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In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both partial and general equilibrium settings. In a partial equilibrium setting we derive an analog of the classic Samuelson–Merton optimal portfolio result and define volatility‐adjusted risk aversion as...
In this paper, we carry out robust modeling and influence diagnostics in Birnbaum‐Saunders (BS) regression models. Specifically, we present some aspects related to BS and log‐BS distributions and their generalizations from the Student‐t distribution, and develop BS‐t regression models, including...
This paper is a sequel to our previous paper ‘A New Paradigm in Asset Pricing’ in which we construct a model for asset pricing in a world where the randomness is modeled by a Markov chain. In this paper we develop a theory of optimal stopping and related variational inequalities for American...
We discuss the asset allocation problem in the important class of parametric non‐linear time series models called the threshold autoregressive model in (J. Roy. Statist. Soc. Ser. A 1977; 140:34–35; Patten Recognition and Signal Processing. Sijthoff and Noordhoff: Netherlands, 1978; and J. Roy....
In the study of the Sparre Andersen risk model with phase‐type (n) inter‐claim times (PH (n) risk model), the distinct roots of the Lundberg fundamental equation in the right half of the complex plane and the linear independence of the eigenvectors related to the Lundberg matrix Lδ(s) play...
Generating multivariate Poisson random variables is essential in many applications, such as multi echelon supply chain systems, multi‐item/multi‐period pricing models, accident monitoring systems, etc. Current simulation methods suffer from limitations ranging from computational complexity to...
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