Pub Date : 2023-05-12DOI: 10.1007/s11579-023-00334-y
Youcheng Lou
{"title":"On the functional equivalence of two perfectly competitive economies with negative exponential utility and linear utility with a quadratic holding cost","authors":"Youcheng Lou","doi":"10.1007/s11579-023-00334-y","DOIUrl":"https://doi.org/10.1007/s11579-023-00334-y","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"103 1","pages":"239 - 245"},"PeriodicalIF":1.6,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82433819","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-03-04DOI: 10.1007/s11579-023-00332-0
Fangyuan Zhang
{"title":"Non-concave portfolio optimization with average value-at-risk","authors":"Fangyuan Zhang","doi":"10.1007/s11579-023-00332-0","DOIUrl":"https://doi.org/10.1007/s11579-023-00332-0","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"13 1","pages":"203 - 237"},"PeriodicalIF":1.6,"publicationDate":"2023-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91282712","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-18DOI: 10.1007/s11579-022-00330-8
Mondher Bellalah, Detao Zhang, Panpan Zhang
{"title":"An optimal portfolio and consumption problem with a benchmark and partial information","authors":"Mondher Bellalah, Detao Zhang, Panpan Zhang","doi":"10.1007/s11579-022-00330-8","DOIUrl":"https://doi.org/10.1007/s11579-022-00330-8","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"116 1","pages":"1-26"},"PeriodicalIF":1.6,"publicationDate":"2023-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73660661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-01DOI: 10.1007/s11579-022-00315-7
T R Hurd
This article presents a model of the financial system as an inhomogeneous random financial network (IRFN) with N nodes that represent different types of institutions such as banks or funds and directed weighted edges that signify counterparty relationships between nodes. The onset of a systemic crisis is triggered by a large exogenous shock to banks' balance sheets. Their behavioural response is modelled by a cascade mechanism that tracks the propagation of damaging shocks and possible amplification of the crisis, and leads the system to a cascade equilibrium. The mathematical properties of the stochastic framework are investigated for the first time in a generalization of the Eisenberg-Noe solvency cascade mechanism that accounts for fractional bankruptcy charges. New results include verification of a "tree independent cascade property" of the solvency cascade mechanism, and culminate in an explicit recursive stochastic solvency cascade mapping conjectured to hold in the limit as the number of banks N goes to infinity. It is shown how this cascade mapping can be computed numerically, leading to a rich picture of the systemic crisis as it evolves toward the cascade equilibrium.
{"title":"Systemic cascades on inhomogeneous random financial networks.","authors":"T R Hurd","doi":"10.1007/s11579-022-00315-7","DOIUrl":"https://doi.org/10.1007/s11579-022-00315-7","url":null,"abstract":"<p><p>This article presents a model of the financial system as an inhomogeneous random financial network (IRFN) with <i>N</i> nodes that represent different types of institutions such as banks or funds and directed weighted edges that signify counterparty relationships between nodes. The onset of a systemic crisis is triggered by a large exogenous shock to banks' balance sheets. Their behavioural response is modelled by a cascade mechanism that tracks the propagation of damaging shocks and possible amplification of the crisis, and leads the system to a cascade equilibrium. The mathematical properties of the stochastic framework are investigated for the first time in a generalization of the Eisenberg-Noe solvency cascade mechanism that accounts for fractional bankruptcy charges. New results include verification of a \"tree independent cascade property\" of the solvency cascade mechanism, and culminate in an explicit recursive stochastic solvency cascade mapping conjectured to hold in the limit as the number of banks <i>N</i> goes to infinity. It is shown how this cascade mapping can be computed numerically, leading to a rich picture of the systemic crisis as it evolves toward the cascade equilibrium.</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"17 1","pages":"1-21"},"PeriodicalIF":1.6,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9944675/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"10794231","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-01-01Epub Date: 2023-05-17DOI: 10.1007/s11579-023-00336-w
Hamed Amini
We develop a model for contagion risks and optimal security investment in a directed network of interconnected agents with heterogeneous degrees, loss functions, and security profiles. Our model generalizes several contagion models in the literature, particularly the independent cascade model and the linear threshold model. We state various limit theorems on the final size of infected agents in the case of random networks with given vertex degrees for finite and infinite-variance degree distributions. The results allow us to derive a resilience condition for the network in response to the infection of a large group of agents and quantify how contagion amplifies small shocks to the network. We show that when the degree distribution has infinite variance and highly correlated in- and out-degrees, even when agents have high thresholds, a sub-linear fraction of initially infected agents is enough to trigger the infection of a positive fraction of nodes. We also demonstrate how these results are sensitive to vertex and edge percolation (intervention). We then study the asymptotic Nash equilibrium and socially optimal security investment. In the asymptotic limit, agents' risk depends on all other agents' investments through an aggregate quantity that we call network vulnerability. The limit theorems enable us to capture the impact of one class of agents' decisions on the overall network vulnerability. Based on our results, the vulnerability is semi-analytic, allowing for a tractable Nash equilibrium. We provide sufficient conditions for investment in equilibrium to be monotone in network vulnerability. When investment is monotone, we demonstrate that the (asymptotic) Nash equilibrium is unique. In the specific example of two types of core-periphery agents, we illustrate the strong effect of cost heterogeneity on network vulnerability and the non-monotonous investment as a function of costs.
{"title":"Contagion risks and security investment in directed networks.","authors":"Hamed Amini","doi":"10.1007/s11579-023-00336-w","DOIUrl":"10.1007/s11579-023-00336-w","url":null,"abstract":"<p><p>We develop a model for contagion risks and optimal security investment in a directed network of interconnected agents with heterogeneous degrees, loss functions, and security profiles. Our model generalizes several contagion models in the literature, particularly the independent cascade model and the linear threshold model. We state various limit theorems on the final size of infected agents in the case of random networks with given vertex degrees for finite and infinite-variance degree distributions. The results allow us to derive a resilience condition for the network in response to the infection of a large group of agents and quantify how contagion amplifies small shocks to the network. We show that when the degree distribution has infinite variance and highly correlated in- and out-degrees, even when agents have high thresholds, a sub-linear fraction of initially infected agents is enough to trigger the infection of a positive fraction of nodes. We also demonstrate how these results are sensitive to vertex and edge percolation (intervention). We then study the asymptotic Nash equilibrium and socially optimal security investment. In the asymptotic limit, agents' risk depends on all other agents' investments through an aggregate quantity that we call network vulnerability. The limit theorems enable us to capture the impact of one class of agents' decisions on the overall network vulnerability. Based on our results, the vulnerability is semi-analytic, allowing for a tractable Nash equilibrium. We provide sufficient conditions for investment in equilibrium to be monotone in network vulnerability. When investment is monotone, we demonstrate that the (asymptotic) Nash equilibrium is unique. In the specific example of two types of core-periphery agents, we illustrate the strong effect of cost heterogeneity on network vulnerability and the non-monotonous investment as a function of costs.</p>","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"17 2","pages":"247-283"},"PeriodicalIF":1.6,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10189239/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"9923701","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-08-17DOI: 10.1007/s11579-022-00325-5
M. Tsujimura, H. Yoshioka
{"title":"A robust consumption model when the intensity of technological progress is ambiguous","authors":"M. Tsujimura, H. Yoshioka","doi":"10.1007/s11579-022-00325-5","DOIUrl":"https://doi.org/10.1007/s11579-022-00325-5","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"530 1","pages":"23 - 47"},"PeriodicalIF":1.6,"publicationDate":"2022-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79550040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2022-07-12DOI: 10.1007/s11579-023-00333-z
Georg Christoph Tholen, Alexandra Marx
{"title":"A mean field model for the interactions between firms on the markets of their inputs","authors":"Georg Christoph Tholen, Alexandra Marx","doi":"10.1007/s11579-023-00333-z","DOIUrl":"https://doi.org/10.1007/s11579-023-00333-z","url":null,"abstract":"","PeriodicalId":48722,"journal":{"name":"Mathematics and Financial Economics","volume":"12 1","pages":""},"PeriodicalIF":1.6,"publicationDate":"2022-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72605713","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
扫码关注我们
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号