Related papers: Possible mathematical formulation of liquidity pre…
Can stated preferences inform counterfactual analyses of actual choice? This research proposes a novel approach to researchers who have access to both stated choices in hypothetical scenarios and actual choices, matched or unmatched. The…
Lie systems form a class of systems of first-order ordinary differential equations whose general solutions can be described in terms of certain finite families of particular solutions and a set of constants, by means of a particular type of…
We propose a probabilistic framework for pricing derivatives, which acknowledges that information and beliefs are subjective. Market prices can be translated into implied probabilities. In particular, futures imply returns for these implied…
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are assumed to be independent from the driving…
Multiple linear regression is a basic statistical tool, yielding a prediction formula with the input variables, slopes, and an intercept. But is it really easy to see which terms have the largest effect, or to explain why the prediction of…
The Price equation provides a formal account of selection building on a right-total mapping between two classes of individuals, that is usually interpreted as a parent-offspring relation. This paper presents a new formulation of the Price…
The present paper proposes a new framework for describing the stock price dynamics. In the traditional geometric Brownian motion model and its variants, volatility plays a vital role. The modern studies of asset pricing expand around…
Recently, it has been emphasized that the possibility theory framework allows us to distinguish between i) what is possible because it is not ruled out by the available knowledge, and ii) what is possible for sure. This distinction may be…
A novel formulation of fluid dynamics as a kinetic theory with tailored, on-demand constructed particles removes any restrictions on Mach number and temperature as compared to its predecessors, the lattice Boltzmann methods and their…
We present new mathematical alternatives for explaining rotation curves of spiral galaxies in the MOND context. For given total masses, it is shown that various mathematical alternatives to MOND, while predicting flat rotation curves for…
We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market--calibrated parameters and the remaining risk associated with idiosyncratic…
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which…
In this paper two portfolio choice models are studied: a purely possibilistic model, in which the return of a risky asset is a fuzzy number, and a mixed model in which a probabilistic background risk is added. For the two models an…
This paper presents four theorems that connect continuity postulates in mathematical economics to solvability axioms in mathematical psychology, and ranks them under alternative supplementary assumptions. Theorem 1 connects notions of…
An important characteristic of many logics for Artificial Intelligence is their nonmonotonicity. This means that adding a formula to the premises can invalidate some of the consequences. There may, however, exist formulae that can always be…
We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the general framework for this approach and illustrate it with two specific examples. The…
This paper extends an option-theoretic approach to estimate liquidity spreads for corporate bonds. Inspired by Longstaff's equity market framework and subsequent work by Koziol and Sauerbier on risk-free zero-coupon bonds, the model views…
There exists a preference relation on infinite utility streams that does not discriminate between different periods, satisfies the Pareto criterion, and so that almost all pairs of utility streams are strictly comparable. Such a preference…
This paper argues that, insofar as we doubt the bivalence of the Continuum Hypothesis or the truth of the Axiom of Choice, we should also doubt the consistency of third-order arithmetic, both the classical and intuitionistic versions.…
We consider the setting in which an electric power utility seeks to curtail its peak electricity demand by offering a fixed group of customers a uniform price for reductions in consumption relative to their predetermined baselines. The…