Showing 1 - 10 of 16
The paper explores the fit properties of a class of multivariate Lévy processes, which are characterized as time-changed correlated Brownian motions. The time-change has a common and an idiosyncratic component, to re ect the properties of trade, which it represents. The resulting process may...
Persistent link: https://www.econbiz.de/10011122632
We study the interplay of probabilistic sophistication, second order stochastic dominance, and uncertainty aversion, three fundamental notions in choice under uncertainty. In particular, our main result, Theorem 2, characterizes uncertainty averse preferences that satisfy second order stochastic...
Persistent link: https://www.econbiz.de/10008799722
This paper constructs a class of multivariate Gaussian marked Poisson processes to model asset returns. The model proposed accommodates the cross section properties of trades, allows for returns to be correlated conditional on trading activity, and preserves the economic intuition of normality...
Persistent link: https://www.econbiz.de/10010941709
We study unique and globally attracting solutions of a general nonlinear equation that has as special cases some recursive equations widely used in Economics.
Persistent link: https://www.econbiz.de/10005765467
We study the equivalence between the MB-set and the core in the general context of games with a measurable space of players. In the first part of the paper, we study the problem without imposing any restriction on the class of games we consider. In the second part, we apply our findings to...
Persistent link: https://www.econbiz.de/10005765472
We study the cores of non-atomic market games, a class of transferable utility co- operative games introduced by Aumann and Shapley [2], and, more in general, of those games that admit a na-continuous and concave extension to the set of ideal coalitions, studied by Einy, Moreno, and Shitovitz...
Persistent link: https://www.econbiz.de/10005405546
A definition of set-wise differentiability for set functions is given through refining the partitions of sets. Such a construction is closely related to the one proposed by Rosenmuller (1977) as well as that studied by Epstein (1999) and Epstein and Marinacci (2001). We present several classes...
Persistent link: https://www.econbiz.de/10005405549
Concavity and supermodularity are in general independent properties. A class of functionals defined on a lattice cone of a Riesz space has the Choquet property when it is the case that its members are concave whenever they are supermodular. We show that for some important Riesz spaces both the...
Persistent link: https://www.econbiz.de/10005405558
The traditional multivariate Lévy process constructed by subordinating a Brownian motion through a univariate subordinator presents a number of drawbacks, including the lack of independence and a limited range of dependence. In order to face these, we investigate multivariate subordination,...
Persistent link: https://www.econbiz.de/10005094047
We introduce a notion of complete monotone quasiconcave duality and we show that it holds for important classes of quasiconcave functions.
Persistent link: https://www.econbiz.de/10005094054