Related papers: Factor endowment -- commodity output relationships…
This paper proposes an expected multivariate utility analysis for ESG investors in which green stocks, brown stocks, and a market index are modeled in a one-factor, CAPM-type structure. This setting allows investors to accommodate their…
The theory of two-sided matching has been extensively developed and applied to many real-life application domains. As the theory has been applied to increasingly diverse types of environments, researchers and practitioners have encountered…
The commensurate $p/q$-filled $n$-component Hubbard chain was investigated by bosonization and high-precision density-matrix renormalization-group analysis. It was found that depending on the relation between the number of components $n$,…
We statistically analyse a multivariate HJM diffusion model with stochastic volatility. The volatility process of the first factor is left totally unspecified while the volatility of the second factor is the product of an unknown process…
The present work generalizes the analytical results of Petrikaite (2016) to a market where more than two firms interact. As a consequence, for a generic number of firms in the oligopoly model described by Janssen et al (2005), the…
We obtain several rigidity results regarding tensor product decompositions of factors. First, we show that any full factor with separable predual has at most countably many tensor product decompositions up to stable unitary conjugacy. We…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion. The agents in our model are replaced occasionally and each person updates…
We provide a strategic model of the formation of production networks that subsumes the standard general equilibrium approach. The objective of firms in our setting is to choose their supply relationships so as to maximize their profit at…
The main goal of this paper is an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal CAPM model we built a general sampling model suitable in…
We propose a novel approach to sentiment data filtering for a portfolio of assets. In our framework, a dynamic factor model drives the evolution of the observed sentiment and allows to identify two distinct components: a long-term…
We have studied here the self-organising features of the dynamics of a model market, where the agents `trade' for a single commodity with their money. The model market consists of fixed numbers of economic agents, money supply and…
In large datasets, it is hard to discover and analyze structure. It is thus common to introduce tags or keywords for the items. In applications, such datasets are then filtered based on these tags. Still, even medium-sized datasets with a…
Factor analysis provides linear factors that describe relationships between individual variables of a data set. We extend this classical formulation into linear factors that describe relationships between groups of variables, where each…
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region $E$ and instantaneous covariation $c$ are known, and where…
Fairness is an increasingly important factor in re-ranking tasks. Prior work has identified a trade-off between ranking accuracy and item fairness. However, the underlying mechanisms are still not fully understood. An analogy can be drawn…
Systems of fermions described by the three-dimensional (3D) repulsive Hubbard model on a cubic lattice have recently attracted considerable attention due to their possible experimental realization via cold atoms in an optical lattice.…
In this paper we study the Kyle-Back strategic insider trading equilibrium model in which the insider has an instantaneous information on an asset, assumed to follow an Ornstein-Uhlenback-type dynamics that allows possible influence by the…
We study the expected utility portfolio optimization problem in an incomplete financial market where the risky asset dynamics depend on stochastic factors and the portfolio allocation is constrained to lie within a given convex set. We…
This paper studies the action dynamics of network coordination games with bounded-rational agents. I apply the experience-weighted attraction (EWA) model to the analysis as the EWA model has several free parameters that can capture…