2024-03-29T15:47:54Z
https://mpra.ub.uni-muenchen.de/cgi/oai2
oai:mpra.ub.uni-muenchen.de:612
2019-10-03T04:41:30Z
7374617475733D756E707562
7375626A656374733D44:4438:443830
7375626A656374733D43:4336:433635
7375626A656374733D44:4435:443530
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/612/
A unified differential information framework assessing that more information is preferred to less
Fugarolas Álvarez-Ude, Guadalupe
Hervés-Beloso, Carlos
D80 - General
C65 - Miscellaneous Mathematical Tools
D50 - General
The Walrasian model has played a central role in all aspects of economics. The purpose of this paper is to propose a general modeling of differential information in the spirit of the Arrow-Debreu model and following the Radner tradition but away from the usual measurability conception. We provide a characterization of better informed agents in order to firstly formalize an essential feature known as part of some oral tradition: a decisionmaker prefers more information to less.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/612/1/MPRA_paper_612.pdf
Fugarolas Álvarez-Ude, Guadalupe and Hervés-Beloso, Carlos (2005): A unified differential information framework assessing that more information is preferred to less.
en
oai:mpra.ub.uni-muenchen.de:648
2019-09-26T14:10:10Z
7374617475733D756E707562
7375626A656374733D51:5135
7375626A656374733D43:4336:433631
7375626A656374733D51:5135:513533
7375626A656374733D51:5135:513537
7375626A656374733D43:4336:433635
7375626A656374733D51:5135:513532
7375626A656374733D43:4338:433838
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/648/
Application of Knowledge-based Tools in Environmental Decision Support Systems
Lam, David C.L.
Swayne, David
Mariam, Yohannes
Wong, Isaac
Fong, Philip
Q5 - Environmental Economics
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
Q53 - Air Pollution ; Water Pollution ; Noise ; Hazardous Waste ; Solid Waste ; Recycling
Q57 - Ecological Economics: Ecosystem Services ; Biodiversity Conservation ; Bioeconomics ; Industrial Ecology
C65 - Miscellaneous Mathematical Tools
Q52 - Pollution Control Adoption and Costs ; Distributional Effects ; Employment Effects
C88 - Other Computer Software
Decision support system often requires the combined knowledge of multiple domains. A knowledge-based approach is proposed to include not only the process modelling knowledge but also the descriptive knowledge in the integration. Descriptive knowledge such as survey statistics and expert opinions forms the core of a study on the uncertainty of the combined knowledge. It was found that the use of expert systems, neural network and belief causal network assist greatly in the implementation of these concepts. Examples are drawn from the combination of scientific and economic knowledge to solve some acid rain problems.
1997
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/648/1/MPRA_paper_648.pdf
Lam, David C.L. and Swayne, David and Mariam, Yohannes and Wong, Isaac and Fong, Philip (1997): Application of Knowledge-based Tools in Environmental Decision Support Systems.
en
oai:mpra.ub.uni-muenchen.de:1242
2019-09-30T22:46:17Z
7374617475733D707562
7375626A656374733D43:4331
7375626A656374733D43:4331:433130
7375626A656374733D43:4334
7375626A656374733D43:4334:433434
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1242/
Hilbert's Sixth Problem: Descriptive Statistics as New Foundations for Probability: Lévy Processes
Johnson, Joseph F.
C1 - Econometric and Statistical Methods and Methodology: General
C10 - General
C4 - Econometric and Statistical Methods: Special Topics
C44 - Operations Research ; Statistical Decision Theory
C65 - Miscellaneous Mathematical Tools
Hay esbozos según los cuales las probabilidades se
cuentan como la fundación de la teoría matemática
de las estadísticas. Mas la significación física
de las probabilidades matemáticas son oscuros,
muy poco entendidos. Parecíera mejor que las
probabilidades físicas se fundaran en las
estadísticas descriptivas de datos fisicales. Se
trata una teoría que así responde a una cuestiona
de Hilbert propuesta en su Problema Número Seis,
la axiomatización de la Física. Esta está basada en la
auto-correlación de los series temporales. Casi todas
de las funciones de auto-correlación de las trayectorías
de un sistema dinámico lineal (con
un numbero bastante grande de grados de libertad) son todas
aproximadamente iguales, no importan las condiciones
iniciales, aún si el sistema no sea ergódico, como
conjeturó Khintchine en 1943.
2013-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1242/1/MPRA_paper_1242.pdf
Johnson, Joseph F. (2013): Hilbert's Sixth Problem: Descriptive Statistics as New Foundations for Probability: Lévy Processes. Published in: Revista Investigación Operacional , Vol. 35, No. 2 (April 2014): pp. 173-179.
en
oai:mpra.ub.uni-muenchen.de:1742
2019-09-29T09:46:44Z
7374617475733D756E707562
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433635
7375626A656374733D43:4336:433639
7375626A656374733D43:4336
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1742/
Repulsive Particle Swarm Method on Some Difficult Test Problems of Global Optimization
Mishra, SK
C63 - Computational Techniques ; Simulation Modeling
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C65 - Miscellaneous Mathematical Tools
C69 - Other
C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling
In this paper we test a particular variant of the (Repulsive) Particle Swarm method on some rather difficult global optimization problems. A number of these problems are collected from the extant literature and a few of them are newly introduced. First, we introduce the Particle Swarm method of global optimization and its variant called the 'Repulsive Particle Swarm' (RPS) method. Then we endow the particles with some stronger local search abilities - much like tunneling - so that each particle can make a search in its neighborhood to optimize itself. Next, we introduce the test problems, the existing as well as the new ones. We also give plots of some of these functions to help appreciation of the optimization problem. Finally, we present the results of the RPS optimization exercise and compare the results with those obtained by using the Genetic algorithm (GA)and/or Simulated annealing (SA) method. We append the (Fortran) computer program that we have developed and used in this exercise.
Our findings indicate that neither the RPS nor the GA/SA method can assuredly find the optimum of an arbitrary function. In case of the Needle-eye and the Corana functions both methods perform equally well while in case of Bukin's 6th function both yield the values of decision variables far away from the right ones. In case of zero-sum function, GA performs better than the RPS. In case of the Perm #2 function, both of the methods fail when the dimension grows larger. In several cases, GA falters or fails while RPS succeeds. In case of N#1 through N#5 and the ANNs XOR functions the RPS performs better than the Genetic algorithm.
It is needed that we find out some criteria to classify the problems that suit (or does not suit) a particular method. This classification will highlight the comparative advantages of using a particular method for dealing with a particular class of problems.
2006-10-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1742/1/MPRA_paper_1742.pdf
Mishra, SK (2006): Repulsive Particle Swarm Method on Some Difficult Test Problems of Global Optimization.
en
oai:mpra.ub.uni-muenchen.de:1782
2019-09-26T12:42:08Z
7374617475733D756E707562
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433631
7375626A656374733D43:4338:433837
7375626A656374733D43:4336:433635
7375626A656374733D43:4338:433838
7375626A656374733D43:4338:433832
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/1782/
On generating correlated random variables with a given valid or invalid Correlation matrix
Mishra, SK
C63 - Computational Techniques ; Simulation Modeling
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C87 - Econometric Software
C65 - Miscellaneous Mathematical Tools
C88 - Other Computer Software
C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; Data Access
In simulation we often have to generate correlated random variables by giving a reference intercorrelation matrix, R or Q. The matrix R is positive definite and a valid correlation matrix. The matrix Q may appear to be a correlation matrix but it may be invalid (negative definite). With R(m,m) it is easy to generate X(n,m), but Q(m,m) cannot give real X(n,m). So, Q has to be converted into the near-most R matrix by some procedure.
NJ Higham (2002) provides a method to generate R from Q that satisfies the minimum Frobenius norm condition for (Q-R). Ali Al-Subaihi (2004) gives another method, but his method does not produce an optimal R from Q.
In this paper we propose an algorithm to produce an optimal R from Q by minimizing the maximum norm of (Q-R). A Computer program (in FORTRAN) also has been provided.
Having obtained R from Q, the paper gives an algorithm to obtain X(n,m) from R(m,m). The proposed algorithm is based on factorization of R, yet it is different from the Kaiser Dichman (1962) procedure. A computer program also has been given.
2004-08-02
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/1782/1/MPRA_paper_1782.pdf
Mishra, SK (2004): On generating correlated random variables with a given valid or invalid Correlation matrix.
en
oai:mpra.ub.uni-muenchen.de:2162
2019-09-26T08:19:42Z
7374617475733D707562
7375626A656374733D43:4330
7375626A656374733D44:4435:443533
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/2162/
On CAPM and Black-Scholes, differing risk-return strategies
McCauley, Joseph L.
Gunaratne, Gemunu H.
C0 - General
D53 - Financial Markets
C65 - Miscellaneous Mathematical Tools
In their path-finding 1973 paper Black and Scholes presented two separate derivations of their famous option pricing partial differential equation (pde). The second derivation was from the standpoint that was Black’s original motivation, namely, the capital asset pricing model (CAPM). We show here, in contrast, that the option valuation is not uniquely determined; in particular, strategies based on the delta-hedge and CAPM provide different valuations of an option although both hedges are instantaneouly riskfree. Second, we show explicitly that CAPM is not, as economists claim, an equilibrium theory.
2003
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/2162/1/MPRA_paper_2162.pdf
McCauley, Joseph L. and Gunaratne, Gemunu H. (2003): On CAPM and Black-Scholes, differing risk-return strategies. Published in: Physica A , Vol. 329, (0203): pp. 170-177.
en
oai:mpra.ub.uni-muenchen.de:3926
2019-09-26T13:37:12Z
7374617475733D756E707562
7375626A656374733D43:4336:433633
7375626A656374733D43:4338:433838
7375626A656374733D43:4335
7375626A656374733D43:4338:433837
7375626A656374733D43:4331
7375626A656374733D42:4234:423431
7375626A656374733D43:4334:433433
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/3926/
Les algorithmes de la modélisation : une analyse critique pour la modélisation économique
Buda, Rodolphe
C63 - Computational Techniques ; Simulation Modeling
C88 - Other Computer Software
C5 - Econometric Modeling
C87 - Econometric Software
C1 - Econometric and Statistical Methods and Methodology: General
B41 - Economic Methodology
C43 - Index Numbers and Aggregation
C65 - Miscellaneous Mathematical Tools
L'objet de ce papier n'est pas tant de présenter les principaux algorithmes utilisés
en modélisation économique - nombre de manuels font des présentations de meilleure
qualité et plus exhaustives - que d'en proposer une vision critique. Les modèles économiques, et plus particulièrement les modèles macroéconométriques, sont des représentations numériques qui, de ce fait, ont opéré des choix de simplification voire de réduction de la réalité. Revenir sur les algorithmes existants peut donc, nous l'espérons, constituer une étape vers la reformulation d'algorithmiques plus féconds pour la modélisation.
Le problème de la modélisation consiste à se poser la question de savoir, compte tenu de
l'état observé de l'économie et sous certaines hypothèses, quelle sera en mode projection,
quelle serait (en mode simulation), l'état futur (vs l'état alternatif) de cette économie ? Depuis la phase de gestion de la banque de données qui requiert divers algorithmes de tri, jusqu'aux algorithmes d'analyse numérique impliqués dans les calculs matriciels d'estimation économétrique - pour être bref -, le fonctionnement de la modélisation macroéconométrique s'explique par des algorithmes . Il implique l'emploi d'une syntaxe, l'algorithmique, et d'un langage, les mathématiques. L'algorithme est une séquence d'instructions ordonnées et formalisées, permettant d'aboutir à la résolution du problème étudié. Peu d'ouvrages sont consacrés aux phases algorithmiques de la modélisation .
Si les algorithmes visent tous à assister la décision (analyses rétrospective et prospective), ils sont loin de former une librairie homogène de programmes. Nous aborderons des algorithmes directement liés à un traitement numérique (estimation statistique, simulation optimisation). Mais nous consacrerons également quelques lignes à des algorithmes de nature apparemment "moins numériques", mais intervenant dans des phases déterminantes de la modélisation. Il s'agira d'une part des algorithmes permettant de structurer et/ou d'analyse des données ainsi que des algorithmes graphiques et ceux de communication. Enfin nous aborderons brièvement le problème de précision des calculs lié à l'arithmétique des ordinateurs. Délibérément, nous n'avons développé les aspects relatifs au Génie logiciel , de même que dans un souci de clarté, nous avons regroupé les programmes en annexe, lorsque la compréhension n'exigeait pas qu'ils accompagnent le texte. Notre présentation sera jalonnée de travaux algorithmiques et de références
à nos notes de travail, réalisés dans le cadre de notre thèse de Doctorat.
2001-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/3926/1/MPRA_paper_3926.pdf
Buda, Rodolphe (2001): Les algorithmes de la modélisation : une analyse critique pour la modélisation économique.
fr
oai:mpra.ub.uni-muenchen.de:4917
2019-09-28T16:31:53Z
7374617475733D756E707562
7375626A656374733D43:4336:433635
7375626A656374733D43:4335:433532
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/4917/
Volatility Proxies for Discrete Time Models
de Vilder, Robin G.
Visser, Marcel P.
C65 - Miscellaneous Mathematical Tools
C52 - Model Evaluation, Validation, and Selection
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
Discrete time volatility models typically employ a latent scale factor to represent volatility. High frequency data may be used to construct proxies for these scale factors. Examples are the intraday high-low range and the realized volatility. This paper develops a method for ranking and optimizing volatility proxies. It is possible to outperform the quadratic variation as a proxy for the discrete time scale factor. For the S&P 500 index data over the years 1988-2006 this is achieved by a proxy which puts, among other things, more weight on the highs than on the lows over intraday intervals.
2007-09-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/4917/1/MPRA_paper_4917.pdf
de Vilder, Robin G. and Visser, Marcel P. (2007): Volatility Proxies for Discrete Time Models.
en
oai:mpra.ub.uni-muenchen.de:5095
2019-09-28T06:53:49Z
7374617475733D756E707562
7375626A656374733D44:4437:443734
7375626A656374733D43:4338:433838
7375626A656374733D4E:4E34:4E3432
7375626A656374733D48:4835:483536
7375626A656374733D43:4336:433635
7375626A656374733D4F:4F35:4F3531
7375626A656374733D43:4332:433232
7375626A656374733D43:4333:433339
7375626A656374733D4B:4B34:4B3432
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/5095/
Cycles of violence, and terrorist attacks index for the State of Oklahoma
Gómez-Sorzano, Gustavo
D74 - Conflict ; Conflict Resolution ; Alliances ; Revolutions
C88 - Other Computer Software
N42 - U.S. ; Canada: 1913-
H56 - National Security and War
C65 - Miscellaneous Mathematical Tools
O51 - U.S. ; Canada
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C39 - Other
K42 - Illegal Behavior and the Enforcement of Law
I apply the Beveridge-Nelson business cycle decomposition method to the time series of per capita murder of Florida State (1933-2005). Separating out “permanent” from “cyclical” murder, I hypothesize that the cyclical part coincide with documented waves of organized crime, internal tensions, crime legislation, social, and political unrest, and with the periodic terrorist attacks to the U.S. The estimated cyclical component of murder shows that terrorist attacks against the U.S. have affected Oklahoma, creating estimated turning point dates marked by the most tragic terrorist attacks to the nation, and the State: the World Trade Center bombing in 1993, 9/11 2001, and the Alfred P. Murrah Federal Building bombing This paper belongs to the series of papers helping the U.S, and Homeland Security identify the closeness of terrorist attacks, and constructs the attacks index for Oklahoma. Other indices constructed include the Index for the U.S., New York State, New York City, Arizona, Massachusetts, California, Washington, Ohio, Philadelphia City, Arkansas, Missouri, Florida, and Michigan. These indices must be used as dependent variables in structural models for terrorist attacks and in models assessing the effects of terrorism over the U.S. economy.
2007-02-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/5095/1/MPRA_paper_5095.pdf
Gómez-Sorzano, Gustavo (2007): Cycles of violence, and terrorist attacks index for the State of Oklahoma.
en
oai:mpra.ub.uni-muenchen.de:7442
2019-09-28T10:37:40Z
7374617475733D707562
7375626A656374733D45:4533:453332
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/7442/
L'aritmetica del congiunturalista: misure di confronto temporale e loro relazioni
Rapacciuolo, Ciro
E32 - Business Fluctuations ; Cycles
C65 - Miscellaneous Mathematical Tools
This paper tries to establish mathematical relationships between some of the most used concepts in the analysis of cyclical developments, such as the month-on-month and year-on-year percentage variations, or the annual rate of growth. Some of these relationships are already used in practice, but up to now never demonstrated in a formal way. The ultimate aim is to develop a set of precise analytical tools for the short term analysis of high frequency variables. Analytical derivations are followed by various empirical examples based on data on main Italian economic variables, both monthly (such as the consumer price index) and quarterly variables (like gross domestic product) for the most recent years, in order to illustrate the theoretical relationships and clarify their practical uselfuness.
2002-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/7442/1/MPRA_paper_7442.pdf
Rapacciuolo, Ciro (2002): L'aritmetica del congiunturalista: misure di confronto temporale e loro relazioni. Published in: CSC Working Paper No. n. 31 - 2002 (December 2002)
it
oai:mpra.ub.uni-muenchen.de:10052
2019-09-26T12:24:10Z
7374617475733D756E707562
7375626A656374733D47:4732:473232
7375626A656374733D43:4336:433635
7375626A656374733D4C:4C32:4C3230
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/10052/
Can Insurance Companies Control their Financial Stability? Practical Solutions
Cristea, Mirela
G22 - Insurance ; Insurance Companies ; Actuarial Studies
C65 - Miscellaneous Mathematical Tools
L20 - General
Taking into account the actual economic situation of the world with numerous financial crisis, the insurance companies should control their financial stability in order to avoid the insolvency or even bankruptcy state. Thus, the insurers should find the adequate methods of substantiating the premium installments, the adequate ways of attracting insurances in order to achieve the right structure of the portfolio and the desired level of financial stability within the company. The present paper proposes mathematical calculation, through which different solution may be given in order to optimize insurance portfolio, determining thus its adequate structure to a certain level of stability planned by the company. The result of elaborated studies and analysis represents an useful instrument for the insured persons, being able to choose the right type of insurance, resting on its comparisons, analysis and conclusions, and for the insurance companies, being meant to improve their subscription and investment activity, as well as the financial stability. The mathematical calculation shown within this paper may be applied in practice and improved.
2008-08-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/10052/1/MPRA_paper_10052.pdf
Cristea, Mirela (2008): Can Insurance Companies Control their Financial Stability? Practical Solutions.
en
oai:mpra.ub.uni-muenchen.de:11001
2019-10-01T12:13:40Z
7374617475733D756E707562
7375626A656374733D47:4731
7375626A656374733D43:4336:433635
7375626A656374733D43:4335:433532
7375626A656374733D43:4332:433232
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/11001/
Ranking and Combining Volatility Proxies for Garch and Stochastic Volatility Models
Visser, Marcel P.
G1 - General Financial Markets
C65 - Miscellaneous Mathematical Tools
C52 - Model Evaluation, Validation, and Selection
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
Daily volatility proxies based on intraday data, such as the high-low range and the realized volatility, are important to the specification of discrete time volatility models, and to the quality of their parameter estimation. The main result of this paper is a simple procedure for combining such proxies into a single, highly efficient volatility proxy.
The approach is novel in optimizing proxies in relation to the scale factor (the volatility) in discrete time models, rather than optimizing proxies as estimators of the quadratic variation. For the S&P 500 index tick data over the years 1988-2006 the procedure yields a proxy which
puts, among other things, more weight on the sum of the highs than on the sum of the lows over ten-minute intervals. The empirical analysis indicates that this finite-grid optimized proxy outperforms the standard five-minute realized volatility by at least 40%, and the limiting case of the square root of the quadratic variation by 25%.
2008-10-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/11001/1/MPRA_paper_11001.pdf
Visser, Marcel P. (2008): Ranking and Combining Volatility Proxies for Garch and Stochastic Volatility Models.
en
oai:mpra.ub.uni-muenchen.de:14118
2019-09-28T15:33:42Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D50:5032:503231
7375626A656374733D45:4532:453232
7375626A656374733D45:4535:453532
7375626A656374733D50:5032:503236
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14118/
Coût ou bénéfice de la transition
Albu, Lucian-Liviu
Ivan-Ungureanu, Clementina
C65 - Miscellaneous Mathematical Tools
P21 - Planning, Coordination, and Reform
E22 - Investment ; Capital ; Intangible Capital ; Capacity
E52 - Monetary Policy
P26 - Political Economy ; Property Rights
This study tries to quantify the impact of transition in Eastern countries in an early stage on the cost-side and also on the benefit-side. The exposition plan includes: 1) Introduction; 2) Structural distortions; 3) Transition versus stability.
1994-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14118/1/MPRA_paper_14118.pdf
Albu, Lucian-Liviu and Ivan-Ungureanu, Clementina (1994): Coût ou bénéfice de la transition. Published in: L’Observateur de la Recherche Économique Roumaine No. 3 : pp. 5-17.
fr
oai:mpra.ub.uni-muenchen.de:14700
2019-09-27T09:57:35Z
7374617475733D756E707562
7375626A656374733D43:4336:433635
7375626A656374733D47:4733:473332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/14700/
Medidas de Riesgo Financiero y una Aplicación a las Variaciones de Depósitos del Sistema Financiero Boliviano
Gonzales-Martínez, Rolando
C65 - Miscellaneous Mathematical Tools
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
This paper describes three measures of financial risk –Value at Risk (VaR) based on the Gaussian distribution, VaR based on extreme value theory and conditional VaR (expected shortfall) – and shows an application of these measures to the withdrawals of deposits in the Bolivian financial system. The results suggest that it’s important to consider the statistical assumptions of these measures, in order to avoid underestimate or overestimate the true financial risks.
2008-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/14700/1/MPRA_paper_14700.pdf
Gonzales-Martínez, Rolando (2008): Medidas de Riesgo Financiero y una Aplicación a las Variaciones de Depósitos del Sistema Financiero Boliviano.
es
oai:mpra.ub.uni-muenchen.de:15352
2019-09-28T07:36:23Z
7374617475733D756E707562
7375626A656374733D43:4336:433635
7375626A656374733D4D:4D34:4D3432
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/15352/
Risque associé à l'utilisation de la loi de Benford pour détecter les fraudes dans le secteur de la mode
Bonache, Adrien
Moris, Karen
Maurice, Jonathan
C65 - Miscellaneous Mathematical Tools
M42 - Auditing
Objectives. This paper aims to show that it's not always possible to detect fraud in sales volume with Benford's law.
Data. I use video games hardwares sales volume, in Japan (from april 1989), in United-States, France, Germany and United-Kigngdom (from november 2000).
Study Design. After a short review of litterature and an introduction of my method, I test the adequation with Benford's law of my 56 weekly sales volume time series with khi-square statistics. Then, I present the bias and their significance.
Results. These tests show the inadequacy of our fashion sales time series with the Benford's Law despite the quality of our data base. Thus, for video games hardwares sales volume, Benford's law may be inefficient to detect frauds.
2009-05-23
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/15352/2/MPRA_paper_15352.pdf
Bonache, Adrien and Moris, Karen and Maurice, Jonathan (2009): Risque associé à l'utilisation de la loi de Benford pour détecter les fraudes dans le secteur de la mode.
fr
oai:mpra.ub.uni-muenchen.de:15665
2019-10-02T16:09:44Z
7374617475733D756E707562
7375626A656374733D47:4731
7375626A656374733D43:4336:433635
7375626A656374733D43:4330:433032
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/15665/
Harnack inequality and no-arbitrage bounds for self-financing portfolios
Carciola, Alessandro
Pascucci, Andrea
Polidoro, Sergio
G1 - General Financial Markets
C65 - Miscellaneous Mathematical Tools
C02 - Mathematical Methods
We give a direct proof of the Harnack inequality for a class of Kolmogorov operators associated with a linear SDE and we find the explicit expression of the optimal Harnack constant. We discuss some possible implication of the Harnack inequality in finance: specifically we infer no-arbitrage bounds for the value of self-financing portfolios in terms of the initial wealth.
2009-06-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/15665/1/MPRA_paper_15665.pdf
Carciola, Alessandro and Pascucci, Andrea and Polidoro, Sergio (2009): Harnack inequality and no-arbitrage bounds for self-financing portfolios.
en
oai:mpra.ub.uni-muenchen.de:15769
2019-09-29T02:56:48Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D43:4335:433532
7375626A656374733D43:4334:433436
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/15769/
Gordon and Newell queueing networks and copulas
Ciuiu, Daniel
C65 - Miscellaneous Mathematical Tools
C52 - Model Evaluation, Validation, and Selection
C46 - Specific Distributions ; Specific Statistics
In this paper we have found an analytical formula for a copula that connects the numbers Ni of customers in the nodes of a Gordon and Newell queueing network. We have considered two cases: the first one is the case of the network with 2 nodes, and the second one is the case of the network with at least 3 nodes. The analytical formula for the second case has been found for the most general case (none of the constants from a list is equal to a given value), and the other particular cases have been obtained by limit.
2007-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/15769/1/MPRA_paper_15769.pdf
Ciuiu, Daniel (2007): Gordon and Newell queueing networks and copulas. Published in: Yugoslav Journal of Operations Research , Vol. 19, No. 1 (July 2009): pp. 101-112.
en
oai:mpra.ub.uni-muenchen.de:21738
2019-09-29T10:14:06Z
7374617475733D756E707562
7375626A656374733D46:4631:463135
7375626A656374733D46:4632:463232
7375626A656374733D52:5231:523133
7375626A656374733D43:4336:433635
7375626A656374733D46:4631:463132
7375626A656374733D52:5231:523132
7375626A656374733D43:4336:433632
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/21738/
Spatial Discounting, Fourier, and Racetrack Economy: A Recipe for the Analysis of Spatial Agglomeration Models
Akamatsu, Takashi
Takayama, Yuki
Ikeda, Kiyohiro
F15 - Economic Integration
F22 - International Migration
R13 - General Equilibrium and Welfare Economic Analysis of Regional Economies
C65 - Miscellaneous Mathematical Tools
F12 - Models of Trade with Imperfect Competition and Scale Economies ; Fragmentation
R12 - Size and Spatial Distributions of Regional Economic Activity
C62 - Existence and Stability Conditions of Equilibrium
We provide an analytical approach that facilitates understanding the bifurcation mechanism of a wide class of economic models involving spatial agglomeration of economic activities. The proposed method overcomes the limitations of the Turing (1952) approach that has been used to analyze the emergence of agglomeration in the multi-regional core-periphery (CP) model of Krugman (1993, 1996). In other words, the proposed method allows us to examine whether agglomeration of mobile factors emerges from a uniform distribution and to analytically trace the evolution of spatial agglomeration patterns (i.e., bifurcations from various polycentric patterns as well as a uniform pattern) that these models exhibit when the values of some structural parameters change steadily. Applying the proposed method to the multi-regional CP
model, we uncover a number of previously unknown properties of the CP model, and
notably, the occurrence of “spatial period doubling bifurcation” in the CP model is
proved.
2009-08-18
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/21738/1/MPRA_paper_21738.pdf
Akamatsu, Takashi and Takayama, Yuki and Ikeda, Kiyohiro (2009): Spatial Discounting, Fourier, and Racetrack Economy: A Recipe for the Analysis of Spatial Agglomeration Models.
en
oai:mpra.ub.uni-muenchen.de:25788
2019-10-01T16:41:58Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D4D:4D31:4D3139
7375626A656374733D4F:4F31:4F3136
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/25788/
Approaches on investments in continuing management knowledge turnover apprising
Doval, E
Stoica, M
C65 - Miscellaneous Mathematical Tools
M19 - Other
O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
This paper approaches the problem of knowledge accumulation by the management team of organizations, but specially that ones focused on obtaining profit in order to obtain competitive advantage. After a brief presentation of the general context, the idea of continuing learning as investment is developed, tacit and explicit knowledge are differentiated and a grouping of knowledge into standardized, specialized and created knowledge is proposed. Further is proposed a process of continuing learning process for management team and the stages of continuing learning. Finally, a model of appraising investments in management knowledge turnover is also proposed.
2007-05-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/25788/1/MPRA_paper_25788.pdf
Doval, E and Stoica, M (2007): Approaches on investments in continuing management knowledge turnover apprising. Published in: the Proceedings of the 34th ARA (American-Romanian Academy of Arts and Science) Congress , Vol. ISBN 9, No. Ecole Polytechnique de Montreal (25 July 2007): pp. 228-231.
en
oai:mpra.ub.uni-muenchen.de:26405
2019-10-06T16:31:33Z
7374617475733D707562
7375626A656374733D43:4339:433930
7375626A656374733D43:4331:433139
7375626A656374733D44:4438:443835
7375626A656374733D48:4837:483730
7375626A656374733D44:4437:443731
7375626A656374733D43:4337:433738
7375626A656374733D43:4336:433635
7375626A656374733D43:4330:433032
7375626A656374733D48:4838:483833
7375626A656374733D44:4437:443732
7375626A656374733D44:4437:443738
7375626A656374733D44:4438:443833
7375626A656374733D45:4536:453631
7375626A656374733D41:4131:413134
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/26405/
Some Inquiries to Spontaneous Opinions: A case with Twitter in Indonesia
Maulana, Ardian
Situngkir, Hokky
C90 - General
C19 - Other
D85 - Network Formation and Analysis: Theory
H70 - General
D71 - Social Choice ; Clubs ; Committees ; Associations
C78 - Bargaining Theory ; Matching Theory
C65 - Miscellaneous Mathematical Tools
C02 - Mathematical Methods
H83 - Public Administration ; Public Sector Accounting and Audits
D72 - Political Processes: Rent-Seeking, Lobbying, Elections, Legislatures, and Voting Behavior
D78 - Positive Analysis of Policy Formulation and Implementation
D83 - Search ; Learning ; Information and Knowledge ; Communication ; Belief ; Unawareness
E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination
A14 - Sociology of Economics
The paper discusses opportunities to utilize the series of micro-blogs as provided by the Twitter in observation of opinion dynamics. The spontaneity of tweets is more, as the service is attached more to the mobile communications. The extraction of information in the series of tweets is demonstrated as in conceptual map and mention map. From the latter, the social network stylized properties, i.e.: power law distribution is shown. The exemplification of the methodology is on the 82nd commemoration of Indonesian Youth Pledge and the participatory movement of Indonesian capitol city, Jakarta.
2010-10-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/26405/1/MPRA_paper_26405.pdf
Maulana, Ardian and Situngkir, Hokky (2010): Some Inquiries to Spontaneous Opinions: A case with Twitter in Indonesia. Published in: BFI Working Paper Series No. WP-10-2010 (2 November 2010)
en
oai:mpra.ub.uni-muenchen.de:26593
2019-10-03T20:32:03Z
7374617475733D756E707562
7375626A656374733D44:4431:443138
7375626A656374733D44:4431:443131
7375626A656374733D42:4233:423330
7375626A656374733D44:4431:443133
7375626A656374733D44:4430:443033
7375626A656374733D43:4336:433635
7375626A656374733D42:4235:423532
7375626A656374733D47:4732:473238
7375626A656374733D43:4332:433231
7375626A656374733D44:4436:443630
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/26593/
Demand for Self Control: A model of Consumer Response to Programs and Products that Moderate Consumption
Berg, Nathan
Kim, Jeong-Yoo
D18 - Consumer Protection
D11 - Consumer Economics: Theory
B30 - General
D13 - Household Production and Intrahousehold Allocation
D03 - Behavioral Microeconomics: Underlying Principles
C65 - Miscellaneous Mathematical Tools
B52 - Institutional ; Evolutionary
G28 - Government Policy and Regulation
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
D60 - General
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
Is it better to apply effort to increase personal consumption, or control what one wants? The model presented here provides a characterization of demand for self control, namely, its responsiveness to price and risk. Unlike most other models of self control, the model does not identify self control with time inconsistency or rely on the multiple-selves framework. Self control refers to resources allocated to preference transformation technology enabling consumers to moderate desire for ordinary consumption by reducing threshold levels required to achieve goals or target-levels of consumption. Consumers face a choice between allocating resources toward increasing expected levels of consumption or increasing chances of contentment through self control. Because of strong income effects, demand for self control turns out to be non-monotonic in price and sometimes discontinuous, revealing potential for unanticipated and sometimes surprisingly large responses to small changes in price. The model is used to analyze consumers’ willingness to follow new regulations, take up credit counseling, enroll in financial literacy programs, and purchase products aimed at improving financial decision making through cultivation of self control.
2010
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/26593/1/MPRA_paper_26593.pdf
Berg, Nathan and Kim, Jeong-Yoo (2010): Demand for Self Control: A model of Consumer Response to Programs and Products that Moderate Consumption.
en
oai:mpra.ub.uni-muenchen.de:28842
2019-09-28T04:51:34Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433631
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/28842/
Ein allgemeines Dekompositionsverfahren fuer lineare Optimierungsprobleme
Heinemann, Hergen H.
C65 - Miscellaneous Mathematical Tools
C02 - Mathematical Methods
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
A Really GENERAL Decomposition Algorithm for Very Large Linear Optimization Problems
Proven theory as Regards Optimality and Finality
Advantageous for very large problems with a rather small percentage of real variables in the optimal solution - Simplex method is used as a calculating sub-routine -
NO SPECIAL STRUCTURE OF MATRIX REQUIRED - Method applicable without change for non-structures as well as for any and all structures of matrix.
Maximum necessary problem size to be calculated with simplex method procedure: a bit more than a matrix of optimal-solution original variables and optimal solution restrictions - single-stage or double-stage decomposition possible - parametric-programming-similar re-calculations possible. For consultancy on slight extensions in theory as well as on important extensions in calculation tactics you may contact Dr. Hergen Heinemann: Hergen.Heinemann"et"alumni.insead.edu
Detailed ABSTRACT of Theory
(1) From the total problem matrix (TPM) partial problems (PP) are taken arbitrarily, but every variable should be represented in at least one of them.
(2) PPA´s are equipped with suitable functions for optimization and are optimized with the simplex method procedure.
(3) The optimized solutions of the PPA´s serve to obtain variables for an auxiliary problem (AP), which is then optimized to reflect an optimal combination of the optimized PP`s.
(4) With the optimal dual values of the AP the actual values for every variable of the to-be-optimized function of the TPM are calculated.
(5) With the actual values for every variable of the to-be-optimized function of the TPM a test is done to check whether the optimal solution of the TPM is already reached.
(6) Is the optimum solution of the TPM reached, then the algorithm is at the end. If not, the algorithm continues with item (2) above with a new set of variables and using the actual values of the variables of the to-be-optimized function as per item (3), starting a new cycle of the algorithm.
Original copy may be available at:
Titel: Ein allgemeines Dekompositionsverfahren fuer lineare Optimierungsprobleme (in English: A General Decomposition Algorithm for Linear Optimization Problems)
( To obtain a copy of this operations research on linear programming paper e-mail to Technische Universitaet, Braunschweig:) fernleihe@tu-bs.de
Author: Heinemann, Hergen
Published: 1971
No. of pages: III, 80 S. ; 8º
Doctoral Degree Paper: Saarbruecken, University, Diss., 1971
Signature: 2400-3106 / Tiefmagazin, 2. UG
1971
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/28842/3/MPRA_paper_28842.pdf
Heinemann, Hergen H. (1971): Ein allgemeines Dekompositionsverfahren fuer lineare Optimierungsprobleme. Published in: Zeitschrift fuer betriebswirtschaftliche Forschung No. 22 (1970): pp. 302-317.
de
oai:mpra.ub.uni-muenchen.de:30859
2019-10-10T08:08:58Z
7374617475733D756E707562
7375626A656374733D47:4731:473132
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433635
7375626A656374733D47:4731:473133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/30859/
One numerical procedure for two risk factors modeling
Cocozza, Rosa
De Simone, Antonio
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
C63 - Computational Techniques ; Simulation Modeling
C65 - Miscellaneous Mathematical Tools
G13 - Contingent Pricing ; Futures Pricing
We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross Rubinstein (CRR, 1979) binomial model under a stochastic risk free rate, whose dynamics evolves over time accordingly to the Black, Derman and Toy (BDT, 1990) one-factor model. To this aim, we set the hypothesis that the instantaneous correlation between the trajectories of the future stock price (conditional on the current value of the short rate) and of the future short rate is zero. We then apply the resulting stock price dynamics to evaluate the price of a simple contract, i.e. of a stock option. Finally, we compare the derived price to the price of the same option under different pricing models, as the traditional Black and Scholes (1973) model. We expect that, the difference in the two prices is not sensibly large. We conclude showing in which cases it should be helpful to adopt the described model for pricing purposes.
2011-05-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/30859/1/MPRA_paper_30859.pdf
Cocozza, Rosa and De Simone, Antonio (2011): One numerical procedure for two risk factors modeling.
en
oai:mpra.ub.uni-muenchen.de:30871
2019-09-26T22:11:29Z
7374617475733D707562
7375626A656374733D41:4132:413233
7375626A656374733D43:4335:433532
7375626A656374733D47:4733
7375626A656374733D43:4337
7375626A656374733D43:4334
7375626A656374733D43:4331:433133
7375626A656374733D44:4438:443834
7375626A656374733D43:4336:433635
7375626A656374733D41:4131:413132
7375626A656374733D43:4330:433032
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/30871/
Pengertian dari dan untuk ketakmengertian: Social Complexity sebagai cara pandang baru dalam memahami fenomena sosial
Situngkir, Hokky
A23 - Graduate
C52 - Model Evaluation, Validation, and Selection
G3 - Corporate Finance and Governance
C7 - Game Theory and Bargaining Theory
C4 - Econometric and Statistical Methods: Special Topics
C13 - Estimation: General
D84 - Expectations ; Speculations
C65 - Miscellaneous Mathematical Tools
A12 - Relation of Economics to Other Disciplines
C02 - Mathematical Methods
The paper discusses the utilization of social complexity studies to enhance our understanding on many social phenomena. The discussions brings the concept of uncertainty in almost everything of social realms and makes some points related to the empirical findings of the power-law distributions in some particular cases. The paper concludes with some light discussions on the utilization of particular computational techniques to grasp the structural complexity that is observed in social life.
2011-05-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/30871/1/MPRA_paper_30871.pdf
Situngkir, Hokky (2011): Pengertian dari dan untuk ketakmengertian: Social Complexity sebagai cara pandang baru dalam memahami fenomena sosial. Published in: Seminar Nasional Statistika, Universitas Gadjah Mada Yogyakarta, 14 Mei 2011
id
oai:mpra.ub.uni-muenchen.de:31016
2019-09-27T12:36:46Z
7374617475733D756E707562
7375626A656374733D4C:4C31:4C3134
7375626A656374733D4D:4D31:4D3131
7375626A656374733D4C:4C32
7375626A656374733D44:4432
7375626A656374733D44:4437
7375626A656374733D43:4336:433635
7375626A656374733D4C:4C36
7375626A656374733D44:4438
7375626A656374733D4F:4F33
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/31016/
ERP project’s internal stakeholder network and how it influences the project’s outcome
Jääskeläinen, Kristian
Pau, Louis-François
L14 - Transactional Relationships ; Contracts and Reputation ; Networks
M11 - Production Management
L2 - Firm Objectives, Organization, and Behavior
D2 - Production and Organizations
D7 - Analysis of Collective Decision-Making
C65 - Miscellaneous Mathematical Tools
L6 - Industry Studies: Manufacturing
D8 - Information, Knowledge, and Uncertainty
O3 - Innovation ; Research and Development ; Technological Change ; Intellectual Property Rights
So far little effort has been put into researching the importance of internal ERP project stakeholders’ mutual interactions, realizing the project’s complexity, influence on the whole organization, and high risk for a useful final outcome. This research analyzes the stakeholders’ interactions and positions in the project network, their criticality, potential bottlenecks and conflicts. The main methods used are Social Network Analysis, and the elicitation of drivers for the individual players. Information was collected from several stakeholders from three large ERP projects all in global companies headquartered in Finland,together with representatives from two different ERP vendors, and with two experienced ERP consultants. The analysis gives quantitative as well as qualitative characterization of stakeholder criticality (mostly the Project Manager(s), the Business Owner(s) and the Process Owner(s)) , degree of centrality, closeness , mediating or bottleneck roles, relational ties and
conflicts (individual, besides those between business and project organizations) , and clique formations. A generic internal stakeholder network model is established as well as the criticality of the project phases. The results are summarized in the form of a list of recommendations for future ERP projects to address the internal stakeholder impacts .Project management should utilize the latest technology to provide tools to increase the interaction
between the stakeholders and to monitor the strength of these relations. Social network analysis tools could be used in the projects to visualize the stakeholder relations in order to better understand the possible risks related to the relations (or lack of them).
2009-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/31016/1/MPRA_paper_31016.pdf
Jääskeläinen, Kristian and Pau, Louis-François (2009): ERP project’s internal stakeholder network and how it influences the project’s outcome.
en
oai:mpra.ub.uni-muenchen.de:32666
2019-09-30T17:20:52Z
7374617475733D756E707562
7375626A656374733D43:4336:433635
7375626A656374733D47:4733:473332
7375626A656374733D43:4330:433031
7375626A656374733D43:4336:433630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/32666/
Macro-economy in models for default probability.
Geurdes, Han / J.F.
C65 - Miscellaneous Mathematical Tools
G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill
C01 - Econometrics
C60 - General
We inspect the question how to adapt to macro-economical variables those probability of default (PD) estimates where Merton's model assumptions cannot be used. The need for this is to obtain trustworthy estimates of PD from a given economical situation. The structure of a known market-credit risk model is adapted. The key concept in this
adaptation is the assumption of a different probabilistic situation for a firm before and at (first) default. If a corporate firm defaults we use a different probabilistic relation between macro-economical and market risk than in a firm's normal not default operation. We found a
remarkable resemblance between relativity of physical space-time and the economical framework of variables. This means a solution of the calibration problem without using a Gaussian distribution estimates of the default probability.
2011-07-28
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/32666/1/MPRA_paper_32666.pdf
Geurdes, Han / J.F. (2011): Macro-economy in models for default probability.
en
oai:mpra.ub.uni-muenchen.de:33408
2019-09-28T02:42:23Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D45:4534:453434
7375626A656374733D47:4732:473234
7375626A656374733D47:4730:473031
7375626A656374733D46:4634:463432
7375626A656374733D45:4536:453636
7375626A656374733D43:4336:433635
7375626A656374733D45:4535:453538
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473135
7375626A656374733D45:4535:453532
7375626A656374733D47:4732:473238
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/33408/
All Things Considered: The Interaction of the Reasons for the Financial Crisis
Abdala Rioja, Yamile E
F34 - International Lending and Debt Problems
E44 - Financial Markets and the Macroeconomy
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
G01 - Financial Crises
F42 - International Policy Coordination and Transmission
E66 - General Outlook and Conditions
C65 - Miscellaneous Mathematical Tools
E58 - Central Banks and Their Policies
G18 - Government Policy and Regulation
G15 - International Financial Markets
E52 - Monetary Policy
G28 - Government Policy and Regulation
The present paper reviews the causes that led to the financial crisis. Unlike other interpretations, this paper does not place main significance on a single source or on a set of causes. I consider all major standpoints highlighted by research and media prior, during and after the financial market turmoil in 2007. When evidence permits, reasons are validated and their potential consequences are reviewed by means of reductio ad absurdum, specifically by proof by contradiction. This analysis proposes arguments that are in favor and against a specific source whenever applicable, so as to address each cause’s major implications and deterrents. Ultimately, this analysis reveals through graph theory the interconnections among the analyzed sources for the crisis and their forbearance as a cluster that projected the final downturn.
2011-09-13
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/33408/1/MPRA_paper_33408.pdf
Abdala Rioja, Yamile E (2011): All Things Considered: The Interaction of the Reasons for the Financial Crisis.
en
oai:mpra.ub.uni-muenchen.de:33441
2019-09-28T19:18:50Z
7374617475733D756E707562
7375626A656374733D46:4633:463334
7375626A656374733D45:4534:453434
7375626A656374733D47:4732:473234
7375626A656374733D47:4730:473031
7375626A656374733D46:4634:463432
7375626A656374733D45:4536:453636
7375626A656374733D43:4336:433635
7375626A656374733D45:4535:453538
7375626A656374733D47:4731:473138
7375626A656374733D47:4731:473135
7375626A656374733D45:4535:453532
7375626A656374733D47:4732:473238
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/33441/
All things considered: the interaction of the reasons for the financial crisis
Abdala Rioja, Yamile E
F34 - International Lending and Debt Problems
E44 - Financial Markets and the Macroeconomy
G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
G01 - Financial Crises
F42 - International Policy Coordination and Transmission
E66 - General Outlook and Conditions
C65 - Miscellaneous Mathematical Tools
E58 - Central Banks and Their Policies
G18 - Government Policy and Regulation
G15 - International Financial Markets
E52 - Monetary Policy
G28 - Government Policy and Regulation
The present paper reviews the causes that led to the financial crisis. Unlike other interpretations, this paper does not place main significance on a single source or on a set of causes. I consider all major standpoints highlighted by research and media prior, during and after the financial market turmoil in 2007. When evidence permits, reasons are validated and their potential consequences are reviewed by means of reductio ad absurdum, specifically by proof by contradiction. This analysis proposes arguments that are in favor and against a specific source whenever applicable, so as to address each cause’s major implications and deterrents. Ultimately, this analysis reveals through graph theory the interconnections among the analyzed sources for the crisis and their forbearance as a cluster that projected the final downturn.
2011-09-13
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/33441/1/MPRA_paper_33441.pdf
Abdala Rioja, Yamile E (2011): All things considered: the interaction of the reasons for the financial crisis.
en
oai:mpra.ub.uni-muenchen.de:33785
2019-10-07T12:11:52Z
7374617475733D756E707562
7375626A656374733D46:4631:463136
7375626A656374733D4A:4A34:4A3433
7375626A656374733D46:4631:463133
7375626A656374733D43:4336:433635
7375626A656374733D51:5131:513137
7375626A656374733D46:4631:463132
7375626A656374733D4A:4A33:4A3333
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/33785/
Special Economic Zones and Agriculture with Increasing Returns
Mukherjee, Soumyatanu
F16 - Trade and Labor Market Interactions
J43 - Agricultural Labor Markets
F13 - Trade Policy ; International Trade Organizations
C65 - Miscellaneous Mathematical Tools
Q17 - Agriculture in International Trade
F12 - Models of Trade with Imperfect Competition and Scale Economies ; Fragmentation
J33 - Compensation Packages ; Payment Methods
This paper has made an attempt to show that in a developing economy, agriculture and Special Economic Zones (SEZ) can go simultaneously without affecting one another if appropriate subsidy policy is designed by the government. We have considered increasing returns brought about by external economies of scale in the SEZ-led industrial sector with the help of Dixit-Stiglitz (1977) type of production function where resource used to produce each variety of the SEZ-good is itself produced using constant returns to scale (CRS) technology and CRS is also present in the agricultural sector.
2011-09-29
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/33785/2/MPRA_paper_33785.pdf
Mukherjee, Soumyatanu (2011): Special Economic Zones and Agriculture with Increasing Returns.
en
oai:mpra.ub.uni-muenchen.de:35261
2019-09-26T11:41:56Z
7374617475733D696E7072657373
7375626A656374733D43:4335:433533
7375626A656374733D43:4336:433635
7375626A656374733D43:4334:433435
7375626A656374733D46:4633:463331
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/35261/
Are foreign currency markets interdependent? evidence from data mining technologies
Malliaris, A.G.
Malliaris, Mary
C53 - Forecasting and Prediction Methods ; Simulation Methods
C65 - Miscellaneous Mathematical Tools
C45 - Neural Networks and Related Topics
F31 - Foreign Exchange
This study uses two data mining methodologies: Classification and Regression Trees (C&RT) and Generalized Rule Induction (GRI) to uncover patterns among daily cash closing prices of eight currency markets. Data from 2000 through 2009 is used, with the last year held out to test the robustness of the rules found in the previous nine years. Results from the two methodologies are contrasted. A number of rules which perform well in both the training and testing years are discussed as empirical evidence of interdependence among foreign currency markets. The mechanical rules identified in this paper can usefully supplement other types of financial modeling of foreign currencies.
2011-11-28
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/35261/1/MPRA_paper_35261.pdf
Malliaris, A.G. and Malliaris, Mary (2011): Are foreign currency markets interdependent? evidence from data mining technologies. Forthcoming in: Stochastics: Finance and Risk No. 2012
en
oai:mpra.ub.uni-muenchen.de:35711
2019-09-28T00:40:12Z
7374617475733D707562
7375626A656374733D44:4438:443836
7375626A656374733D44:4436:443633
7375626A656374733D44:4438:443835
7375626A656374733D44:4438:443834
7375626A656374733D43:4330:433032
7375626A656374733D44:4437:443738
7375626A656374733D45:4536:453631
7375626A656374733D44:4438:443837
7375626A656374733D48:4832:483236
7375626A656374733D44:4432:443231
7375626A656374733D44:4431:443131
7375626A656374733D44:4438:443831
7375626A656374733D49:4930
7375626A656374733D41:4132:413233
7375626A656374733D45:4532:453236
7375626A656374733D44:4438:443832
7375626A656374733D44:4435:443531
7375626A656374733D41:4131:413130
7375626A656374733D44:4430:443033
7375626A656374733D44:4432:443233
7375626A656374733D43:4336:433635
7375626A656374733D48:4838:483837
7375626A656374733D44:4438:443833
7375626A656374733D48:4837:483733
7375626A656374733D44:4434:443433
7375626A656374733D44:4430:443031
7375626A656374733D42:4234:423431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/35711/
Trafficking in drugs and economic theory
Pandey, S.S.D.
D86 - Economics of Contract: Theory
D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
D85 - Network Formation and Analysis: Theory
D84 - Expectations ; Speculations
C02 - Mathematical Methods
D78 - Positive Analysis of Policy Formulation and Implementation
E61 - Policy Objectives ; Policy Designs and Consistency ; Policy Coordination
D87 - Neuroeconomics
H26 - Tax Evasion and Avoidance
D21 - Firm Behavior: Theory
D11 - Consumer Economics: Theory
D81 - Criteria for Decision-Making under Risk and Uncertainty
I0 - General
A23 - Graduate
E26 - Informal Economy ; Underground Economy
D82 - Asymmetric and Private Information ; Mechanism Design
D51 - Exchange and Production Economies
A10 - General
D03 - Behavioral Microeconomics: Underlying Principles
D23 - Organizational Behavior ; Transaction Costs ; Property Rights
C65 - Miscellaneous Mathematical Tools
H87 - International Fiscal Issues ; International Public Goods
D83 - Search ; Learning ; Information and Knowledge ; Communication ; Belief ; Unawareness
H73 - Interjurisdictional Differentials and Their Effects
D43 - Oligopoly and Other Forms of Market Imperfection
D01 - Microeconomic Behavior: Underlying Principles
B41 - Economic Methodology
The focus of this study is on black markets which provide an important segment of the parallel economy. These markets operate in disequilibrium,search and information costs become very important.Trafficking in drugs taken as case, to explore both theoretically and empirically. The problem, studied some twenty years back has been accentuating gradually world over. It is still a pressing problem of our civilization which needs to be tackled immediately and this requires a clear understanding of the problem and based on that,effective policy formulation and enforcement.We find that psycho-physiological dependence in abusers make their economic budget constraint 'redundant' thereby leading to completely inelastic demand schedules.Increasing cost of Police surveillance yields diminishing returns in terms of deterrence.There are secondary crimes as a result.By using developments in other human sciences, study opens the road leading to more realistic economic theory.
1991-03-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/35711/3/MPRA_paper_35711.pdf
Pandey, S.S.D. (1991): Trafficking in drugs and economic theory. Published in: ISBN 81-85694-10-9 (1 May 1994): pp. 74-160.
en
oai:mpra.ub.uni-muenchen.de:37629
2019-09-28T04:51:06Z
7374617475733D756E707562
7375626A656374733D43:4336:433635
7375626A656374733D43:4330:433032
7375626A656374733D44:4438:443839
7375626A656374733D44:4432:443234
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/37629/
Monotone equimeasurable rearrangements with non-additive probabilities
Ghossoub, Mario
C65 - Miscellaneous Mathematical Tools
C02 - Mathematical Methods
D89 - Other
D24 - Production ; Cost ; Capital ; Capital, Total Factor, and Multifactor Productivity ; Capacity
In the classical theory of monotone equimeasurable rearrangements of functions, “equimeasurability” (i.e. the fact the two functions have the same distribution) is defined relative to a given additive probability measure. These rearrangement tools have been successfully used in many problems in economic theory dealing with uncertainty where the monotonicity of a solution is desired. However, in all of these problems, uncertainty refers to the classical Bayesian understanding of the term, where the idea of ambiguity is absent. Arguably, Knighitan uncertainty, or ambiguity is one of the cornerstones of modern decision theory. It is hence natural to seek an extension of these classical tools of equimeasurable rearrangements to situations of ambiguity. This paper introduces the idea of a monotone equimeasurable rearrangement in the context of non-additive probabilities, or capacities that satisfy a property that I call strong nonatomicity. The latter is a strengthening of the notion of nonatomicity, and these two properties coincide for additive measures and for submodular (i.e. concave) capacities. To illustrate the usefulness of these tools in economic theory, I consider an application to a problem arising in the theory of production under uncertainty.
2011-10-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/37629/1/MPRA_paper_37629.pdf
Ghossoub, Mario (2011): Monotone equimeasurable rearrangements with non-additive probabilities.
en
oai:mpra.ub.uni-muenchen.de:37630
2019-09-26T13:01:04Z
7374617475733D756E707562
7375626A656374733D44:4438:443836
7375626A656374733D43:4336:433635
7375626A656374733D47:4732:473232
7375626A656374733D43:4330:433032
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/37630/
Belief heterogeneity in the Arrow-Borch-Raviv insurance model
Ghossoub, Mario
D86 - Economics of Contract: Theory
C65 - Miscellaneous Mathematical Tools
G22 - Insurance ; Insurance Companies ; Actuarial Studies
C02 - Mathematical Methods
In the classical Arrow-Borch-Raviv problem of demand for insurance contracts, it is well-known that the optimal insurance contract for an insurance buyer – or decision maker (DM) – is a deductible contract, when the insurer is a risk-neutral Expected-Utility (EU) maximizer, and when the DM is a risk-averse EU-maximizer. In the Arrow-Borch-Raviv framework, however, both parties share the same probabilistic beliefs about the realizations of the underlying insurable loss. This paper argues for heterogeneity of beliefs in the classical insurance model, and considers a setting where the DM and the insurer have preferences yielding different subjective beliefs. The DM seeks the insurance contract that will maximize her (subjective) expected utility of terminal wealth with respect to her subjective probability measure, whereas the insurer sets premiums on the basis of his subjective probability measure. I show that in this setting, and under a consistency requirement on the insurer’s subjective probability that I call vigilance, there exists an event to which the DM assigns full (subjective) probability and on which an optimal insurance contract for the DM takes the form of what I will call a generalized deductible contract. Moreover, the class of all optimal contracts for the DM that are nondecreasing in the loss is fully characterized in terms of their distribution under the DM’s probability measure. Finally, the assumption of vigilance is shown to be a weakening of the assumption of a monotone likelihood ratio, when the latter can be defined, and it is hence a useful tool in situations where the likelihood ratio cannot be defined.
2010-06-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/37630/1/MPRA_paper_37630.pdf
Ghossoub, Mario (2010): Belief heterogeneity in the Arrow-Borch-Raviv insurance model.
en
oai:mpra.ub.uni-muenchen.de:37717
2019-10-06T07:40:38Z
7374617475733D756E707562
7375626A656374733D44:4438:443836
7375626A656374733D47:4731:473131
7375626A656374733D43:4336:433635
7375626A656374733D43:4330:433032
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/37717/
Supplement to "Belief heterogeneity in the Arrow-Borch-Raviv insurance model"
Ghossoub, Mario
D86 - Economics of Contract: Theory
G11 - Portfolio Choice ; Investment Decisions
C65 - Miscellaneous Mathematical Tools
C02 - Mathematical Methods
This paper is a supplement to Ghossoub [11]. In this supplement, some of the results of Ghossoub [11], as well as the techniques used to obtain these result are extended to a more general problem of demand for contingent claims with belief heterogeneity. Moreover, a general problem of monotone comparative statics under heterogeneous uncertainty is examined, and I show how the idea of vigilance can be used to obtain a monotone comparative statics result in this case.
2010-06-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/37717/1/MPRA_paper_37717.pdf
Ghossoub, Mario (2010): Supplement to "Belief heterogeneity in the Arrow-Borch-Raviv insurance model".
en
oai:mpra.ub.uni-muenchen.de:39565
2019-09-27T06:44:50Z
7374617475733D756E707562
7375626A656374733D43:4331:433130
7375626A656374733D43:4335:433533
7375626A656374733D43:4336:433635
7375626A656374733D43:4331:433132
7375626A656374733D43:4330:433032
7375626A656374733D43:4332:433231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/39565/
Zeitpunktsignale zum aktiven Portfoliomanagement
Czinkota, Thomas
C10 - General
C53 - Forecasting and Prediction Methods ; Simulation Methods
C65 - Miscellaneous Mathematical Tools
C12 - Hypothesis Testing: General
C02 - Mathematical Methods
C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions
The successful active portfolio manager has to have at least two main competencies: Felicitous asset allocation choice and the competence to do so at the right point in time.
Based on an extension of Grinold and Kahn’s Fundamental Law of Active Management, this paper describes a method to identify such points. We construct a Chow-Test for the identification of structural breaks within a default competence-structure.
Time-Point-Signals identified this way are special in three ways:
First, our method identifies the signals immediately after their occurrence. For statistical reasons, this has been difficult to achieve, yet represents a necessity for active management. Typically, 30 days worth of data are required to conduct statistical tests after a structural break. Such a long delay often leads only to the achievement of typical expected rates of return. In active markets, 30 days are the long run.
Second, those time-point-signals are independent from a specific portfolio allocation and are therefore generally applicable to a selected investment universe. This means, it does not matter whether the indicated timing point is used by a good or an extremely good active manager, for both benefit from the support. In fact, we show with the help of the theoretical framework that the support is more valuable to less exceptional managers.
Third, the theoretical link of time-point-signals to the framework of Grinold and Kahn is of significant use to practitioners. By understanding the timing of signals, portfolios are not just strengthened through intuition but also due to theoretical insights.
2012-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/39565/3/MPRA_paper_39565.pdf
Czinkota, Thomas (2012): Zeitpunktsignale zum aktiven Portfoliomanagement.
de
oai:mpra.ub.uni-muenchen.de:40696
2019-09-28T23:17:54Z
7374617475733D756E707562
7375626A656374733D43:4330:433030
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/40696/
Measuring the erosion of debt
Shipman, Arthur F.
C00 - General
C65 - Miscellaneous Mathematical Tools
The calculation used for the inflation-adjustment of debt often produces incorrect results. With Debt and GDP adjusted by the same calculation and for the same inflation, the Debt/GDP ratio after adjustment must be equal to the ratio before adjustment. A graph comparing the ratio of nominals to the ratio of reals would show them to be identical. Such a graph will show no erosion of debt. But this is absurd. Instead, let each year's addition to debt be adjusted for inflation separately. Then the ratio of reals will run higher than the ratio of nominals, and will react to changes in inflation. It is a simple matter, then, to measure the erosion of debt.
2012-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/40696/1/MPRA_paper_40696.pdf
Shipman, Arthur F. (2012): Measuring the erosion of debt.
en
oai:mpra.ub.uni-muenchen.de:44421
2019-10-03T02:06:44Z
7374617475733D756E707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433635
7375626A656374733D43:4337:433730
7375626A656374733D44:4430:443031
7375626A656374733D44:4438:443837
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44421/
On apparent irrational behaviors : interacting structures and the mind
Gosselin, Pierre
Lotz, Aileen
Wambst, Marc
C02 - Mathematical Methods
C65 - Miscellaneous Mathematical Tools
C70 - General
D01 - Microeconomic Behavior: Underlying Principles
D87 - Neuroeconomics
We develop a general method to solve models of interactions between multiple agents, including the possibility of strategic advantage for some of them. We argue that this type of model applies to the description of apparently irrational or biased behaviors in a person whose action is the resultant of several rational structures with di�erent goals.
Our main example is a three agents model, denoted "conscious", "unconscious", and "body". Our principal result is that, for an agent whose "unconscious" goals differ from the conscious ones, the unconscious may in
uence the conscious either directly, or indirectly via a third agent, the body and its needs.
This three agent model allows the description of behaviors such as craving, excessive smoking, or sleepiness, to delay or dismiss a task. One of the main result stands in the fact
that the unconscious agent's strategic action depends crucially on whether the conscious' actions ("task" and "feeding") are complementary in time. When they are complementary, and if the conscious is not sensitive to unconscious' messages, the unconscious may drive the
conscious towards its goals by blurring physical needs. When they are not complementary, the unconscious may more easily reach his goal by influencing the conscious, be it directly or indirectly.
2013-02-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44421/1/MPRA_paper_44421.pdf
Gosselin, Pierre and Lotz, Aileen and Wambst, Marc (2013): On apparent irrational behaviors : interacting structures and the mind.
en
oai:mpra.ub.uni-muenchen.de:44479
2019-09-27T01:50:29Z
7374617475733D756E707562
7375626A656374733D42:4234:423431
7375626A656374733D43:4336:433635
7375626A656374733D45:4532:453230
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44479/
Settling the theory of saving
Kakarot-Handtke, Egmont
B41 - Economic Methodology
C65 - Miscellaneous Mathematical Tools
E20 - General
There is no way around it: each theory rests on a tiny set of foundational
propositions. Standard economics rests on behavioral axioms. After a long
intellectual detour it should be clear by now that behavioral axioms are the
wrong formal departure point. Being beyond repair, they have to be replaced
by objective structural axioms. This paper deals with saving and its relation to
investment and profit. It starts from the fact that there is no such thing as a real
economy. Hence economic phenomena are only explicable as the outcome of
the interaction of real and nominal variables.
2013-02-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44479/1/MPRA_paper_44479.pdf
Kakarot-Handtke, Egmont (2013): Settling the theory of saving.
en
oai:mpra.ub.uni-muenchen.de:44528
2019-09-27T14:12:18Z
7374617475733D756E707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433635
7375626A656374733D43:4337:433730
7375626A656374733D44:4430:443031
7375626A656374733D44:4438:443837
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/44528/
On apparent irrational behaviors : interacting structures and the mind
Gosselin, Pierre
Lotz, Aileen
Wambst, Marc
C02 - Mathematical Methods
C65 - Miscellaneous Mathematical Tools
C70 - General
D01 - Microeconomic Behavior: Underlying Principles
D87 - Neuroeconomics
We develop a general method to solve models of interactions between multiple and possibly strategic agents. Our model explains apparently irrational or biased behaviors in a person. We argue that these actions could result from several rational structures having different goals. Our main example is a model of three agents, "conscious", "unconscious", and "body". Our main result states that, for an agent whose unconscious and conscious goals differ, the unconscious may influence the conscious, either directly or indirectly, via a third agent, the body. This three-agent model describes behaviors such as craving, excessive smoking, or sleepiness, to delay or dismiss a task. One of the main result shows that the unconscious' strategic action crucially depends on whether the conscious' actions are complementary in time. When complementary, and if the conscious is not sensitive to unconscious' messages, the unconscious may drive the conscious towards its goals by blurring physical needs. When not complementary, the unconscious may more easily reach his goal by influencing the conscious, be it directly or indirectly.
2013-02-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/44528/8/MPRA_paper_44528.pdf
Gosselin, Pierre and Lotz, Aileen and Wambst, Marc (2013): On apparent irrational behaviors : interacting structures and the mind.
en
oai:mpra.ub.uni-muenchen.de:45033
2019-09-27T08:50:15Z
7374617475733D756E707562
7375626A656374733D43:4330:433030
7375626A656374733D43:4331
7375626A656374733D43:4331:433139
7375626A656374733D43:4336
7375626A656374733D43:4336:433635
7375626A656374733D43:4338:433830
7375626A656374733D45:4530
7375626A656374733D45:4533
7375626A656374733D46:4636
7375626A656374733D46:4636:463632
7375626A656374733D46:4636:463634
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/45033/
The distance-based approach to the quantification of the world convergences and imbalances - comparisons across countries and factors
Horvath, Denis
Sulikova, Veronika
Gazda, Vladimir
Sinicakova, Marianna
C00 - General
C1 - Econometric and Statistical Methods and Methodology: General
C19 - Other
C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling
C65 - Miscellaneous Mathematical Tools
C80 - General
E0 - General
E3 - Prices, Business Fluctuations, and Cycles
F6 - Economic Impacts of Globalization
F62 - Macroeconomic Impacts
F64 - Environment
The paper presents a general empirical method of distance-based multifaceted systematic identifying
of the positions of countries in relation to inequalities and imbalances. In order to understand the world economic relations in their entirety, we decided to analyze twelve most populous countries and eleven macroeconomic, environmental and demographic indicators relevant to them. Our analysis covering the period 1992-2008 attempts to identify core parts of the global economic system and countries that pose a potential risk of instability.
2013
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/45033/1/MPRA_paper_45033.pdf
Horvath, Denis and Sulikova, Veronika and Gazda, Vladimir and Sinicakova, Marianna (2013): The distance-based approach to the quantification of the world convergences and imbalances - comparisons across countries and factors.
en
oai:mpra.ub.uni-muenchen.de:46214
2019-10-21T10:43:46Z
7374617475733D707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433635
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/46214/
Effectiveness of securities with fuzzy probabilistic return
Piasecki, Krzysztof
C02 - Mathematical Methods
C65 - Miscellaneous Mathematical Tools
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
The generalized fuzzy present value of a security is defined here as fuzzy valued utility of cash flow. The generalized fuzzy present value cannot depend on the value of future cash flow. There exists such a generalized fuzzy present value which is not a fuzzy present value in the sense given by Ward [35] or by Huang [14]. If the present value is a fuzzy number and the future value is a random variable, then the return rate is given as a probabilistic fuzzy subset on the real line. This kind of return rate is called a fuzzy probabilistic return. The main goal of this paper is to derive the family of effective securities with fuzzy probabilistic return. Achieving this goal requires the study of the basic parameters characterizing fuzzy probabilistic return. Therefore, fuzzy expected value and variance are determined for this case of return. These results are a starting point for constructing a three-dimensional image. The set of effective securities is introduced as the Pareto optimal set determined by the maximization of the expected return rate and minimization of the variance. Finally, the set of effective securities is distinguished as a fuzzy set. These results are obtained without the assumption that the distribution of future values is Gaussian.
2011-07-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/46214/1/MPRA_paper_46214.pdf
Piasecki, Krzysztof (2011): Effectiveness of securities with fuzzy probabilistic return. Published in: Operations Research and Decisions No. 2 (2011): pp. 65-78.
en
oai:mpra.ub.uni-muenchen.de:46218
2019-09-27T20:12:04Z
7374617475733D707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433635
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/46218/
Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych
Piasecki, Krzysztof
C02 - Mathematical Methods
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C65 - Miscellaneous Mathematical Tools
G11 - Portfolio Choice ; Investment Decisions
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
The book is divided into five parts. The essence of behavioural finance is presented in the first parts. Fuzzy generalizations of some mathematical concepts are presented in the second part. The impact of selected behavioural premises for imprecise estimation of expected return is described in the third part. In the fourth part are considered financial instruments under uncertainty and imprecision risk. In the fifth part fuzzy probabilistic sets are applied for actuarial mathematics.
2011-06-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/46218/1/MPRA_paper_46218.pdf
Piasecki, Krzysztof (2011): Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych. Published in: (November 2011): pp. 1-132.
pl
oai:mpra.ub.uni-muenchen.de:46229
2019-10-02T13:55:02Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D45:4533:453332
7375626A656374733D45:4533:453337
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/46229/
From Kondratieff to Chaos: Some Perspectives on Long-Term and Short-Term Business Cycles
Dale, Charles
C65 - Miscellaneous Mathematical Tools
E32 - Business Fluctuations ; Cycles
E37 - Forecasting and Simulation: Models and Applications
The nature of short- and long-term business cycles is a topic of considerable interest to futurists, since the state of the economy affects the possibilities for dealing with so many other areas of interest, from pollution control to child care. In this article, which is based on a talk that the author gave at the World Future Society’s Sixth General Assembly in July 1989, he discusses the most recent ideas in both long- and short-term business cycle theory, and describes some of their interrelationships. One of the key connections between short- and long-term cycles is through industry, and the paper begins with a discussion of an industrial quality control issue.
1990
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/46229/1/MPRA_paper_46229.pdf
Dale, Charles (1990): From Kondratieff to Chaos: Some Perspectives on Long-Term and Short-Term Business Cycles. Published in: Futures Research Quarterly , Vol. 6, No. 4 (1990): pp. 71-83.
en
oai:mpra.ub.uni-muenchen.de:46250
2019-09-27T16:50:11Z
7374617475733D756E707562
7375626A656374733D43:4331:433135
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/46250/
Relevant States and Memory in Markov Chain Bootstrapping and Simulation
Cerqueti, Roy
Falbo, Paolo
Pelizzari, Cristian
C15 - Statistical Simulation Methods: General
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C63 - Computational Techniques ; Simulation Modeling
C65 - Miscellaneous Mathematical Tools
Markov chain theory is proving to be a powerful approach to bootstrap highly nonlinear time series. In this work we provide a method to estimate the memory of a Markov chain (i.e. its order) and to identify its relevant states. In particular the choice of memory lags and the aggregation of irrelevant states are obtained by looking for regularities in the transition probabilities.
Our approach is based on an optimization model. More specifically we consider two competing objectives that a researcher will in general pursue when dealing with bootstrapping: preserving the “structural” similarity between the original and the simulated series and assuring
a controlled diversification of the latter. A discussion based on information theory is developed to define the desirable properties for such optimal criteria. Two numerical tests are developed to verify the effectiveness of the method proposed here.
2013
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/46250/1/MPRA_paper_46250.pdf
Cerqueti, Roy and Falbo, Paolo and Pelizzari, Cristian (2013): Relevant States and Memory in Markov Chain Bootstrapping and Simulation.
en
oai:mpra.ub.uni-muenchen.de:46254
2019-09-26T16:36:12Z
7374617475733D756E707562
7375626A656374733D43:4331:433135
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/46254/
Relevant States and Memory in Markov Chain Bootstrapping and Simulation
Cerqueti, Roy
Falbo, Paolo
Pelizzari, Cristian
C15 - Statistical Simulation Methods: General
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C63 - Computational Techniques ; Simulation Modeling
C65 - Miscellaneous Mathematical Tools
Markov chain theory is proving to be a powerful approach to bootstrap highly nonlinear time series. In this work we provide a method to estimate the memory of a Markov chain (i.e. its order) and to identify its relevant states. In particular the choice of memory lags and the aggregation of irrelevant states are obtained by looking for regularities in the transition probabilities.
Our approach is based on an optimization model. More specifically we consider two competing objectives that a researcher will in general pursue when dealing with bootstrapping: preserving the “structural” similarity between the original and the simulated series and assuring
a controlled diversification of the latter. A discussion based on information theory is developed to define the desirable properties for such optimal criteria. Two numerical tests are developed to verify the effectiveness of the method proposed here.
2010-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/46254/1/MPRA_paper_46250.pdf
Cerqueti, Roy and Falbo, Paolo and Pelizzari, Cristian (2010): Relevant States and Memory in Markov Chain Bootstrapping and Simulation.
en
oai:mpra.ub.uni-muenchen.de:46526
2019-10-17T08:18:32Z
7374617475733D707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433635
7375626A656374733D47:4731:473131
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/46526/
Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych
Piasecki, Krzysztof
C02 - Mathematical Methods
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C65 - Miscellaneous Mathematical Tools
G11 - Portfolio Choice ; Investment Decisions
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
The book is divided into five parts. The essence of behavioural finance is presented in the first parts. Fuzzy generalizations of some mathematical concepts are presented in the second part. The impact of selected behavioural premises for imprecise estimation of expected return is described in the third part. In the fourth part are considered financial instruments under uncertainty and imprecision risk. In the fifth part fuzzy probabilistic sets are applied for actuarial mathematics.
2011-06-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/46526/1/MPRA_paper_46218.pdf
Piasecki, Krzysztof (2011): Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych. Published in: (November 2011): pp. 1-132.
pl
oai:mpra.ub.uni-muenchen.de:46669
2019-09-28T00:17:44Z
7374617475733D756E707562
7375626A656374733D43:4332:433232
7375626A656374733D43:4334:433436
7375626A656374733D43:4335:433532
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/46669/
Introducing the GED-Copula with an application to Financial Contagion in Latin America
Mendoza-Velázquez, Alfonso
Galvanovskis, Evalds
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C46 - Specific Distributions ; Specific Statistics
C52 - Model Evaluation, Validation, and Selection
C65 - Miscellaneous Mathematical Tools
While the Generalized Error Distribution (GED) has been used quite extensively in time series applications and has demonstrated a sound flexibility in the estimation process, there is so far no attempt to use this function in the construction of Copulas. Copulas are probability functions that link one multivariate distribution function to univariate distribution functions called marginals. These marginal functions are assumed to be continuous and to follow a uniform behaviour within [0,1]. In this paper we propose a new Copula function that, to our knowledge, has not been used in the literature of Copulas, until now: the bivariate GED-Copula. This function embeds other well-known distributions including the gaussian distribution. In order to assess the relative performance of this new Copula we investigate financial contagion in foreign exchange, stocks, bonds and sovereign debt markets in Latin America. Standard decision criteria provides strong evidence in favour of the GED-Copula against other Elliptical and Arquimidean alternatives.
2009-02-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/46669/1/MPRA_paper_46669.pdf
Mendoza-Velázquez, Alfonso and Galvanovskis, Evalds (2009): Introducing the GED-Copula with an application to Financial Contagion in Latin America.
en
oai:mpra.ub.uni-muenchen.de:48356
2019-09-26T15:37:41Z
7374617475733D756E707562
7375626A656374733D43:4336:433635
7375626A656374733D45:4533:453332
7375626A656374733D45:4533:453337
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/48356/
The hallmarks of crisis. A new center-periphery perspective on long cycles
Tausch, Arno
C65 - Miscellaneous Mathematical Tools
E32 - Business Fluctuations ; Cycles
E37 - Forecasting and Simulation: Models and Applications
Our analysis, based on a variety of standard econometric techniques, aims to be a fairly comprehensive test of the hypotheses about long cycles, associated with the name of Kondratiev/Kondratieff. Our work tries to link the issue of long cycles with the issue of economic convergence and divergence in the world system, because there are very strong cyclical ups and downs of relative convergence in the world system, observable not just in the “national” growth rates and “national” economic cycles. Already the Japanese economist Kaname Akamatsu, who lived from August 7, 1896 to December 20, 1974, and who was a great admirer of Kondratiev/Kondratieff, hinted at this connection. His most well-known tribute to Kondratiev/Kondratieff (Akamatsu, 1961) specifically links the rise and decline of the global peripheries to the larger Kondratiev/Kondratieff cycle. His contribution, which is hardly ever mentioned nowadays in the framework of K-cycle research, is the starting point of our analysis.
In fact, these “Akamatsu cycles”, analyzed in this work, are even stronger and seem to be more devastating than the “national Kondratiev/Kondratieff waves” and world systemic waves themselves, leading to the discovery of what might be even termed a “double-Tsunami wave structure”.
Both our re-analysis of world industrial production growth data since 1741 as well as the global conflict data since 1495, presented in this article, cautiously support the earlier contentions of world system research with evidence, tested by spectral analysis and auto-correlation analysis.
Using the well-known and now updated Maddison data base at http://www.ggdc.net/maddison/maddison-project/data.htm, Kondratiev/Kondratieff cycles of around 60 years duration at a nation state level are most clearly visible in Argentina, Canada, and Russia, with evidence on the existence of longer cycles of more than 35 years also in Belgium; Chile; Greece; Netherlands; India; New Zealand; Spain; and USA; while for the other countries of the Maddison data set, earlier negative spectral density analysis results reported in the ample literature surveyed in this article could not be falsified. By contrast, the evidence about strong long term cycles of convergence seems to be very convincing.
Future research is recommended to realize that convergence processes in most nations of the world are discontinuous and of a cyclical nature, thus supporting the pessimism inherent in the writings by the world systems scholar Giovanni Arrighi on the subject.
2013-07-16
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/48356/1/MPRA_paper_48356.pdf
Tausch, Arno (2013): The hallmarks of crisis. A new center-periphery perspective on long cycles.
en
oai:mpra.ub.uni-muenchen.de:48586
2019-09-29T01:36:34Z
7374617475733D707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433635
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/48586/
Обобщенная математическая модель коммерческого банка
Rumyantsev, Mikhail I.
C02 - Mathematical Methods
C63 - Computational Techniques ; Simulation Modeling
C65 - Miscellaneous Mathematical Tools
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
The article analyses an approach to construction of the mathematical model for the bank based upon set theory and abstract algebra. It is shown that selection of correspond algebraic structure for simulation is influence directly on basis of methods for solving engineering and economical problems occuring in designing and use of the MIS.
2006-12-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/48586/1/MPRA_paper_48586.pdf
Rumyantsev, Mikhail I. (2006): Обобщенная математическая модель коммерческого банка. Published in: Georgian Electronic Scientific Journal: Computer Sciences and Telecommunications No. 4 (11) (30 December 2006): pp. 44-48.
ru
oai:mpra.ub.uni-muenchen.de:48587
2019-10-05T16:13:17Z
7374617475733D707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433533
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433635
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/48587/
К проблеме формализации бизнес-процессов коммерческого банка
Rumyantsev, Mikhail I.
C02 - Mathematical Methods
C51 - Model Construction and Estimation
C53 - Forecasting and Prediction Methods ; Simulation Methods
C63 - Computational Techniques ; Simulation Modeling
C65 - Miscellaneous Mathematical Tools
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
The article analyses an approach to construction of the mathematical model for the commercial banking industry based upon set theory, abstract algebra, and computational linguistics.
2007-12-17
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/48587/1/MPRA_paper_48587.pdf
Rumyantsev, Mikhail I. (2007): К проблеме формализации бизнес-процессов коммерческого банка. Published in: Kultura narodov Prichernomor’ya [Culture of the peoples of Prichernomorye] No. 120 (2007): pp. 137-141.
ru
oai:mpra.ub.uni-muenchen.de:48633
2019-10-04T15:24:53Z
7374617475733D707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4331:433133
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433532
7375626A656374733D43:4336:433635
7375626A656374733D47:4732:473230
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/48633/
Изоморфизм и гомоморфизм в имитационном моделировании
Rumyantsev, Mikhail I.
C02 - Mathematical Methods
C13 - Estimation: General
C51 - Model Construction and Estimation
C52 - Model Evaluation, Validation, and Selection
C65 - Miscellaneous Mathematical Tools
G20 - General
The paper deals with the role of the isomorphism and homomorphism in the theory and practice of simulation. These concepts are considered as a methodological framework for models adequacy evaluation and for their suitability extent estimation to the study and improvement of economic systems, objects and processes.
2011-11-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/48633/1/MPRA_paper_48633.pdf
Rumyantsev, Mikhail I. (2011): Изоморфизм и гомоморфизм в имитационном моделировании. Published in: Proceedings of international scientific-practical conference "Modern problems and ways of their solution in science, transport, production and education ‘2011" in Odessa, Ukraine, December 20-27, 2011 (20 December 2011)
ru
oai:mpra.ub.uni-muenchen.de:48634
2019-09-28T21:54:20Z
7374617475733D707562
7375626A656374733D43:4331:433133
7375626A656374733D43:4335:433531
7375626A656374733D43:4335:433533
7375626A656374733D43:4336:433635
7375626A656374733D47:4732:473231
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/48634/
Структурно-морфологический анализ бизнес-процессов коммерческого банка
Rumyantsev, Mikhail I.
C13 - Estimation: General
C51 - Model Construction and Estimation
C53 - Forecasting and Prediction Methods ; Simulation Methods
C65 - Miscellaneous Mathematical Tools
G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages
The paper reviews some concepts of structural-morphological analysis and its application to the formal description of banking institutions activity. This research develops the synthetic approach based upon ideas of system dynamics,
elements of structural linguistics, and Propp's morphological method. The simulation toolkit facilitates creating a more accurate and comprehensible simulation model (in collaboration with other tools of business processes
formalization).
2008-11-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/48634/1/MPRA_paper_48634.pdf
Rumyantsev, Mikhail I. (2008): Структурно-морфологический анализ бизнес-процессов коммерческого банка. Published in: Informatsionnye tekhnologii modelirovaniya i upravleniya [Information technologies of modeling and control] No. 9 (52) (2008): pp. 997-1005.
ru
oai:mpra.ub.uni-muenchen.de:49508
2019-10-15T20:20:52Z
7374617475733D707562
7375626A656374733D43:4331
7375626A656374733D43:4336:433635
7375626A656374733D45:4533:453332
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/49508/
A Search for Business Cycles with Spectral Analysis
Dale, Charles
C1 - Econometric and Statistical Methods and Methodology: General
C65 - Miscellaneous Mathematical Tools
E32 - Business Fluctuations ; Cycles
There has been considerable debate in recent years about whether well-defined business cycles even exist. At one extreme are those who assert that so-called business cycles are caused by exogenous shocks. At the other extreme are those who believe that business cycles may be endogenous, i.e., the economy has a natural tendency to go through periods of recession and depression. We used spectral analysis to search for business cycles, but we did not find any clear evidence of their existence.
1984-08
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/49508/1/MPRA_paper_49508.pdf
Dale, Charles (1984): A Search for Business Cycles with Spectral Analysis. Published in: American Statistical Association, Proceedings of the Business and Economic Statistics Section, Philadelphia, Pennsylvania (14 August 1984): pp. 267-272.
en
oai:mpra.ub.uni-muenchen.de:50665
2019-09-28T04:57:42Z
7374617475733D707562
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/50665/
Preference of Social Choice in Mathematical Economics
Islam, Jamal
Mohajan, Haradhan
Moolio, Pahlaj
C65 - Miscellaneous Mathematical Tools
Mathematical Economics is closely related with Social Choice Theory. In this paper, an attempt has been made to show this relation by introducing utility functions, preference relations and Arrow’s impossibility theorem with easier mathematical calculations. The paper begins with some definitions which are easy but will be helpful to those who are new in this field. The preference relations will give idea in individual’s and social choices according to their budget. Economists want to create maximum utility in society and the paper indicates how the maximum utility can be obtained. Arrow’s theorem indicates that the aggregate of individuals’ preferences will not satisfy transitivity, indifference to irrelevant alternatives and non-dictatorship simultaneously so that one of the individuals becomes a dictator. The Combinatorial and Geometrical approach facilitate understanding of Arrow’s theorem in an elegant manner.
2008-03-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/50665/1/MPRA_paper_50665.pdf
Islam, Jamal and Mohajan, Haradhan and Moolio, Pahlaj (2008): Preference of Social Choice in Mathematical Economics. Published in: Indus Journal of Management & Social Sciences , Vol. 3, No. 1 (20 April 2009): pp. 18-38.
en
oai:mpra.ub.uni-muenchen.de:50846
2019-09-28T16:32:01Z
7374617475733D707562
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/50846/
Majority judgment in an election with Borda majority count
Mohajan, Haradhan
C65 - Miscellaneous Mathematical Tools
This paper describes aspects of the majority judgment in an election. The majority judgment is a method of election which is a new theory in social choice where voters judge candidates instead of ranking them. The paper emphasize on the works of Michel Balinski and Rida Laraki majority judgment in an election. In Arrow’s impossibility theorem of social choice theory, the voters have to give a strictly preference ordering over the alternatives and hence they can not express indifference of the candidates. In the process of majority judgment the voters can express much more information than the Arrow’s process does but it is not free from counter-intuitive results. The Borda majority count avoids some counter-intuitive results and an attempt has been taken here to highlight them. The paper discusses both the advantages and drawbacks of the majority judgment in an election. Sometimes tie arises in majority judgment and different processes of tie-breaking are discussed with theoretical and mathematical calculations.
2011-04-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/50846/1/MPRA_paper_50846.pdf
Mohajan, Haradhan (2011): Majority judgment in an election with Borda majority count. Published in: International Journal of Management and Transformation , Vol. 6, No. 1 (30 June 2012): pp. 19-31.
en
oai:mpra.ub.uni-muenchen.de:50848
2019-09-28T12:47:06Z
7374617475733D707562
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/50848/
Borda voting is non-manipulable but cloning manipulation is possible
Islam, Jamal
Mohajan, Haradhan
Moolio, Pahlaj
C65 - Miscellaneous Mathematical Tools
This paper deals with Borda count which is sincere voting system and originally proposed by French mathematician and philosopher Jeans-Charles Borda. In Borda count a defeated candidate can manipulate the election result in his favor in sincere way by introducing a candidate which is a clone of him and voters ranked this clone candidate immediately below him. In this situation Borda rule is strictly follows but manipulation is possible. The paper shows that this type of manipulation is vulnerable. Both single and simultaneous vulnerabilities of cloning manipulations are discussed with detail calculations and easier ways.
2011-11-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/50848/1/MPRA_paper_50848.pdf
Islam, Jamal and Mohajan, Haradhan and Moolio, Pahlaj (2011): Borda voting is non-manipulable but cloning manipulation is possible. Published in: International Journal of Development Research and Quantitative Techniques , Vol. 2, No. 1 (30 June 2012): pp. 28-37.
en
oai:mpra.ub.uni-muenchen.de:51325
2019-10-01T01:00:10Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D48:4835:483536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/51325/
Soft computing for crisis management and political decision making: the use of genetically evolved fuzzy cognitive maps
Andreou, Andreas S.
Mateou, Nicos H.
Zombanakis, George A.
C65 - Miscellaneous Mathematical Tools
H56 - National Security and War
This paper examines the use of fuzzy cognitive
maps (FCMs) as a technique for modeling political and
strategic issues situations and supporting the decisionmaking process in view of an imminent crisis. Its object domain is soft computing using as its basic elements
different methods from the areas of fuzzy logic, cognitive
maps, neural networks and genetic algorithms. FCMs,
more specifically, use notions borrowed from artificial
intelligence and combine characteristics of both fuzzy
logic and neural networks, in the form of dynamic
models that describe a given political setting. The present
work proposes the use of the genetically evolved
certainty neuron fuzzy cognitive map (GECNFCM) as
an extension of certainty neuron fuzzy cognitive maps
(CNFCMs) aiming at overcoming the main weaknesses
of the latter, namely the recalculation of the weights
corresponding to each concept every time a new strategy
is adopted. This novel technique combines CNFCMs
with genetic algorithms (GAs), the advantage of which
lies with their ability to offer the optimal solution
without a problem-solving strategy, once the requirements
are defined. Using a multiple scenario analysis we
demonstrate the value of such a hybrid technique in the
context of a model that reflects the political and strategic
complexity of the Cyprus issue, as well as the uncertainties
involved in it. The issue has been treated on a
purely technical level, with distances carefully kept
concerning all sides involved in it.
2005-01-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/51325/2/MPRA_paper_51325.pdf
Andreou, Andreas S. and Mateou, Nicos H. and Zombanakis, George A. (2005): Soft computing for crisis management and political decision making: the use of genetically evolved fuzzy cognitive maps. Published in: Soft Computing , Vol. 2005, No. 1 (1 January 2005): pp. 1-17.
en
oai:mpra.ub.uni-muenchen.de:51361
2019-09-28T04:54:52Z
7374617475733D756E707562
7375626A656374733D43:4331:433130
7375626A656374733D43:4335:433534
7375626A656374733D43:4335:433538
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433635
7375626A656374733D5A:5A31
7375626A656374733D5A:5A31:5A3133
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/51361/
An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality
Pinelis, Iosif
C10 - General
C54 - Quantitative Policy Modeling
C58 - Financial Econometrics
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C65 - Miscellaneous Mathematical Tools
Z1 - Cultural Economics ; Economic Sociology ; Economic Anthropology
Z13 - Economic Sociology ; Economic Anthropology ; Social and Economic Stratification
A certain spectrum, indexed by a\in[0,\infty], of upper bounds P_a(X;x) on the tail probability P(X\geq x), with P_0(X;x)=P(X\geq x) and P_\infty(X;x) being the best possible exponential upper bound on P(X\geq x), is shown to be stable and monotonic in a, x, and X, where x is a real number and X is a random variable. The bounds P_a(X;x) are optimal values in certain minimization problems. The corresponding spectrum, also indexed by a\in[0,\infty], of upper bounds Q_a(X;p) on the (1-p)-quantile of X is stable and monotonic in a, p, and X, with Q_0(X;p) equal the largest (1-p)-quantile of X. In certain sense, the quantile bounds Q_a(X;p) are usually close enough to the true quantiles Q_0(X;p). Moreover, Q_a(X;p) is subadditive in X if a\geq 1, as well as positive-homogeneous and translation-invariant, and thus is a so-called coherent measure of risk. A number of other useful properties of the bounds P_a(X;x) and Q_a(X;p) are established. In particular, quite similarly to the bounds P_a(X;x) on the tail probabilities, the quantile bounds Q_a(X;p) are the optimal values in certain minimization problems. This allows for a comparatively easy incorporation of the bounds P_a(X;x) and Q_a(X;p) into more specialized optimization problems. It is shown that the minimization problems for which P_a(X;x) and Q_a(X;p) are the optimal values are in a certain sense dual to each other; in the case a=\infty this corresponds to the bilinear Legendre--Fenchel duality. In finance, the (1-p)-quantile Q_0(X;p) is known as the value-at-risk (VaR), whereas the value of Q_1(X;p) is known as the conditional value-at-risk (CVaR) and also as the expected shortfall (ES), average value-at-risk (AVaR), and expected tail loss (ETL). It is shown that the quantile bounds Q_a(X;p) can be used as measures of economic inequality. The spectrum parameter, a, may be considered an index of sensitivity to risk/inequality.
2013-10-22
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/51361/1/MPRA_paper_51361.pdf
Pinelis, Iosif (2013): An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality.
en
oai:mpra.ub.uni-muenchen.de:51376
2019-09-26T14:37:32Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D48:4835:483536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/51376/
Fuzzification and Defuzzification Process in Genetically Evolved Fuzzy Cognitive Maps (GEFCMs)
Mateou, N. H.
Andreou, A. S.
Zombanakis, George A.
C65 - Miscellaneous Mathematical Tools
H56 - National Security and War
This paper describes the fuzzification and defuzzification process in the framework of hybrid systems comprising Fuzzy Cognitive Maps (FCMs) and Genetic Algorithms (GAs). More specifically, it provides a stepwise methodology for fuzzification and defuzzification aiming at both an improved approach of the human reasoning pattern and an increase of the decision-making potentials. The fuzzification process is primarily based on producing fuzzy information provided by a group of experts. Each concept is analyzed into trapezoidal membership functions of either fixed or variable widths, with these intervals labeled and stored for the defuzzification process later on, during which the levels are matched according to the membership functions of each concept. The defuzzification process is more complicated than the fuzzification one and consists of four basic iterative stages: The Iteration, the Max-Min Average Computation, the Categorization and, finally, the Realization Inference Stage.
2004-07-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/51376/1/MPRA_paper_51376.pdf
Mateou, N. H. and Andreou, A. S. and Zombanakis, George A. (2004): Fuzzification and Defuzzification Process in Genetically Evolved Fuzzy Cognitive Maps (GEFCMs). Published in: Papers and Proceedings, The 8th WSEAS International Conference on Circuits, Systems, Communications and Computers (CSCC), (14 July 2004): pp. 1-6.
en
oai:mpra.ub.uni-muenchen.de:51378
2019-10-05T16:46:18Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D48:4835:483536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/51378/
Optimization in Genetically Evolved Fuzzy Cognitive Maps Supporting Decision-Making: The Limit Cycle Case
ANDREOU, A.S.
MATEOU, N.H
Zombanakis, George A.
C65 - Miscellaneous Mathematical Tools
H56 - National Security and War
This paper presents the dynamic behavior of a hybrid system comprising Fuzzy Cognitive Maps and Genetic Algorithms, and focuses on the behavior observed when the system reaches equilibrium at fixed points or limit cycle. More specifically, the present works examines the theoretical background of the equilibrium and limit cycle behaviors and proposes a defuzzification method to handle the latter case. The proposed method calculates the mean value of a limit cycle and uses this value in the defuzzification process along with a confidence rate, which indicates the reliability of the results.
2004-04-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/51378/1/MPRA_paper_51378.pdf
ANDREOU, A.S. and MATEOU, N.H and Zombanakis, George A. (2004): Optimization in Genetically Evolved Fuzzy Cognitive Maps Supporting Decision-Making: The Limit Cycle Case. Published in: Proceedings of the 1st IEEE International Conference on Information & Communication Technologies: from Theory to Applications ICTTA'04, , Vol. 1, No. 1 (19 April 2004): pp. 1-6.
en
oai:mpra.ub.uni-muenchen.de:51482
2019-09-29T17:32:46Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D48:4835:483536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/51482/
Evolutionary Fuzzy Cognitive Maps: A Hybrid System for Crisis Management and Political Decision Making
Andreou, A. S.
Mateou, N. H.
Zombanakis, George A.
C65 - Miscellaneous Mathematical Tools
H56 - National Security and War
This paper proposes an extension of Certainty Neuron Fuzzy Cognitive Maps (CNFCMs) used in crisis management and decision-making, aiming at increasing their reliability. The objective of the Genetically Evolved Certainty Neuron Fuzzy Cognitive Map (GECNFCM) as it is introduced here is
to overcome the main weakness of CNFCMs, which lies with the recalculation of the weights corresponding to each concept every time a new strategy is adopted. The problem is overcome through the introduction of a Genetic Algorithm (GA), which produces a set of solutions and new weights following a strategy change. The GA concepts are very appealing since they offer the optimal solution without a problem-solving strategy, once the requirements are defined. It is interesting to point out that the hybrid approach is reflected in both the implementation of the GA and in the methodology applied for solving the problem. In fact, the reasoning behind this hybrid methodology is
to use it for obtaining the optimal values of the weights corresponding to the variables of the model rather than the optimal values of the variables themselves.
2003-01-10
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/51482/1/MPRA_paper_51482.pdf
Andreou, A. S. and Mateou, N. H. and Zombanakis, George A. (2003): Evolutionary Fuzzy Cognitive Maps: A Hybrid System for Crisis Management and Political Decision Making. Published in: Conference Proceedings on Computational Intelligence for Modelling Control and Automation , Vol. 1, No. CIMCA 2003, Vienna, Austria (14 February 2003): pp. 1-12.
en
oai:mpra.ub.uni-muenchen.de:51639
2019-09-27T21:46:36Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D48:4835:483536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/51639/
Crisis Management and Political Decision Making Using Genetically Evolved Fuzzy Cognitive Maps
Andreou, A. S.
Mateou, N. H.
Zombanakis, George A.
C65 - Miscellaneous Mathematical Tools
H56 - National Security and War
This paper examines the use of Fuzzy Cognitive Maps (FCMs) as a technique for modeling political and crisis situations and supporting the decision-making process. FCMs use notions borrowed from artificial intelligence and neural networks to combine concepts and causal relationships, in the form of dynamic models that describe a given political setting. The present work proposes the use of the Genetically Evolved Certainty Neuron Fuzzy Cognitive Map (GECNFCM) as an extension of Certainty Neuron Fuzzy Cognitive Maps (CNFCMs) aiming at overcoming the main weaknesses of the latter, namely the recalculation of the weights corresponding to each concept every time a new strategy is adopted. This novel technique combines CNFCMs with Genetic Algorithms (GAs), the advantage of which lies with their ability to offer the optimal solution without a problem-solving strategy, once the requirements are defined. We demonstrate the value of such a hybrid technique in the context of a model reflecting the complexity of the Cyprus problem. The scenario analysis performed makes decision makers aware of political uncertainties, while multiple scenario analysis brings uncertainty into the decision process by combining it with different future states.
2003-01-15
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/51639/1/MPRA_paper_51639.pdf
Andreou, A. S. and Mateou, N. H. and Zombanakis, George A. (2003): Crisis Management and Political Decision Making Using Genetically Evolved Fuzzy Cognitive Maps. Published in: Proceedings: Conference on Modelling, Control & Automation , Vol. 1, No. 1 (6 June 2003): pp. 1-64.
en
oai:mpra.ub.uni-muenchen.de:53389
2019-09-29T00:46:52Z
7374617475733D707562
7375626A656374733D43:4330
7375626A656374733D43:4331:433133
7375626A656374733D43:4336:433635
7375626A656374733D43:4338:433837
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/53389/
Temporal Disaggregation of Time Series
Sax, Christoph
Steiner, Peter
C0 - General
C13 - Estimation: General
C65 - Miscellaneous Mathematical Tools
C87 - Econometric Software
Temporal disaggregation methods are used to disaggregate low frequency time series to higher frequency series, where either the sum, the average, the first or the last value of the resulting high frequency series is consistent with the low frequency series. Temporal disaggregation can be performed with or without one or more high frequency indicator series. The package tempdisagg is a collection of several methods for temporal disaggregation.
2013-12
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/53389/1/sax-steiner.pdf
Sax, Christoph and Steiner, Peter (2013): Temporal Disaggregation of Time Series. Published in: The R Journal , Vol. 5, No. 2 (December 2013): pp. 80-87.
en
oai:mpra.ub.uni-muenchen.de:54019
2019-09-30T04:30:00Z
7374617475733D707562
7375626A656374733D43:4333
7375626A656374733D43:4336:433635
7375626A656374733D44:4435:443537
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/54019/
A estrutura teórica do modelo inter-regional para a economia brasileira - MIBRA
Guilhoto, Joaquim José Martins
Hasegawa, Marcos
Lopes, Ricardo Luis
C3 - Multiple or Simultaneous Equation Models ; Multiple Variables
C65 - Miscellaneous Mathematical Tools
D57 - Input-Output Tables and Analysis
The general equilibrium models got importance at the 70's for pointing tendencies that were, until that moment, not experienced by economics. One example was first petrol crisis which econometric models could not predict based on temporal series. On the other hand, the general equilibrium models were capable to indicate this tendency because these models included all economy structure, what allowed the realization of analysis of situations not faced before. Despite that nowadays multiple lines of work about general equilibrium models, models that work with linear equations and results in the form of growth rate, the so called general equilibrium models of the JOHANSEN/ORANI class, and the ones who treats equations on a non-linear form and results in levels, such as Scarf, Adelman & Robinson, Dervis, Melo & Robinson. Using their ORANI model as a start point, the authors developed the MONASH general equilibrium model in national level, both aimed to the Australian economy. From this model it was created the MONASH-MRF model to work in a regional area, also Australia, with the function of realizing statistical comparative analysis and economics previsions. Based on the MONASH-MRF model, an inter regional model was developed to the Brazilian economy, MIBRA, with sixteen sectors and five macro regions, using the input-output matrix of 1995. MIBRA presents five modules:1)The core, with equations that refers to the productive structure of the economy; 2)government finances, which gather equations related to the public finances in both federal and regional levels; 3) Investment and capital accumulation, that focus on the allocation of investments among the sectors and regions 4)External debt accumulation; and 5)Population and migration, which equations are related to population growth and regional migration. The theoretical structure of the MIBRA model is presented in this work.
2002
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/54019/1/MPRA_paper_54019.pdf
Guilhoto, Joaquim José Martins and Hasegawa, Marcos and Lopes, Ricardo Luis (2002): A estrutura teórica do modelo inter-regional para a economia brasileira - MIBRA. Published in: Anais do II Encontro de Estudos Regionais e Urbanos (2002)
pt
oai:mpra.ub.uni-muenchen.de:54384
2019-09-28T08:45:05Z
7374617475733D707562
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/54384/
An Algorithm for Making Value-Based Strategic Decisions
Palamarchuk, Victor
C65 - Miscellaneous Mathematical Tools
The latest tendency has been featuring an increase in the number of Russian companies that follow the principles of Value-Based Management(VBM), which is essentially a synergetic combination of corporate finance and strategic management. Strategic decisions are the principal driving force of a company’s value growth. Thus, the situation calls for an understanding and adequate evaluation of correlation between changes in a company’s value and strategic decisions. A key to such understanding lies in accurate definition and differentiation of such notions as “a company’s fair value” and “a company’s investment value”. The paper contains an analysis of these fundamental definitions for appraisal of a business, which further serves as a basis for making strategic value-based decisions. The suggested algorithm to control a company’s value substantiates the following:
Logic and procedure for preparation and implementation of strategic decisions;
Differentiation and interrelation between strategic and operational decisions in a company’s value-based management;
Expediency and conditions for use of two intrinsically- different approaches to strategic decision-making (namely, the creative approach and the trade-off approach);
Approaches to financial assessment and modeling of strategic decisions.
2013
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/54384/1/MPRA_paper_54384.pdf
Palamarchuk, Victor (2013): An Algorithm for Making Value-Based Strategic Decisions. Published in: International Journal of Advanced Multidisciplinary Research and Review , Vol. 1, No. 1 (2013): pp. 77-88.
en
oai:mpra.ub.uni-muenchen.de:54582
2019-09-27T20:55:10Z
7374617475733D756E707562
7375626A656374733D43:4336:433635
7375626A656374733D4E:4E30:4E3031
7375626A656374733D4E:4E35:4E3530
7375626A656374733D4E:4E35:4E3533
7375626A656374733D4E:4E39:4E3933
7375626A656374733D4F:4F31:4F3133
7375626A656374733D51:5131:513139
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/54582/
On the Use of Palynological Data in Economic History: New Methods and an Application to Agricultural Output in Central Europe, 0–2000 AD
Izdebski, Adam
Koloch, Grzegorz
Słoczyński, Tymon
Tycner-Wolicka, Marta
C65 - Miscellaneous Mathematical Tools
N01 - Development of the Discipline: Historiographical; Sources and Methods
N50 - General, International, or Comparative
N53 - Europe: Pre-1913
N93 - Europe: Pre-1913
O13 - Agriculture ; Natural Resources ; Energy ; Environment ; Other Primary Products
Q19 - Other
In this paper we introduce a new source of data to economic history: palynological data, i.e. information about pollen grains which are preserved in bottom sediments of various water basins. We discuss how this data is collected and how it should be interpreted; develop new methods for aggregating this information into regional trends in agricultural output; construct an extensive data set with a large number of pollen sites from Central Europe; and use our methods to study the economic history of Greater Poland, Lesser Poland, Bohemia, Brandenburg, and Lower Saxony since the first century AD.
2014-03
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/54582/1/MPRA_paper_54582.pdf
Izdebski, Adam and Koloch, Grzegorz and Słoczyński, Tymon and Tycner-Wolicka, Marta (2014): On the Use of Palynological Data in Economic History: New Methods and an Application to Agricultural Output in Central Europe, 0–2000 AD.
en
oai:mpra.ub.uni-muenchen.de:55869
2019-09-26T10:16:26Z
7374617475733D707562
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/55869/
Non-Associativity of Lorentz Transformation and Associative Reciprocal Symmetric Transformation
Ahmad, Mushfiq
Alam, Muhammad Shah
C65 - Miscellaneous Mathematical Tools
Lorentz transformation is not associative. The non-associativity makes it frame dependent; and it does not fulfill relativistic requirements including reciprocity principle. The non associativity also leads to ambiguities when three or more velocities are involved. We have proposed an associative Reciprocal Symmetric Transformation (RST) to replace Lorentz transformation. RST is complex and is compatible with Pauli and Dirac algebra.
2014-01-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/55869/1/MPRA_paper_55869.pdf
Ahmad, Mushfiq and Alam, Muhammad Shah (2014): Non-Associativity of Lorentz Transformation and Associative Reciprocal Symmetric Transformation. Published in: International Journal of Reciprocal Symmetry and Theoretical Physics , Vol. 1, No. 1 (15 April 2014): pp. 9-19.
en
oai:mpra.ub.uni-muenchen.de:55872
2019-10-07T16:11:57Z
7374617475733D707562
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/55872/
Armenian Theory of Special Relativity
Nazaryan, Robert
Nazaryan, Haik
C65 - Miscellaneous Mathematical Tools
By using the principle of relativity (first postulate), together with new defined nature of the universal speed (our second postulate) and homogeneity of time-space (our third postulate), we derive the most general transformation equations of relativity in one dimensional space. According to our new second postulate, the universal (not limited) speed c in Armenian Theory of Special Relativity is not the actual speed of light but it is the speed of time which is the same in all inertial systems. Our third postulate: the homogeneity of time-space is necessary to furnish linear transformation equations. We also state that there is no need to postulate the isotropy of time-space. Our article is the accumulation of all efforts from physicists to fix the Lorentz transformation equations and build correct and more general transformation equations of relativity which obey the rules of logic and fundamental group laws without internal philosophical and physical inconsistencies.
2013-11-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/55872/1/MPRA_paper_55872.pdf
Nazaryan, Robert and Nazaryan, Haik (2013): Armenian Theory of Special Relativity. Published in: International Journal of Reciprocal Symmetry and Theoretical Physics , Vol. 1, No. 1 (15 April 2014): pp. 36-42.
en
oai:mpra.ub.uni-muenchen.de:57053
2019-09-27T14:56:07Z
7374617475733D756E707562
7375626A656374733D43:4331:433134
7375626A656374733D43:4334:433439
7375626A656374733D43:4336:433635
7375626A656374733D43:4338:433837
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/57053/
A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986-2009 with X-12-ARIMA
Medel, Carlos A.
C14 - Semiparametric and Nonparametric Methods: General
C49 - Other
C65 - Miscellaneous Mathematical Tools
C87 - Econometric Software
It is well known among practitioners that the seasonal adjustment applied to economic time series could involve several decisions to be made by the econometrician. In this paper, I assess which aggregation strategy delivers the best results for the case of the Chilean GDP 1986-2009 quarterly dataset (base year: 2003). This is done by performing an aggregate-by-disaggregate analysis under different schemes, as the fixed base year dataset allows this fair comparison. The analysis is based exclusively on seasonal adjustment diagnostics contained in X-12-ARIMA program. A detailed description of the program and its quality assessment are also provided. The results show that it is preferred, in terms of stability, to use the first block of supply-side disaggregation as well as the direct mode.
2014-07-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/57053/1/MPRA_paper_57053.pdf
Medel, Carlos A. (2014): A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986-2009 with X-12-ARIMA.
en
oai:mpra.ub.uni-muenchen.de:57430
2019-09-27T20:51:19Z
7374617475733D696E7072657373
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433635
7375626A656374733D45:4536:453630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/57430/
On Infinite Dimensional Linear-Quadratic Problem with Fixed Endpoints. Continuity Question
Przyłuski, K. Maciej
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C65 - Miscellaneous Mathematical Tools
E60 - General
In a Hilbert space setting, necessary and sufficient conditions for the minimum norm
solution u to the equation Su = Rz to be continuously dependent on z are given. These
conditions are used to study continuity of the minimum energy and linear-quadratic
control problems for infinite dimensional linear systems with fixed endpoints.
2014
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/57430/1/MPRA_paper_57430.pdf
Przyłuski, K. Maciej (2014): On Infinite Dimensional Linear-Quadratic Problem with Fixed Endpoints. Continuity Question. Forthcoming in: Internationa Journal of Applied Mathematics and Computer Science , Vol. 24, No. 4 (2014)
en
oai:mpra.ub.uni-muenchen.de:58318
2019-10-03T00:24:49Z
7374617475733D707562
7375626A656374733D43:4336
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/58318/
Assessing Impact of Large-Scale Distributed Residential HVAC Control Optimization on Electricity Grid Operation and Renewable Energy Integration
Corbin, Charles
C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C63 - Computational Techniques ; Simulation Modeling
C65 - Miscellaneous Mathematical Tools
Demand management is an important component of the emerging Smart Grid, and a potential solution to the supply-demand imbalance occurring increasingly as intermittent renewable electricity is added to the generation mix. Model predictive control (MPC) has shown great promise for controlling HVAC demand in commercial buildings, making it an ideal solution to this problem. MPC is believed to hold similar promise for residential applications, yet very few examples exist in the literature despite a growing interest in residential demand management. This work explores the potential for residential buildings to shape electric demand at the distribution feeder level in order to reduce peak demand, reduce system ramping, and increase load factor using detailed sub-hourly simulations of thousands of buildings coupled to distribution power
ow software. More generally, this work develops a methodology for the optimization of residential HVAC operation using a distributed but directed MPC scheme that can be applied today's programmable thermostat technologies to address the increasing variability in electric supply and demand. Case studies incorporating varying levels of renewable energy generation demonstrate the approach and highlight important considerations for large-scale residential model predictive control.
2014-05-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/58318/1/MPRA_paper_58318.pdf
Corbin, Charles (2014): Assessing Impact of Large-Scale Distributed Residential HVAC Control Optimization on Electricity Grid Operation and Renewable Energy Integration. Published in: (14 May 2014)
en
oai:mpra.ub.uni-muenchen.de:58827
2019-09-26T21:06:55Z
7374617475733D756E707562
7375626A656374733D43:4331:433134
7375626A656374733D43:4334:433430
7375626A656374733D43:4336:433635
7375626A656374733D4C:4C39:4C3934
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/58827/
Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis
Afanasyev, Dmitriy
Fedorova, Elena
Popov, Viktor
C14 - Semiparametric and Nonparametric Methods: General
C40 - General
C65 - Miscellaneous Mathematical Tools
L94 - Electric Utilities
The price-demand relationship in the electricity market is a complicated phenomenon. In order to thoroughly investigate the peculiarities of this relationship, a multi-scale correlation analysis of electricity price and demand is carried out in this research. Using a modified method of socalled time-dependent intrinsic correlation (TDIC) (Chen et al., 2010), based on the complete ensemble empirical mode decomposition with adaptive noise (CEEMDAN) (Torres et al., 2011), and bootstrapping, we investigate the problems of dynamic interconnection between electricity demand and prices over different time scales (i.e. its fine structure). We formulate and test three hypotheses on the type and strength of correlations between them in the short-, medium- and long-runs. In this research we analyze the data from two largest price zones of Russian wholesale electricity market: Europe-Ural and Siberia. These two zones differ from each other by the structures of electricity generation and consumption. It is shown that these two price zones significantly differ in internal price-demand correlation structure over the comparable time scales, and not each of the theoretically formulated hypotheses is true for each of the price zones. This allows us to conclude that the answer to the question whether it is necessary to take into account the influence of demand-side on electricity spot prices over different time scales, is significantly dependent on the structure of electricity generation and consumption on the corresponding market.
2014-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/58827/1/MPRA_paper_58827.pdf
Afanasyev, Dmitriy and Fedorova, Elena and Popov, Viktor (2014): Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis.
en
oai:mpra.ub.uni-muenchen.de:60360
2019-09-27T07:43:13Z
7374617475733D756E707562
7375626A656374733D43:4332:433232
7375626A656374733D43:4336:433635
7375626A656374733D51:5134:513432
7375626A656374733D51:5134:513433
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/60360/
Analyzing the Effect of Real Exchange Rate on Petrochemicals Exporting
Delavari, Majid
Baranpour, Naghmeh
Abdeshahi, Abbas
C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
C65 - Miscellaneous Mathematical Tools
Q42 - Alternative Energy Sources
Q43 - Energy and the Macroeconomy
The export of petrochemical products -as a type of non-oil export- plays a key role in the economic development of our country. This is of special importance in light of the structure of Iran's economy that is oil-based. Identifying the factors affecting the export of petrochemical products can improve their export. Using Johansen-Juselius co-integration method and the error correction model, the present study purports to investigate the effects of the real foreign exchange rate and the total value of petrochemical products on the export of these products in Iran. This research used data from 1989 to 2012. It was found that the real foreign exchange rate and the real value of total petrochemical products positively affect their export in the long run, and the effect of the former is greater than that of the latter. However, in the short run the effect of the foreign exchange rate on the export of petrochemical products is more significant.
2014-11-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/60360/1/MPRA_paper_60360.pdf
Delavari, Majid and Baranpour, Naghmeh and Abdeshahi, Abbas (2014): Analyzing the Effect of Real Exchange Rate on Petrochemicals Exporting.
en
oai:mpra.ub.uni-muenchen.de:62938
2019-09-29T23:46:07Z
7374617475733D707562
7375626A656374733D42:4231:423136
7375626A656374733D43:4331:433130
7375626A656374733D43:4336:433635
7375626A656374733D43:4337:433730
7375626A656374733D43:4337:433733
7375626A656374733D44:4437:443731
7375626A656374733D44:4437:443732
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/62938/
Mean-median compromise method as an innovating voting rule in social choice theory
Ngoie, Ruffin-Benoît M.
Ulungu, Berthold E.-L.
B16 - Quantitative and Mathematical
C10 - General
C65 - Miscellaneous Mathematical Tools
C70 - General
C73 - Stochastic and Dynamic Games ; Evolutionary Games ; Repeated Games
D71 - Social Choice ; Clubs ; Committees ; Associations
D72 - Political Processes: Rent-Seeking, Lobbying, Elections, Legislatures, and Voting Behavior
This paper aims at presenting a new voting function which is obtained in Balinski-Laraki's framework and benefits mean and median advantages. The so-called Mean-Median Comprise Method (MMCM) has fulfilled criteria such as unanimity, neutrality, anonymity, monotonicity, and Arrow's independence of irrelevant alternatives. It also generalizes approval voting system.
2014-12-19
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/62938/1/MPRA_paper_62938.pdf
Ngoie, Ruffin-Benoît M. and Ulungu, Berthold E.-L. (2014): Mean-median compromise method as an innovating voting rule in social choice theory. Published in: International Journal of Applied Mathematical Research , Vol. 4, No. 1 (27 January 2015): pp. 177-182.
en
oai:mpra.ub.uni-muenchen.de:64730
2019-10-01T06:24:45Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D43:4337:433730
7375626A656374733D43:4337:433739
7375626A656374733D44:4437:443730
7375626A656374733D44:4437:443734
7375626A656374733D44:4437:443739
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/64730/
An aggregation function to solve multicriteria ranking problem involving several decision makers
Savadogo, Zoïnabo
Ngoie, Ruffin-Benoit M.
Ulungu, Berthold E.-L.
Somé, Blaise
C65 - Miscellaneous Mathematical Tools
C70 - General
C79 - Other
D70 - General
D74 - Conflict ; Conflict Resolution ; Alliances ; Revolutions
D79 - Other
Multiple Criteria Decision Aiding (MCDA) has been studied in a single decision maker framework for a long time. Nowadays, the need to take into account several conflicting opinions handled by several decisions makers arises. So, researchers are interested with multicriteria problems involving several decision makers. In this context, to solve ranking problem, we develop an aggregation model of several additive value functions. Comparisons with a derivative ELECTRE I method is done on numerical data. Clearly, it appears that the proposed aggregation function is better according to calculation complexity and computation time. Way for further research in this field is proposed.
2013-05
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/64730/1/MPRA_paper_64730.pdf
Savadogo, Zoïnabo and Ngoie, Ruffin-Benoit M. and Ulungu, Berthold E.-L. and Somé, Blaise (2013): An aggregation function to solve multicriteria ranking problem involving several decision makers. Published in: , International Journal of Applied Mathematical Research , Vol. 3, No. 4 (November 2014): pp. 511-517.
en
oai:mpra.ub.uni-muenchen.de:65549
2019-09-26T23:10:47Z
7374617475733D756E707562
7375626A656374733D43:4330:433030
7375626A656374733D43:4336:433635
7375626A656374733D4C:4C38:4C3833
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/65549/
Looking into the future of complex dynamic systems
Baggio, Rodolfo
C00 - General
C65 - Miscellaneous Mathematical Tools
L83 - Sports ; Gambling ; Restaurants ; Recreation ; Tourism
The desire to know and foresee the future is naturally bound to human nature. Traditional forecasting methods have looked after reductionist linear approaches: variables and relationships are monitored in order to foresee future outcomes with simplified models and to derive theoretical and practical implications. The limitations of this attitude have become apparent in many cases, mainly when dealing with dynamic evolving complex systems, that encompass numerous factors and activities which are interdependent and whose relationships might be highly nonlinear, resulting in an inherent unpredictability of their long-term behavior. Complexity science ideas are important interdisciplinary research themes emerged in the last few decades that allow to tackle the issue, at least partially. This paper presents a brief overview of the complexity framework as a means to understand structures, characteristics, relationships, and explores the most important implications and contributions of the literature on the predictability of a complex system. The objective is to allow the reader to gain a deeper appreciation of this approach.
2015-06-30
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/65549/1/MPRA_paper_65549.pdf
Baggio, Rodolfo (2015): Looking into the future of complex dynamic systems.
en
oai:mpra.ub.uni-muenchen.de:65945
2019-09-28T19:58:39Z
7374617475733D756E707562
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433632
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/65945/
How Market Economies Come to Live and Grow on the Edge of Chaos
Dominique, C-Rene
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C62 - Existence and Stability Conditions of Equilibrium
C65 - Miscellaneous Mathematical Tools
Summary: In a Hayek-Friedman-Lucas world, market economies are assumed to be natural, stable, and ergodic; hence, government policies are harmful to their efficiency. We develop a nonlinear dissipative dynamic model that shows that market economies instead live on the edge of chaos. We next appeal to the theory of differential equation to show that if they do not usually dissipate the totality of the information produced by their evolution it is due to a far-off self-organized equilibrium brought about by a spontaneous phase change originating in an optimal government policy.
2015-08-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/65945/1/MPRA_paper_65945.pdf
Dominique, C-Rene (2015): How Market Economies Come to Live and Grow on the Edge of Chaos.
en
oai:mpra.ub.uni-muenchen.de:66138
2019-09-28T20:31:16Z
7374617475733D707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4334
7375626A656374733D43:4336
7375626A656374733D43:4336:433635
7375626A656374733D4C:4C31:4C3131
7375626A656374733D4C:4C39:4C3934
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/66138/
Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis
Afanasyev, Dmitriy
Fedorova, Elena
Popov, Viktor
C02 - Mathematical Methods
C4 - Econometric and Statistical Methods: Special Topics
C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling
C65 - Miscellaneous Mathematical Tools
L11 - Production, Pricing, and Market Structure ; Size Distribution of Firms
L94 - Electric Utilities
In this research we investigate the problems of dynamic relationship between electricity price and demand over different time scales for two largest price zones of the Russian wholesale electricity market. We use multi-scale correlation analysis based on a modified method of time-dependent intrinsic correlation and the complete ensemble empirical mode decomposition with adaptive noise for this purpose. Three hypotheses on the type and strength of correlations in the short-, medium- and long-runs were tested. It is shown that price zones significantly differ in internal price–demand correlation structure over the comparable time scales, and not each of the theoretically formulated hypotheses is true for each of them. We can conclude that the answer to the question whether it is necessary to take into account the influence of demand-side on electricity spot prices over different time scales, is significantly dependent on the structure of electricity generation and consumption on the corresponding market.
2015-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/66138/1/MPRA_paper_58827.pdf
Afanasyev, Dmitriy and Fedorova, Elena and Popov, Viktor (2015): Fine structure of the price-demand relationship in the electricity market: multi-scale correlation analysis. Published in: Energy Economics , Vol. 51, (September 2015): pp. 215-226.
en
oai:mpra.ub.uni-muenchen.de:67462
2019-10-03T17:11:18Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D45:4531
7375626A656374733D46:4630:463031
7375626A656374733D46:4636:463633
7375626A656374733D4C:4C36:4C3630
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/67462/
Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory
Subochev, Andrey
Zakhlebin, Igor
C65 - Miscellaneous Mathematical Tools
E1 - General Aggregative Models
F01 - Global Outlook
F63 - Economic Development
L60 - General
The Competitive Industrial Performance index (developed by experts of the UNIDO) is designed as a measure of national competitiveness. Index is an aggregate of eight observable variables, representing different dimensions of competitive industrial performance. Instead of using a cardinal aggregation function, what CIP’s authors do, it is proposed to apply ordinal ranking methods borrowed from social choice: either direct ranking methods based on the majority relation (e.g. the Copeland rule, the Markovian method) or a multistage procedure of selection and exclusion of the best alternatives, as determined by a majority relation-based social choice solution concept (tournament solution), such as the uncovered set and the minimal externally stable set. The same method of binary comparisons based on the majority rule is used to analyze rank correlations. It is demonstrated that the ranking is robust but some of the new aggregate rankings represent the set of criteria better than the original ranking based on the CIP.
2014-07-25
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/67462/1/MPRA_paper_67462.pdf
Subochev, Andrey and Zakhlebin, Igor (2014): Alternative versions of the global competitive industrial performance ranking constructed by methods from social choice theory. Published in: National Research University Higher School of Economics Working Papers No. Working paper WP7/2014/06 (25 July 2014): pp. 1-28.
en
oai:mpra.ub.uni-muenchen.de:67932
2019-10-08T16:28:56Z
7374617475733D756E707562
7375626A656374733D43:4336:433630
7375626A656374733D43:4336:433635
7375626A656374733D43:4337:433731
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/67932/
A decomposition for the space of games with externalities
Sanchez-Perez, Joss
C60 - General
C65 - Miscellaneous Mathematical Tools
C71 - Cooperative Games
The main goal of this paper is to present a different perspective than the more `traditional' approaches to study solutions for games with externalities. We provide a direct sum decomposition for the vector space of these games and use the basic representation theory of the symmetric group to study linear symmetric solutions. In our analysis we identify all irreducible subspaces that are relevant to the study of linear symmetric solutions and we then use such decomposition to derive some applications involving characterizations of classes of solutions.
2015
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/67932/1/MPRA_paper_67932.pdf
Sanchez-Perez, Joss (2015): A decomposition for the space of games with externalities.
en
oai:mpra.ub.uni-muenchen.de:68533
2019-09-26T09:38:29Z
7374617475733D756E707562
7375626A656374733D43:4330:433030
7375626A656374733D43:4330:433032
7375626A656374733D43:4336
7375626A656374733D43:4336:433630
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/68533/
Les fondements mathématiques pour une aide à la décision du réseau de transport aérien : cas de la République Démocratique du Congo.
KIKOMBA KAHUNGU, Michaël
MABELA MAKENGO MATENDO, Rostin
M. NGOIE, Ruffin-Benoît
MAKENGO MBAMBALU, Fréderic
OKITONYUMBE Y.F, Joseph
C00 - General
C02 - Mathematical Methods
C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling
C60 - General
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C63 - Computational Techniques ; Simulation Modeling
C65 - Miscellaneous Mathematical Tools
DRC geopolitical situation was conceived by the colonizer in terms of his own interests based on the facility of the exporting means of our wealth towards the metropolis. During the second republic, the building of some airports had as unique criterion of selection, the interests of president. That situation is far from the economic, social and environmental preoccupations of our populations.
The objective is to go from the situation existing in DRC and try an extension of the area in order to bring closer the capital of DRC to the contry.
For this research there exist two combinatorial optimization problems wich are: localization problem and he one of cover. For better apprehending the reality we have used the multicriteria paradigm. For the case, two criteria related to the economic and social aspects have oriented the process help to the decision of extension.
2013-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/68533/1/MPRA_paper_68533.pdf
KIKOMBA KAHUNGU, Michaël and MABELA MAKENGO MATENDO, Rostin and M. NGOIE, Ruffin-Benoît and MAKENGO MBAMBALU, Fréderic and OKITONYUMBE Y.F, Joseph (2013): Les fondements mathématiques pour une aide à la décision du réseau de transport aérien : cas de la République Démocratique du Congo.
fr
oai:mpra.ub.uni-muenchen.de:68562
2019-09-29T02:37:13Z
7374617475733D696E7072657373
7375626A656374733D43:4330:433030
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433630
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/68562/
Simultaneous optimization: sectorization and congolese air traffic assignment by the method of preferential reference of dominance.
KIKOMBA KAHUNGU, Michaël
OKITONYUMBE Y.F, Joseph
MABELA MAKENGO MATENDO, Rostin
NKUSU NDONGALA, Alexandre
M. NGOIE, Ruffin-Benoît
MAKENGO MBAMBALU, Fréderic
C00 - General
C02 - Mathematical Methods
C60 - General
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C65 - Miscellaneous Mathematical Tools
Air controllers encounter aeronautical problems everyday. Those problems complexity is growing as the latter problems emerge in aerial navigations sectors at the time of the air traffic assignment. As a long time as the number of aircraft in a sector is high, the controller-related load will increase in a nonlinear way. Currently, one counts, on the congolese territory, and especially in the vicinity of areas with wars, many planes movements. This would represent in a near future a difficult bulk of control for controllers. In order to avoid saturation in sectors, the congolese airspace must be divided in increasingly small sectors while distributing the workloads. To clarify the analysis, one is interested in the multicriteria optimization which deals with the case of the simultaneous presence of several objectives by the preferential reference of dominance method proposed by Joseph Okitonyumbe and Berthold Ulungu (2014). The latter method is based on a new characterization of the efficient solutions by building the probable assignments in order to minimize the load of control in the sector.
2015-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/68562/1/MPRA_paper_68562.pdf
KIKOMBA KAHUNGU, Michaël and OKITONYUMBE Y.F, Joseph and MABELA MAKENGO MATENDO, Rostin and NKUSU NDONGALA, Alexandre and M. NGOIE, Ruffin-Benoît and MAKENGO MBAMBALU, Fréderic (2015): Simultaneous optimization: sectorization and congolese air traffic assignment by the method of preferential reference of dominance. Forthcoming in: International Journal of Scientific and Innovative Mathematical Research (IJSIMR) , Vol. 3, No. 12 (December 2015)
en
oai:mpra.ub.uni-muenchen.de:68959
2019-10-14T03:31:57Z
7374617475733D756E707562
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433635
7375626A656374733D44:4437:443732
7375626A656374733D4C:4C31:4C3134
7375626A656374733D52:5233:523339
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/68959/
The role of networks in firms’ multi-characteristics competition and market-share inequality
Lapatinas, Athanasios
Garas, Antonios
C63 - Computational Techniques ; Simulation Modeling
C65 - Miscellaneous Mathematical Tools
D72 - Political Processes: Rent-Seeking, Lobbying, Elections, Legislatures, and Voting Behavior
L14 - Transactional Relationships ; Contracts and Reputation ; Networks
R39 - Other
We develop a location analysis spatial model of firms’ competition in multi-characteristics space, where consumers’ opinions about the firms’ products are distributed on multilayered networks. Firms do not compete on price but only on location upon the products’ multi-characteristics space, and they aim to attract the maximum number of consumers. Boundedly rational consumers have distinct ideal points/tastes over the possible available firm locations but, crucially, they are affected by the opinions of their neighbors. Our central argument is that the consolidation of a dense underlying consumers’ opinion network is the key for the firm to enlarge its market-share. Proposing a dynamic agent-based analysis on firms’ location choice we characterize multi-dimensional product differentiation competition as adaptive learning by firms’ managers and we argue that such a complex systems approach advances the analysis in alternative ways, beyond game-theoretic calculations.
2016
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/68959/1/MPRA_paper_68959.pdf
Lapatinas, Athanasios and Garas, Antonios (2016): The role of networks in firms’ multi-characteristics competition and market-share inequality.
en
oai:mpra.ub.uni-muenchen.de:72362
2019-09-26T13:39:17Z
7374617475733D707562
7375626A656374733D43:4334:433435
7375626A656374733D43:4336:433635
7375626A656374733D44:4437:443739
7375626A656374733D44:4438:443831
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/72362/
Methodological Aspects of Qualitative-Quantitative Analysis of Decision-Making Processes
Gawlik, Remigiusz
C45 - Neural Networks and Related Topics
C65 - Miscellaneous Mathematical Tools
D79 - Other
D81 - Criteria for Decision-Making under Risk and Uncertainty
The paper aims at recognizing the possibilities and perspectives of application of qualitative-quantitative research methodology in the field of economics, with a special focus on production engineering management processes. The main goal of the research is to define the methods that would extend the research apparatus of economists and managers by tools that allow the inclusion of qualitative determinants into quantitative analysis. Such approach is justified by qualitative character of many determinants of economic occurrences. At the same time quantitative approach seems to be predominant in production engineering management, although methods of transposition of qualitative decision criteria can be found in literature. Nevertheless, international economics and management could profit from a mixed methodology, incorporating both types of determinants into joint decision-making models. The research methodology consists of literature review and own analysis of applicability of mixed qualitative-quantitative methods for managerial decision-making. The expected outcome of the research is to find which methods should be applied to include qualitative-quantitative analysis into multicriteria decision-making models in the fields of economics, with a special regard to production engineering management.
2016-06
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/72362/1/MPRA_paper_72362.pdf
Gawlik, Remigiusz (2016): Methodological Aspects of Qualitative-Quantitative Analysis of Decision-Making Processes. Published in: Management and Production Engineering Review , Vol. 7, No. 2 (June 2016): pp. 3-11.
en
oai:mpra.ub.uni-muenchen.de:72511
2019-09-26T11:17:16Z
7374617475733D756E707562
7375626A656374733D43:4336:433633
7375626A656374733D43:4336:433635
7375626A656374733D43:4336:433637
7375626A656374733D43:4338:433838
7375626A656374733D46:4631:463130
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/72511/
Assessing classical input output structures with trade networks: A graph theory approach
Halkos, George
Tsilika, Kyriaki
C63 - Computational Techniques ; Simulation Modeling
C65 - Miscellaneous Mathematical Tools
C67 - Input-Output Models
C88 - Other Computer Software
F10 - General
We present data structures from multiregional multisectoral trade activities from the perspective of networks. To illustrate our approach we make use of trade patterns taken from three classical input-output models. Unlike other conventional approaches by which networks statistics are evaluated, here, emphasis is given on recovering the structure architecture of interrelations in the input-output model. By self-explanatory visual outputs we display the interaction of the trading partners, the number of trade links and the density of interrelations. Connectivity and density are quantified by evaluating the node degrees. Our network approach traces the feedback loops among regions and activities. Some global structural properties are also examined. Programming in Mathematica allows for the creation of iterative schemes explaining aspects of the nature of trade and the evolution of spatial trading/production cycles in growing trading systems. Mathematica’s environment enables interactive visual schemes and infinite number of experiments.
2016-07
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/72511/1/MPRA_paper_72511.pdf
Halkos, George and Tsilika, Kyriaki (2016): Assessing classical input output structures with trade networks: A graph theory approach.
en
oai:mpra.ub.uni-muenchen.de:72681
2019-10-04T16:30:21Z
7374617475733D756E707562
7375626A656374733D43:4336
7375626A656374733D43:4336:433635
7375626A656374733D45:4534
7375626A656374733D45:4534:453434
7375626A656374733D47:4731
7375626A656374733D47:4731:473132
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/72681/
Effects of Long Cycles in Cash Flows on Present Value
Bell, Peter N
C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling
C65 - Miscellaneous Mathematical Tools
E4 - Money and Interest Rates
E44 - Financial Markets and the Macroeconomy
G1 - General Financial Markets
G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
This paper explores how present value varies over time when the underlying cash flow has a deterministic period. I assume that cash flows are known with certainty and follow a cycle with a long or short period. When the cash flow has a short period, the present value is relatively stable over time because the present value calculation smooths out several cycles. However, when the cash flow has a long period the present value itself develops a long and large cycle. These results are driven by the mathematical definition of the present value and are relevant to the use of present value as a pricing tool in situations where the cash flows of an investment have a long cycle.
2015-11-11
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/72681/1/MPRA_paper_72681.pdf
Bell, Peter N (2015): Effects of Long Cycles in Cash Flows on Present Value.
en
oai:mpra.ub.uni-muenchen.de:72815
2019-09-28T10:28:29Z
7374617475733D756E707562
7375626A656374733D43:4331:433134
7375626A656374733D43:4335:433533
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/72815/
A Standardized Treatment of Binary Similarity Measures with an Introduction to k-Vector Percentage Normalized Similarity
Stacey, Brian
C14 - Semiparametric and Nonparametric Methods: General
C53 - Forecasting and Prediction Methods ; Simulation Methods
C65 - Miscellaneous Mathematical Tools
This paper attempts to codify a standard nomenclature for similarity measures based on recent literature and to advance the field of similarity measures through the introduction of non-binary similarity between more than two attribute vectors.
2016-08-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/72815/1/MPRA_paper_72815.pdf
Stacey, Brian (2016): A Standardized Treatment of Binary Similarity Measures with an Introduction to k-Vector Percentage Normalized Similarity.
en
oai:mpra.ub.uni-muenchen.de:72882
2019-09-28T05:05:01Z
7374617475733D756E707562
7375626A656374733D43:4331:433134
7375626A656374733D43:4335:433533
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/72882/
A Standardized Treatment of Binary Similarity Measures with an Introduction to k-Vector Percentage Normalized Similarity
Stacey, Brian
C14 - Semiparametric and Nonparametric Methods: General
C53 - Forecasting and Prediction Methods ; Simulation Methods
C65 - Miscellaneous Mathematical Tools
This paper attempts to codify a standard nomenclature for similarity measures based on recent literature and to advance the field of similarity measures through the introduction of non-binary similarity between more than two attribute vectors.
2016-08-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/72882/1/MPRA_paper_72882.pdf
Stacey, Brian (2016): A Standardized Treatment of Binary Similarity Measures with an Introduction to k-Vector Percentage Normalized Similarity.
en
oai:mpra.ub.uni-muenchen.de:74568
2019-10-05T17:57:59Z
7374617475733D756E707562
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433635
7375626A656374733D4F:4F34:4F3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/74568/
A topological approach to structural change analysis and an application to long-run labor allocation dynamics
Stijepic, Denis
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C65 - Miscellaneous Mathematical Tools
O41 - One, Two, and Multisector Growth Models
A great part of economic literature deals with structural changes, i.e. long-run changes in the structure of economic aggregates. While the standard literature relies on the mathematical branches of analysis and algebra for modeling structural change and describing the relevant empirical evidence, we choose a topological approach, which relies on the notions of self-intersection and mutual intersection of trajectories. We discuss all the methodological and mathematical aspects of this approach and show that it is applicable to a wide range of classical topics and papers of growth and development theory. Then, we apply it for studying a specific type of structural change, namely, the long-run labor re-allocation across sectors: we (a) elaborate new empirical evidence stating that mutual intersection and non-self-intersection are stylized facts of long-run labor re-allocation, (b) suggest and discuss theoretical explanations of non-self-intersection, and (c) discuss mathematical methods for explaining mutual intersection by using standard structural change models. Overall, our approach generates new evidence, new critique points of the previous structural change literature, new theoretical arguments, and a wide range of new research topics.
2016-10-09
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/74568/1/MPRA_paper_74568.pdf
Stijepic, Denis (2016): A topological approach to structural change analysis and an application to long-run labor allocation dynamics.
en
oai:mpra.ub.uni-muenchen.de:75045
2019-10-10T12:21:42Z
7374617475733D756E707562
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433635
7375626A656374733D4F:4F31:4F3134
7375626A656374733D4F:4F34:4F3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/75045/
Positivistic models of long-run labor allocation dynamics
Stijepic, Denis
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C65 - Miscellaneous Mathematical Tools
O14 - Industrialization ; Manufacturing and Service Industries ; Choice of Technology
O41 - One, Two, and Multisector Growth Models
We formulate economic laws of long-run labor re-allocation across agriculture, manufacturing, and services based on empirical evidence and derive the implications of these laws for the future (transitional and limit) labor allocation dynamics in developed and developing countries. Our approach for deriving these predictions is positivistic in the sense that we try to derive the direct implications of the laws, i.e. we try to minimize the dependence of our predictions on theoretical/ideological arguments. Due to this fact and because the economic laws are qualitative statements, our modeling approach requires the use of geometrical/axiomatic dynamic modeling techniques, set theory and logic.
2016-11-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/75045/1/MPRA_paper_75045.pdf
Stijepic, Denis (2016): Positivistic models of long-run labor allocation dynamics.
en
oai:mpra.ub.uni-muenchen.de:75050
2019-09-26T08:26:37Z
7374617475733D756E707562
7375626A656374733D43:4336:433631
7375626A656374733D43:4336:433635
7375626A656374733D4F:4F31:4F3134
7375626A656374733D4F:4F34:4F3431
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/75050/
Positivistic models of long-run labor allocation dynamics
Stijepic, Denis
C61 - Optimization Techniques ; Programming Models ; Dynamic Analysis
C65 - Miscellaneous Mathematical Tools
O14 - Industrialization ; Manufacturing and Service Industries ; Choice of Technology
O41 - One, Two, and Multisector Growth Models
We formulate economic laws of long-run labor re-allocation across agriculture, manufacturing, and services based on empirical evidence and derive the implications of these laws for the future (transitional and limit) labor allocation dynamics in developed and developing countries. Our approach for deriving these predictions is positivistic in the sense that we try to derive the direct implications of the laws, i.e. we try to minimize the dependence of our predictions on theoretical/ideological arguments. Due to this fact and because the economic laws are qualitative statements, our modeling approach requires the use of geometrical/axiomatic dynamic modeling techniques, set theory, and logic.
2016-11-01
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/75050/1/MPRA_paper_75050.pdf
Stijepic, Denis (2016): Positivistic models of long-run labor allocation dynamics.
en
oai:mpra.ub.uni-muenchen.de:78576
2019-09-30T13:52:52Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D48:4835:483536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/78576/
The Greek-Turkish Arms Race Using Artificial Neural Networks
Andreou, Andreas S.
Zombanakis, George
C65 - Miscellaneous Mathematical Tools
H56 - National Security and War
The aim of this paper is to forecast the pressure due to this arms race between Greece and Turkey exercised on the economy of the former. This forecast, established on the basis of the most appropriate explanatory variables, will provide the opportunity to comment on the nature and relative importance of the explanatory variables that determine the burden of this arms race on the Greek economy, as this is approximated by either the military debt of the country or the defence share of GDP. The method of analysis used is that of Artificial Neural Networks, which has been considered preferable to the conventional estimation methods for the purposes of the present analysis for reasons analyzed later on in this paper.
2003-07-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/78576/1/MPRA_paper_78576.pdf
Andreou, Andreas S. and Zombanakis, George (2003): The Greek-Turkish Arms Race Using Artificial Neural Networks. Published in: INTELLIGENT INFORMATION SYSTEMS APPLIED TO COMPLICATED DEFENCE PROBLEMS (14 July 2003): pp. 13-48.
en
oai:mpra.ub.uni-muenchen.de:78660
2019-10-11T16:31:53Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D48:4835:483536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/78660/
Measuring Relative Military Security
Andreou, Andreas
Zombanakis, George
C65 - Miscellaneous Mathematical Tools
H56 - National Security and War
. This paper aims at attracting the reader’s attention to certain important issues, which may contribute to drawing a number of conclusions regarding the usefulness or otherwise of the Integrated Defence Space doctrine, in view of the latest developments concerning the relations of the three countries involved, namely Greece, Cyprus and Turkey.
2003-07-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/78660/1/MPRA_paper_78660.pdf
Andreou, Andreas and Zombanakis, George (2003): Measuring Relative Military Security. Published in: Intelligent Information Systems Applied to Complicated Defence Problems (14 July 2003): pp. 49-77.
en
oai:mpra.ub.uni-muenchen.de:78663
2019-09-30T21:18:12Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D48:4835:483536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/78663/
Optimal Versus Required Defence Spending
ANDREOU, ANDREAS
PARSOPOULOS, KONSTANTINE
VRACHATIS, MICHAEL
Zombanakis, George A.
C65 - Miscellaneous Mathematical Tools
H56 - National Security and War
The recent rescheduling of the Turkish long-term defence procurement programmes following the economic crisis in the country and the reaction of the Greek authorities to reduce their own by about 25% has become the subject of extensive discussions. The issues involved in such discussions concern the possibility of a causal relationship between the developments in the two countries and the extent to which the two sides entangled, for ages now, in an expensive arms race, can afford a reduction of their defence expenditure. This leads to the next question, which involves the calculation of an “optimal” defence burden providing for maximum security in the face of an outside threat bounded by the constraints imposed by the economy.
2003-07-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/78663/1/MPRA_paper_78663.pdf
ANDREOU, ANDREAS and PARSOPOULOS, KONSTANTINE and VRACHATIS, MICHAEL and Zombanakis, George A. (2003): Optimal Versus Required Defence Spending. Published in: INTELLIGENT INFORMATION SYSTEMS APPLIED TO COMPLICATED DEFENCE PROBLEMS (14 July 2003): pp. 78-117.
en
oai:mpra.ub.uni-muenchen.de:78749
2019-10-11T05:49:23Z
7374617475733D707562
7375626A656374733D43:4336:433635
7375626A656374733D48:4835:483536
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/78749/
The Cyprus Puzzle and the Greek – Turkish Arms Race
Andreou, Andreas S.
Mateou, Nicos H.
Zombanakis, George A.
C65 - Miscellaneous Mathematical Tools
H56 - National Security and War
This paper aims at forecasting the developments concerning the settlement of the Cyprus issue after the Copenhagen EU summit. What we plan to do, more specifically, is to evaluate the extent to which one should share the Greek optimism concerning the improvement of the Greek-Turkish relations and the subsequent reduction of tension that will lead in its turn, to the end of the arms race currently burdening the economies of both sides.
2003-07-14
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/78749/1/MPRA_paper_78749.pdf
Andreou, Andreas S. and Mateou, Nicos H. and Zombanakis, George A. (2003): The Cyprus Puzzle and the Greek – Turkish Arms Race. Published in: Intelligent Information Systems Applied to Complicated Defence Problems (14 July 2003): pp. 137-170.
en
oai:mpra.ub.uni-muenchen.de:79011
2019-09-30T09:02:46Z
7374617475733D756E707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/79011/
A historical walkthrough with L’Hospital, from indeterminates to applied problems in mathematics
Abueg, Luisito
C02 - Mathematical Methods
C65 - Miscellaneous Mathematical Tools
A mathematical-historical revisit of the controversy of GFA L'Hospital and J Bernoulli, and related developments in the history of calculus in the seventeenth and eighteenth centuries. This paper presents some of the indeterminate forms occurring in problems in mathematics and statistics relevant to economic analysis.
2016-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/79011/1/MPRA_paper_79011.pdf
Abueg, Luisito (2016): A historical walkthrough with L’Hospital, from indeterminates to applied problems in mathematics.
en
oai:mpra.ub.uni-muenchen.de:79069
2019-10-19T16:44:53Z
7374617475733D756E707562
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/79069/
A historical walkthrough with L’Hospital, from indeterminates to applied problems in mathematics
Abueg, Luisito
C02 - Mathematical Methods
C65 - Miscellaneous Mathematical Tools
A mathematical-historical revisit of the controversy of GFA L'Hospital and J Bernoulli, and related developments in the history of calculus in the seventeenth and eighteenth centuries. This paper presents some of the indeterminate forms occurring in problems in mathematics and statistics relevant to economic analysis.
2016-04
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/79069/1/MPRA_paper_79011.pdf
Abueg, Luisito (2016): A historical walkthrough with L’Hospital, from indeterminates to applied problems in mathematics.
en
oai:mpra.ub.uni-muenchen.de:79632
2019-09-30T12:40:00Z
7374617475733D756E707562
7375626A656374733D43:4333:433330
7375626A656374733D43:4334:433439
7375626A656374733D43:4335:433539
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/79632/
Approaches and Techniques to Validate Internal Model Results
Dacorogna, Michel M
C30 - General
C49 - Other
C59 - Other
C65 - Miscellaneous Mathematical Tools
The development of risk model for managing portfolio of financial institutions and insurance companies require both from the regulatory and management points of view a strong validation of the quality of the results provided by internal risk models. In Solvency II for instance, regulators ask for independent validation reports from companies who apply for the approval of their internal models.
Unfortunately, the usual statistical techniques do not work for the validation of risk models as we lack enough data to significantly test the results of the models. We will certainly never have enough data to statistically estimate the significance of the VaR at a probability of 1 over 200 years, which is the risk measure required by Solvency II. Instead, we need to develop various strategies to test the reasonableness of the model.
In this paper, we review various ways, management and regulators can gain confidence in the quality of models. It all starts by ensuring a good calibration of the risk models and the dependencies between the various risk drivers. Then applying stress tests to the model and various empirical analysis, in particular the probability integral transform, we build a full and credible framework to validate risk models.
2017-04-23
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/79632/1/MPRA_paper_79631.pdf
Dacorogna, Michel M (2017): Approaches and Techniques to Validate Internal Model Results.
en
oai:mpra.ub.uni-muenchen.de:80070
2019-09-26T18:42:36Z
7374617475733D707562
7375626A656374733D43:4330
7375626A656374733D43:4330:433032
7375626A656374733D43:4331
7375626A656374733D43:4336:433635
7375626A656374733D43:4336:433639
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/80070/
VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey
Kaplanski, Guy
Kroll, Yoram
C0 - General
C02 - Mathematical Methods
C1 - Econometric and Statistical Methods and Methodology: General
C65 - Miscellaneous Mathematical Tools
C69 - Other
The article presents an analysis and survey regarding the validity of VaR risk measures in comparison to traditional risk measures. Individuals are assumed to either maximize their expected utility or possess a lexicographic utility function. The analysis is carried out for generally distributed functions and for the normal and lognormal
distributions. The main conclusion is that although VaR is an inadequate measure within the expected utility framework, it is at least as good as other traditional risk measures. Moreover, it can be improved by modified versions such as
the Accumulated-VaR (Mean-Shortfall) Assuming a lexicographic expected utility strengthens the argument for using AVaR as a legitimate risk measure especially in
the case of a regulated firm.
2002
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/80070/1/MPRA_paper_80070.pdf
Kaplanski, Guy and Kroll, Yoram (2002): VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey. Published in: Journal of Risk , Vol. 4, No. 3 (2002): pp. 1-27.
en
oai:mpra.ub.uni-muenchen.de:80216
2019-10-10T13:50:21Z
7374617475733D707562
7375626A656374733D43:4330
7375626A656374733D43:4330:433032
7375626A656374733D43:4336:433635
74797065733D7061706572
https://mpra.ub.uni-muenchen.de/80216/
Analytical Portfolio Value-at-Risk
Kaplanski, Guy
C0 - General
C02 - Mathematical Methods
C65 - Miscellaneous Mathematical Tools
The paper develops analytical tools used to calculate the VaR of a portfolio composed of generally distributed assets. Accordingly, the VaR of a portfolio is analytically constructed from the conditional returns of the individual assets. This analytical VaR can then be used to construct optimal portfolios of generally distributed assets for the case in which the target function and/or constraints are expressed in terms of VaR. The proposed method is applicable in a wide range of practical problems such as utility maximization under a VaR constraint. The article demonstrates this method by developing a minimal VaR rule that identifies the proportions that minimize the portfolio VaR. This rule is used to compare the minimal VaR portfolio with the minimal standard deviation portfolio in the case of the lognormal distribution. This example illustrates the importance of downside risk in optimal asset allocation even under modest deviations from the normal distribution such as in the case of the lognormal distribution.
2005
MPRA Paper
NonPeerReviewed
application/pdf
en
https://mpra.ub.uni-muenchen.de/80216/1/MPRA_paper_80216.pdf
Kaplanski, Guy (2005): Analytical Portfolio Value-at-Risk. Published in: Journal of Risk , Vol. 7, No. 2 (2005): pp. 33-54.
en
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