Related papers: Independence and indifferent points imply continui…
In a market with stochastic interest rates, we consider an investor who can either (i) invest all if his money in a savings account or (ii) purchase zero-coupon bonds and invest the remainder of his wealth in a savings account. The…
Let $\mathcal{I}$ be an analytic P-ideal [respectively, a summable ideal] on the positive integers and let $(x_n)$ be a sequence taking values in a metric space $X$. First, it is shown that the set of ideal limit points of $(x_n)$ is an…
The paper attempts to develop a suitable accessibility index for networks where each link has a value such that a smaller number is preferred like distance, cost, or travel time. A measure called distance sum is characterized by three…
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the…
Given a quantum system consisting of many parts, we show that symmetry of the system's state, i.e., invariance under swappings of the subsystems, implies that almost all of its parts are virtually identical and independent of each other.…
We study indifference pricing of exotic derivatives by using hedging strategies that take static positions in quoted derivatives but trade the underlying and cash dynamically over time. We use real quotes that come with bid-ask spreads and…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
The Leopoldt conjecture is concerned with the image of the global units in the local units at the primes dividing p. In the definition of the global units the infinite place is distinguished. Exchanging p and infinity in the formulation one…
A first-order ordinary differential equation, solved with respect to derivative, is considered. It's right-hand side is defined and continuous on the set, consisting of a connected open subset of a two-dimensional Euclidean space and a part…
This paper develops a new divergence that generalizes relative entropy and can be used to compare probability measures without a requirement of absolute continuity. We establish properties of the divergence, and in particular derive and…
We examine the notion of inconsistency in pairwise comparisons and propose an axiomatization which is independent of any method of approximation or the inconsistency indicator definition (e.g., Analytic Hierarchy Process, AHP). It has been…
We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility function at final time T, we obtain an asymptotic expansion of…
We study the classic problem of fairly allocating a set of indivisible goods among a group of agents, and focus on the notion of approximate proportionality known as PROPm. Prior work showed that there exists an allocation that satisfies…
We present new criteria on the existence of fixed points that combine some monotonicity assumptions with the classical fixed point index theory. As an illustrative application, we use our theoretical results to prove the existence of…
We provide and axiomatize a representation for preferences over lotteries that generalizes the expected utility model. Since the representation uses different utility functions to evaluate different lotteries, the preferences can be…
Escalation is the fact that in a game (for instance in an auction), the agents play forever. The $0,1$-game is an extremely simple infinite game with intelligent agents in which escalation arises. It shows at the light of research on…
Originality criteria are frequently used to compare assets and, in particular, to assess the validity of intellectual property (IP) rights such as copyright and design rights. In this work, the originality of an asset is formulated as a…
We give a sufficient condition for an algebraic structure to have a computable presentation with a computable basis and a computable presentation with no computable basis. We apply the condition to differentially closed, real closed, and…
Teddy Seidenfeld has been arguing for quite a long time that binary preference models are not powerful enough to deal with a number of crucial aspects of imprecision and indeterminacy in uncertain inference and decision making. It is at his…
When uncertainty is modelled by a set of non-dominated and non-compact probability measures, a notion of essential supremum for a family of real-valued functions is developed in terms of upper semi-analytic functions. We show how the…