?
Consumption-investment problem with transaction costs for Lévy-driven price processes
Finance and Stochastics. 2016. Vol. 20. No. 3. P. 705-740.
De Vallière D., Kabanov Y., Lépinette E.
We consider an optimal control problem for a linear stochastic integro-differential equation with conic constraints on the phase variable and with the control of singular–regular type. Our setting includes consumption-investment problems for models of financial markets in the presence of proportional transaction costs, where the prices of the assets are given by a geometric Lévy process, and the investor is allowed to take short positions. We prove that the Bellman function of the problem is a viscosity solution of an HJB equation. A uniqueness theorem for the solution of the latter is established. Special attention is paid to the dynamic programming principle.
Andreev N. A., Mathematics 2019 Vol. 7 No. 12 P. 1147
We present a robust dynamic programming approach to the general portfolio selection problem in the presence of transaction costs and trading limits. We formulate the problem as a dynamic infinite game against nature and obtain the corresponding Bellman-Isaacs equation. Under~several additional assumptions, we get an alternative form of the equation, which is more feasible for ...
Added: October 30, 2019
D. V. Gribanov, Shumilov I. A., D. S. Malyshev, Optimization Letters 2024 Vol. 18 P. 73-103
In this work we consider the problem of computing the (min,+)-convolution of two sequences a and b of lengths n and m, respectively, where n≥m. We assume that a is arbitrary, but b_i=f(i), where f(x):[0,m)→R is a function with one of the following properties: f is linear, f is monotone, f is convex, f is concave, f is piece-wise linear, f is a polynomial function of a fixed degree. To the best of our knowledge, the concave, piece-wise linear and polynomial ...
Added: May 28, 2023
Tsepov G., Закон 2016 № 12 С. 139-148
The paper deals with the problem of unification of legal regulations applied to meetings of members of noncorporate
and corporate bodies. Applying the methods of economic analysis of law, the author, firstly, examines the nature of corporate and non-corporate bodies and comes to a conclusion that their structures are significantly different. Secondly, taking the obtained results into consideration and using the formal ...
Added: November 2, 2018
Молоствов В.С., Жаркынбаев С. Ж., Жуковский В. И., В кн. : Сборник научных трудов III Международной школы-симпозиума «Анализ, моделирование, управление, развитие экономических систем: АМУР-2009, Севастополь, 14 - 20 сентября 2009». : ТНУ им. В.И. Вернадского, 2009. С. 191-192.
На основе принципа минимаксного сожаления по Сэвиджу формализуется понятие функции риска в многошаговой позиционной задаче. Предлагаются достаточные условия существования максимума целевого функционала при учете неопределенности. ...
Added: July 11, 2014
Belkina Tatiana, Hipp C., Luo S. et al., Scandinavian Actuarial Journal 2014 No. 5 P. 383-404
We consider an insurance company whose surplus is represented by the classical Cramer-Lundberg process. The company can invest its surplus in a risk-free asset and in a risky asset, governed by the Black-Scholes equation. There is a constraint that the insurance company can only invest in the risky asset at a limited leveraging level; more ...
Added: May 20, 2015
Golovanova S., Pontual Ribeiro E., Styrin E. M. et al., Journal of Institutional Economics 2024 No. 20
A growing number of labour market participants transact through gig platforms. This choice should reflect a reduction in transaction costs for platform users, compared to costs they meet when using alternative modes of governance. We exploit a unique cross-platform, cross-country data set of gig platform users to test the impact of the institutional environment in ...
Added: February 1, 2024
Dmitrieva N., Minchenko O., Rylskikh E., Вопросы государственного и муниципального управления 2022 № 2 С. 60-84
In this article the authors raise the question of the impact of digital platforms on the change of public values and on the system of public administration. Digital platforms O2O (online-to-offline) are considered as new economic agents, transforming into institutional mechanisms and forming a new system of values. Using the public values typology to assess ...
Added: October 21, 2021
Meissner D., Burton N., Galvin P. et al., Journal of Business Research 2021 Vol. 128 P. 762-769
The mirroring hypothesis highlights the correspondence of design characteristics across different architectural levels and in this paper, we consider how mirroring may impact the distribution of national and international innovation activities of firms. We identify incremental and modular innovations (as product architecture reinforcing innovations) along with architectural and radical innovations (as innovations that overturn the ...
Added: February 27, 2020
N. A. Andreev, Journal of Mathematical Sciences 2020 Vol. 248 No. 1 P. 116-122
This paper studies the form of the instantaneous impact cost function in a financial market with transaction costs via an axiomatic approach. We show that several kinds of convexity of the cost function are equivalent to the corresponding properties of the price impact functions. The results clarify the implicit assumptions made when selecting a particular ...
Added: July 25, 2020
Andreev N. A., Smirnov S. N., В кн. : "Тихоновские чтения": научная конференция: тезисы докладов: посвящается памяти академика Андрея Николаевича Тихонова: 29 октября-2 ноября 2018 г. : М. : МАКС Пресс, 2018. С. 11-11.
Управление портфелем ценных бумаг, для целей инвестирования или хеджирования, относится к классическим задачам финансовой математики, которые допускают различные постановки, обычно использующие стохастическое динамическое программирование, где управляемым объектом является структура портфеля, а рынок описывается некоторым стохастическим процессом.
Доклад посвящен альтернативе общепринятого стохастического подхода, - за основу берется неопределенность поведения рынка в будущем, а динамика рынка описывается одним ...
Added: October 30, 2018
Olga Balaeva, Andrei Yakovlev, International Journal of Procurement Management 2017 Vol. 10 No. 1 P. 70-88
The growing attention of governments, international organizations and NGOs to public procurement issues over the last two decades has been accompanied by many studies on the efficiency of public procurement. However, few researchers have considered the costs of procurement regulation for public customers and private suppliers. This problem is especially acute for the public procurement ...
Added: December 7, 2015
Kotliarov I. D., Журнал институциональных исследований 2017 Т. 9 № 1 С. 69-87
The goal of the present paper is to clarify the role of transaction cost for existence of an economic agent. It is demonstrated that the opposition of transaction cost and transformation cost is not rigid and there are costs that contain both transaction and transformation component. In addition the amount of transaction cost depends on ...
Added: January 30, 2018
Springer, 2014
This book constitutes the thoroughly refereed post-conference proceedings of the 8th International Conference on Learning and Optimization, LION 8, which was held in Gainesville, FL, USA, in February 2014. The 33 contributions presented were carefully reviewed and selected for inclusion in this book. A large variety of topics are covered, such as algorithm configuration; multiobjective ...
Added: August 13, 2014
Naumenko V., Финансовый бизнес 2012 № 3 (158) С. 50-55
The general issues of determining the liquidation value are discussed, such as the choice of market liquidity risk model and the choice of a price benchmark for estimating transaction costs. The layout for the portfolio management process is proposed which is grounded on a previously developed approach to determining the liquidation value of a portfolio. ...
Added: July 3, 2012
Tsepov G., Известия высших учебных заведений. Правоведение 2016 № 6 С. 74-93
The article deals with the problem of correlation between private and public interests within business corporations. Development of a human society has led to the specialization of labor and pooling of production resources. The funds of the majority are under the control of the elite. Using their position, controlling persons of commercial corporations may derive ...
Added: November 2, 2018
Kolesnik N. A., Sheresheva M. Y., , in : 3rd Annual EuroMed Conference of the EuroMed Academy of Business. Conference reading book proceedings. : Nicosia : EuroMed Press, 2010. P. 912-926.
The paper aims to investigate the process of establishing distribution network. The paper takes network paradigm as a main basis of investigation looking at the development of distribution networks in Russian chemical industry. ...
Added: July 26, 2012
Springer, 2014
This book constitutes the thoroughly refereed post-conference proceedings of the 8th International Conference on Learning and Optimization, LION 8, which was held in Gainesville, FL, USA, in February 2014. The 33 contributions presented were carefully reviewed and selected for inclusion in this book. A large variety of topics are covered, such as algorithm configuration; multiobjective ...
Added: September 15, 2014
Teplova T., Gurov S., Applied Economics 2022 Vol. 54 No. 51 P. 5943-5955
We perform a comprehensive study of different illiquidity effects in the relatively illiquid Russian stock market. Over the period 2010–2020, we apply cross-sectional and time-series regressions using two low-frequency illiquidity proxies: the Amihud ratio and the invariance-implied ratio. The evidence suggests that implicit trading costs influence only the returns of small-capitalization stocks or low size ...
Added: April 26, 2022
Фрейман Е. Н., Tretyakova E., AlterEconomics (ранее - Журнал экономической теории) 2017 № 2 С. 144-156
In the article the transactional sector as an important component of the economic system at any level of the hierarchy. Analyzed the existing interpretations of transactional sector. The attention is focused on the concept of transactional isolation sector of the need to measure transaction costs in the economic system. The conclusion about the absence of ...
Added: December 11, 2017
Pham Cong T., Копылов А. В., Computer Optics 2018 P. 1-8
We consider here image denoising procedures, based on computationally effective tree-serial parametric dynamic programming procedures, different representations of an image lattice by the set of acyclic graphs and non-convex regularization of a new type which allows to flexibly set a priori preferences. Experimental results in image denoising, as well as comparison with related methods, are ...
Added: July 21, 2018
Nureev R. M., Латов Ю. В., ЭТАП: экономическая теория, анализ, практика 2010 № 5 С. 139-154
The article considers various approaches to the theory of human and social capital, analyzes the problem of measurement of human resources and application of "Human Development Index" in the Russian Federation. Under market economy conditions the human capital is considered as an asset bringing regular income. ...
Added: November 5, 2012
Nikolay N. Osipov, Ivanisvili P., Stolyarov D. et al., Transactions of the American Mathematical Society 2016 Vol. 368 P. 3415-3468
We develop a general method for obtaining sharp integral estimates on BMO. Each such estimate gives rise to a Bellman function, and we show that for a large class of integral functionals, this function is a solution of a homogeneous Monge-Ampère boundary-value problem on a parabolic plane domain. Furthermore, we elaborate an essentially geometric algorithm ...
Added: October 30, 2018
Cherkasova V. A., Черкасова Е. С., Финансовый менеджмент 2011 № 1 С. 62-71
Данная статья посвящена механизму принятия решения о вертикальной интеграции на уровне компании. Раскрываются подходы к анализу сделок вертикальной интеграции, существующие на сегодняшний день. Дается оценка существующим способам анализа, устанавливаются связи между различными факторами, влияющими на общий результат сделок вертикальной интеграции. В статье приведены рекомендации для российского автопрома на основе обзора существующих на сегодняшний день вертикально ...
Added: November 26, 2012
Zinder Y., Lazarev A. A., Musatova E. G. et al., Automation and Remote Control 2018 Vol. Vol. 79 No. 3 P. 506-523
The paper is concerned with scheduling the two-way traffic between two stations connected by a single-track railway with a siding. It is shown that if, for each station, the order in which trains leave this station is known or can be found, then for various objective functions an optimal schedule can be constructed in polynomial ...
Added: May 30, 2018