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SIGMETRICS
2006
ACM
14 years 3 months ago
2006
ACM
MOR
2006
13 years 9 months ago
2006
We consider the problem of dynamically hedging the profits of a corporation when these profits are correlated with returns in the financial markets. In particular, we consider the...
MOR
2006
13 years 9 months ago
2006
It has been shown (Hart [2002]) that the backward induction (or subgame-perfect) equilibrium of a perfect information game is the unique stable outcome for dynamic models consisti...
MOR
2006
13 years 9 months ago
2006
We describe an extension procedure for constructing new standardized time series procedures from existing ones. The approach is based on averaging over sample paths obtained by per...
MOR
2006
13 years 9 months ago
2006
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappi...