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This paper presents an equilibrium model in a pure exchange econ- omy when investors have three possible sources of heterogeneity. In- vestors may di§er in their beliefs, in their level of risk aversion and in their time preference rate. We study the impac ...
This paper provides some useful results for convex risk measures. In fact, we consider convex functions on a locally convex vector space E which are monotone with respect to the preference relation implied by some convex cone and invariant with respect to ...
This thesis describes the development of three conceptual models built to serve as decision support tools in liberalised electricity markets. The introduction of competition, higher uncertainty and decentralised planning requires new planning and analysis ...
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, non financial and insurance positions. The debated cash additive axiom is relaxed into the cash sub-additive axiom to preserve the ori ...
This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes towa ...
The objective of this article is to present a benchmarking of financial indicators implemented in hydroelectric stochastic risk management models. We present three model formulations using a tree approach for hydroelectric optimization using three procedur ...
Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2007
In this paper we examine whether the Swiss Solvency Test risk measure is a coherent measure of risk as introduced in Artzner et al. [Artzner, P., Delbaen, F., Eber, J.M., Heath, D., 1999. Coherent measures of risk. Math. Finance 9, 203–228; Artzner, P., De ...
We investigate the problem of automatic tuning of a deconvolution algorithm for three-dimensional (3D) fluorescence microscopy; specifically, the selection of the regularization parameter λ. For this, we consider a realistic noise model for data obtained ...
We investigate the problem of automatic tuning of a deconvolution algorithm for three-dimensional (3D) fluorescence microscopy; specifically, the selection of the regularization parameter lambda. For this, we consider a realistic noise model for data obtai ...
Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2008
We establish universal bounds for asset prices in heterogeneous complete market economies with scale invariant preferences. Namely, for each agent in the economy we consider an artificial homogeneous economy populated solely by this agent, and calculate the ...
