综合金融
We present extensive evidence that ``risk premium'' is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit an approximately linear relation between the…
Risk is part of the fabric of every business; surprisingly, there is little work on establishing best practices for systematic, repeatable risk identification, arguably the first step of any risk management process. In this paper, we…
The evolution of personal income distribution (PID) in four countries: Canada, New Zealand, the UK, and the USA follows a unique trajectory. We have revealed precise match in the shape of two age-dependent features of the PID: mean income…
We analyze and develop a quantitative model describing the evolution of personal income distribution, PID, for males and females in the U.S. between 1930 and 2014. The overall microeconomic model, which we introduced ten years ago,…
The well-known theorem of Dybvig, Ingersoll and Ross shows that the long zero-coupon rate can never fall. This result, which, although undoubtedly correct, has been regarded by many as surprising, stems from the implicit assumption that the…
The purpose of this study is to estimate the production function and examine the structure of production in the mining sector of Iran. Several studies have already been conducted in estimating production functions of various economic…
Here we shall consider a very popular practical applied problem of managing mode switching (in this work we are considering managing billing plans). Out of the two parties (service provider and service consumer), participating in the…
These lecture notes provide a self-contained introduction to the mathematical methods required in a Bachelor degree programme in Business, Economics, or Management. In particular, the topics covered comprise real-valued vector and matrix…
Dynamic retirement glidepaths evolve over time based on some measure such as the retiree's funded status or current market valuations. Conversely, static glidepaths are fixed at a starting point and selected under the assumption that they…
Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the retirement decumulation phase. Extensive research into…
This paper studies the trading volumes and wealth distribution of a novel agent-based model of an artificial financial market. In this model, heterogeneous agents, behaving according to the Von Neumann and Morgenstern utility theory, may…
In many countries information on expectations collected through consumer confidence surveys are used in macroeconomic policy formulation. Unfortunately, before doing so, the consistency of responses is often not taken into account, leading…
Artificial intelligence has impacted many aspects of human life. This paper studies the impact of artificial intelligence on economic theory. In particular we study the impact of artificial intelligence on the theory of bounded rationality,…
Membership in the Russell 1000 and 2000 Indices is based on a ranking of market capitalization in May. Each index is separately value weighted such that firms just inside the Russell 2000 are comparable in size to firms just outside (i.e.…
Lognormal random variables appear naturally in many engineering disciplines, including wireless communications, reliability theory, and finance. So, too, does the sum of (correlated) lognormal random variables. Unfortunately, no closed form…
Following the financial crisis of the late 2000s, policy makers have shown considerable interest in monitoring financial stability. Several central banks now publish indices of financial stress, which are essentially based upon market…
We study the capital growth in gambling with (and without) side information and memory effects. We derive several equalities for gambling, which are of similar form to the Jarzynski equality and its extension to systems with feedback…
In many European countries the growth of the real GDP per capita has been linear since 1950. An explanation for this linearity is still missing. We propose that in artificial intelligence we may find models for a linear growth of…
The fragmentation of production across countries has become an important feature of the globalization in recent decades and is often conceptualized by the term, global value chains (GVCs). When empirically investigating the GVCs, previous…
Is the present economic and financial crisis similar to some previous one? It would be so nice to prove that universality laws exist for predicting such rare events under a minimum set of realistic hypotheses. First, I briefly recall…