornstein–Uhlenbeck-type stochastic volatility models. Using Malliavin calculus for Lévy processes, Arai and Suzuki (Int. J. Financ. Eng. 2:1550015, 2015) obtained a formula for locally risk-minimizing strategies for Lévy markets under many additional conditions. Supposing mild conditions, we make sure that the Barndorff-Nielsen and Shephard models satisfy all the conditions imposed in (Arai and Suzuki in Int. J. Financ. Eng. 2:1550015, 2015). Among others, we investigate the Malliavin differentiability of the density of the minimal martingale measure. Moreover, we introduce some numerical experiments for locally risk-minimizing strategies. 相似文献
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Takuji Watanabe 《Telecommunications Policy》1983,7(1):73-78
The author proposes the introduction of a videophone communication service to cater for workers temporarily relocated away from their homes and families. An NTT market survey suggests that there is a perceived need for such a service. If the toll for the service is kept low, and communication centres are easily accessible, significant use of videophones may be expected in Japan. 相似文献