FS
2006
13 years 4 months ago
2006
We study the problem of finding optimal strategies for a life insurance company or pension fund that acts on behalf of an insured so as to maximize the expected utility (in a gene...
FS
2006
13 years 4 months ago
2006
Abstract The problem of finding the best-possible lower bound on the distribution of a non-decreasing function of n dependent risks is solved when n = 2 and a lower bound on the co...
FS
2006
13 years 4 months ago
2006
Abstract. Currently, there are two market models for valuation and risk management of interest rate derivatives, the LIBOR and swap market models. We introduce arbitrage-free const...
FS
2006
13 years 4 months ago
2006
Fads models were introduced by Shiller (1984) and Summers (1986) as plausible alternatives to the efficient markets/constant expected returns assumptions. Under these models, loga...
FS
2006
13 years 4 months ago
2006
In this paper we investigate portfolio optimization in a Black-Scholes continuoustime setting under quantile based risk measures: value at risk, capital at risk and relative value...
FS
2006
13 years 4 months ago
2006
We prove a general version of the super-replication theorem, which applies to Kabanov's model of foreign exchange markets under proportional transaction costs. The market is ...
FS
2006
13 years 4 months ago
2006
We develop a
FS
2006
13 years 4 months ago
2006
In this paper we generalize recent comparison results of El Karoui, Jeanblanc-Picqu