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搜索结果: 1-5 共查到经济学 G-expectation相关记录5条 . 查询时间(0.082 秒)
In this paper, we investigate risk minimization problem of derivatives based on non-tradable underlyings by means of dynamicg-expectations which are slight different from conditionalg-expectations. In...
We discuss a new notion of risk measures that preserve the property of coherence called Copula Conditional Tail Expectation (CCTE). This measure describes the expected amount of risk that can be exper...
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gath...
We propose two rational expectation models of transient financial bubbles with heterogeneous arbitrageurs and positive feedbacks leading to self-reinforcing transient stochastic faster-than-exponent...
This paper studies multidimensional dynamic risk measure induced by conditional $g$-expectation. A notion of multidimensional $g$-expectation is proposed to provide a multidimensional version of nonli...

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