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A dynamical model for real economy and finance 实体经济与金融的动态模型
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2022-01-04 DOI: 10.1007/s11579-021-00311-3
F. Grassetti, C. Mammana, E. Michetti
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引用次数: 2
Informational efficiency and welfare. 信息效率和福利。
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2022-01-01 Epub Date: 2022-05-26 DOI: 10.1007/s11579-022-00319-3
Luca Bernardinelli, Paolo Guasoni, Eberhard Mayerhofer

In a continuous-time market with a safe rate and a risky asset that pays a dividend stream depending on a latent state of the economy, several agents make consumption and investment decisions based on public information-prices and dividends-and private signals. If each investor has constant absolute risk aversion, equilibrium prices do not reveal all the private signals, but lead to the same estimate of the state of the economy that one would hypothetically obtain from the knowledge of all private signals. Accurate information leads to low volatility, ostensibly improving market efficiency, but also reduces each agent's consumption through a decrease in the price of risk. Thus, informational efficiency is reached at the expense of agents' welfare.

在一个具有安全利率和风险资产的连续时间市场中，根据经济的潜在状态支付股息流，几个代理人根据公开信息-价格和股息-以及私人信号做出消费和投资决策。如果每个投资者都有恒定的绝对风险厌恶，均衡价格不会揭示所有的私人信号，但会导致对经济状态的估计与假设从所有私人信号的知识中获得的估计相同。准确的信息导致低波动，表面上提高了市场效率，但也通过降低风险价格降低了每个代理人的消费。因此，信息效率是以牺牲代理人的福利为代价来实现的。
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引用次数: 0
Arbitrage-free Nelson–Siegel model for multiple yield curves 多收益率曲线的无套利Nelson-Siegel模型
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2021-10-06 DOI: 10.1007/s11579-021-00308-y
R. Brignone, Christoph Gerhart, E. Lütkebohmert
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引用次数: 1
Hunting for superstars 寻找超级明星
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2021-10-02 DOI: 10.1007/s11579-023-00337-9
Martin Meier, Leopold Sögner
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引用次数: 0
Price impact equilibrium with transaction costs and TWAP trading 价格影响均衡与交易成本和TWAP交易
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2021-09-18 DOI: 10.1007/s11579-021-00306-0
Eunjung Noh, Kim Weston
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引用次数: 7
Optimal portfolios in the presence of stress scenarios A worst-case approach 压力情景下的最优投资组合
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2021-08-14 DOI: 10.1007/s11579-021-00304-2
R. Korn, Lukas Müller
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引用次数: 8
Robust utility maximization under model uncertainty via a penalization approach 基于惩罚方法的模型不确定性下的鲁棒效用最大化
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2021-08-02 DOI: 10.1007/s11579-021-00301-5
Ivan Guo, N. Langrené, G. Loeper, Wei Ning
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引用次数: 11
Optimal control model of an enterprise for single and inheriting periods of carbon emission reduction 企业单期和继承期碳减排的最优控制模型
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2021-07-31 DOI: 10.1007/s11579-021-00302-4
Jin Liang, Wen-Haw Huang
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引用次数: 4
Convergence rates of large-time sensitivities with the Hansen–Scheinkman decomposition 大时间灵敏度与Hansen-Scheinkman分解的收敛率
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2021-07-22 DOI: 10.1007/s11579-021-00300-6
Hyungbin Park
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引用次数: 3
A stochastic control approach to public debt management 公共债务管理的随机控制方法
IF 1.6 3区 经济学 Q3 BUSINESS, FINANCE
Mathematics and Financial Economics
Pub Date : 2021-07-22 DOI: 10.1007/s11579-022-00323-7
Matteo Brachetta, Claudia Ceci
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引用次数: 3
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