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Remarks on Afriat's theorem and the Monge-Kantorovich problem
Journal Mathematical Economics, Netherlands. 2013. Vol. 49. P. 501-505.
The famous Afriat’s theorem from the theory of revealed preferences establishes necessary and sufficient conditions for the existence of utility function for a given set of choices and prices. The result on the existence of a homogeneous utility function can be considered as a particular fact of the Monge–Kantorovich mass transportation theory. In this paper we explain this viewpoint and discuss some related questions.
Kolesnikov A., Kudryavtseva O., Nagapetyan T., / Cornell University. Series math "arxiv.org". 2013.
The classical concept of the revealed preferences was introduced by P. Samuelson and studied by H.S. Houthakker, M. Richter, S. Afriat, H. Varian and many others. It was shown by Afriat that the so called SARP (or cyclically consistence) axiom is a necessary and sufficient condition for existence of an appropriate concave utility function for ...
Added: February 23, 2013
Matveenko A., Matveenko Vladimir, Montenegrin Journal of Economics 2014 Vol. 10 No. 2 P. 7-20
Relation between curvature and the elasticity of substitution is the old question important for economic theory. Opinions of economists concerning presence or absence of a link between these two concepts radically diverge. Also now there is a steady trend of the use of the Arrow-Pratt coefficient of relative risk aversion and the coefficient of relative ...
Added: January 17, 2015
Suvorov A., Матанцева М. О., Plotnikova E. G., Безопасность в техносфере 2018 Т. 7 № 5 С. 35-42
A review of the cyber insurance domain has been carried out with a description of classical terms from the insurance industry. Have been considered two the most comprehensive today definitions of cyber risk in authors’ opinion. A diagram of processes for cyber risk management using insurance has been presented, and the place of cyber-risk among ...
Added: October 2, 2019
Kopnova E., Розенталь О. М., Вода: химия и экология 2014 № 10 С. 44-54
Предложена адаптивная модель планирования водохозяйственных инвестиций. Показано, что среди основных влияющих факторов определяющим являются глубина водоочистки. При этом случайные колебания спроса на воду заданного качества сопровождаются рассогласованием отдельных процессов производственных цепочек, особенно значительным на их начальных звеньях. Предложен алгоритм прогнозирования запасов, позволяющий снизить риски рассогласований. Приведена модель бизнес-планирования производства дистиллированной и деионизированной воды в зависимости ...
Added: February 2, 2015
Кочкина Н. А., Экономический анализ: теория и практика 2015 № 39 С. 56-66
Importance An individual is often observed choosing several options from the available set of alternatives. The amount of the alternatives chosen can be different from one unit. For example, an individual came to buy yogurt and is choosing which brands of yogurt to purchase. After that he buys several packages of each chosen brand. Another ...
Added: October 28, 2015
Дранев Юрий Яковлевич, Корпоративные финансы 2012 № 1 С. 33-36
The variance and semivariance are traditional measures of asset returns volatility since Markowitz proposed the market portfolio theory. Well known models for expected asset returns were developed under assumptions of mean-variance or mean-semivariance investor’s behavior. But numerous papers provided arguments against these models because of unrealistic assumptions and controversial empiric evidence. More complicated models with ...
Added: November 16, 2012
Ошарин А.М., Аудит и финансовый анализ 2013 № 6 С. 154-160
The paper develops a one-sector model of monopolistic competition with heterogeneous consumers, which preferences depend upon their personal income. The model is used for the analysis of the mark-ups dependence on the inequality of consumers’ income distribution and average wage. The paper shows that mark-ups can ambiguously depend upon income inequality at fixed average income, ...
Added: November 14, 2013
Kolesnikov A., / Cornell University. Series arXiv "math". 2023.
In this survey paper we present classical and recent results relating the auction design and the optimal transportation theory. ...
Added: December 13, 2023
Klemashev N., Шананин А. А., Journal of Inverse and Ill-posed problems 2016 Vol. 24 No. 4 P. 367-391
According to Pareto's theory of consumer demand a rational representative consumer should choose their consumption bundle as the solution of mathematical programming problem of maximization of utility function under their budget constraint. The inverse problem of demand analysis is to recover the utility function from the demand functions. The answer to the question of solvability ...
Added: March 5, 2019
A.Y. Golubin, Scandinavian Actuarial Journal 2016 No. 3 P. 181-197
The paper studies the so-called individual risk model where both a policy of per-claim insurance and a policy of reinsurance are chosen jointly by the insurer in order to maximize his/her expected utility. The insurance and reinsurance premiums are defined by the expected value principle. The problem is solved under additional constraints on the reinsurer's ...
Added: May 6, 2014
Колесников А., Bulletin des Sciences Mathematiques 2014 Vol. 138 No. 2 P. 165-198
Given two probability measures μ and ν we consider a mass transportation mapping T satisfying 1) T sends μ to ν, 2) T has the form <img />T=φ∇φ|∇φ|, where φ is a function with convex sublevel sets. We prove a change of variables formula for T. We also establish Sobolev estimates for φ, and ...
Added: December 23, 2015
Inverse problems in Pareto’s demand theory and their applications to analysis of stock market crises
Klemashev N., Shananin A. A., Zhang S., Journal of Inverse and Ill-posed problems 2016 Vol. 26 No. 1 P. 95-108
We develop an approach to analysis of stock market crises based on the generalized nonparametric method. The generalized nonparametric method is based on solvability and regularization of ill-posed inverse problem in Pareto's demand theory. Our approach allows one to select a few companies that may be considered as the main reason for the crisis. We ...
Added: March 5, 2019
Pravednov S. V., Shash N., Финансовый вестник: Финансы, налоги, страхование, бухгалтерский учет 2013 № 5 С. 27-34
The article presents the key aspects of successful investment process modeling for investment projects. A successful investment process means a series of investment decisions on timing, risk and investment objects and activities for their implementation, aimed to generating positive indicator "alpha", which is the maximum possible total return of specific investment project. In practice, there ...
Added: December 3, 2013
Rudenko V., Ayvazyan S. A., Афанасьев М. Ю., Modeling of Artificial Intelligence 2017 Т. 4 № 1 С. 21-28
Copulas are being successfully applied for derivation of estimates in the models related to stochastic production functions. They can be used for handling of panel data, for the analysis of models with multiple outputs and for improvement of estimates in classical models. The research proposes an algorithm for specification of extended class of models for ...
Added: January 23, 2018
Lola I. S., Ostapkovich G. V., Инвестиции в России 2018 № 2 С. 3-8
В настоящей статье авторами приводится комплексный анализ делового климата, сложившегося в строительных организациях России по итогам 2017 года. ...
Added: February 15, 2018
Seidl C., / Высшая школа экономики. Series WP7 "Математические методы анализа решений в экономике, бизнесе и политике". 2009. No. 02.
This paper reviews methods of comparing income tax progression. Section II deals with local measures of tax progression, Section III with global measures of tax progression, and Section IV with uniform tax progression. It is shown that all of this measures have specific drawbacks: they either ignore the income distribution altogether, aggregate over income цintervals ...
Added: March 23, 2013
Aleskerov F. T., Piontkovski D., Ersel H., Dordrecht, L., Heidelberg, NY : Springer, 2011
The main aim of the book is, naturally, to give students the fundamental notions and instruments in linear algebra. Linearity is the main assumption used in all fieldsof science. It gives a first approximation to any problem under study and is widely used in economics and other social sciences. One may wonder why we decided ...
Added: September 11, 2011
Шевяков А. Ю., Zharomsky V., Мигранова Л. А. et al., М. : ИСЭПН РАН, 2009
Added: April 16, 2013
Penikas H. I., Andrievskaya I. K., Model Assisted Statistics and Applications 2012 Vol. 7 No. 4 P. 267-280
According to the strategy of the banking system development until 2015, the Central Bank of Russia is going to implement Basel II Internal-Ratings-Based (IRB) approaches in 2015, while Basel III is planned to be introduced in full starting from 2019. Taking into account the effects of the Basel II regulation during the crisis 2008-2009, in ...
Added: November 6, 2012
Savitskaya E. V., Народное образование 2005 № 10 С. 35-41
Added: February 19, 2010
Sidorov A., Дискретный анализ и исследование операций 2010 Т. 17 № 3 С. 61-83
В настоящей работе продолжены исследования модели экономики с эндогенным инвестированием применительно к ситуации, когда инвестиционный процесс неограничен во времени, а инвесторы (они же потребители) образуют сменяющие друг друга перекрывающиеся поколения. В отличие от рассматривавшихся ранее в серии работ случаев, здесь пространство товаров бесконечномерно, хотя каждому поколению в отдельности доступен лишь ограниченный ассортимент товаров. Доказано существование ...
Added: April 23, 2013
Babetskaia-Kukharchuk O., / Высшая школа экономики. Series WP2 "Количественный анализ в экономике". 2005. No. 01.
Institutional development tends to converge to several equilibriums differentiating by the level of development. Institutions external to a country, can help this country to find a “right” equilibrium. CEECs countries on average have institutional performance and economic development below the EU15 average. By choosing the Acquis Communautaire as external anchor CEECs may further improve their ...
Added: April 1, 2013
Bessonov V. A., Вопросы статистики 2017 № 4 С. 22-37
Information and communication technology has reached a level of development that official sites of statistical offices and information resources stored on them has become the major channel for the distribution of statistical data. Therefore issues related to dissemination of statistical information should now be discussed in the context of internet-based databases, i.e. information and ...
Added: April 25, 2017
Grigoryev D., Социология: методология, методы, математическое моделирование 2021
В свете текущих дебатов о кризисе воспроизводимости в социальных науках, данная статья обращается к основаниям современной частотной статистики в аспекте установления причинных выводов. Чтобы понять как и для чего статистический анализ данных был введён в научную практику, после краткого введения в сегодняшний этап дискуссии о кризисе воспроизводимости, было описано понимание назначения частотного статистического анализа данных ...
Added: May 1, 2020