搜索结果: 1-15 共查到“经济学 transaction”相关记录40条 . 查询时间(0.234 秒)
Portfolio optimization with linear and fixed transaction costs
Investment transaction costs linear transactions
2015/8/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Deception in Post-Transaction Marketing Offers
Deception Post-Transaction Marketing Offers
2015/5/12
Deception in Post-Transaction Marketing Offers.
The Architecture of Transaction Networks: A Comparative Analysis of Hierarchy in Two Sectors
Customer Value and Value Chain Market Transactions Networks Competitive Strategy Vertical Integration
2015/4/24
Many products are manufactured in networks of firms linked by transactions, but comparatively little is known about how or why such transaction networks differ. This paper investigates the transaction...
On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Hedging of game options in discrete markets with transaction costs
game options discrete markets transaction costs
2012/9/14
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete time markets with transaction costs both from seller’s (upper arbitrage free price) a...
Portfolio Choice with Transaction Costs: a User's Guide
transaction costs long-run, portfolio choice Merton problem.
2012/9/14
Recent progress in portfolio choice has made a wide class of problemsinvolving transaction costs tractable. We review the basic approach to these problems,and outline some directions for future resear...
No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
arbitrage fundamental theorem of asset pricing transaction costs consistent pricing system liquidity dividends credit default swaps
2012/6/5
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage conditio...
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
dynamic coherent acceptability index conic finance dynamic coherent risk measures transaction costs dividend paying securities
2012/6/5
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a versi...
Transaction Costs, Shadow Prices, and Connections to Duality
transaction costs utility maximization shadow price convex duality
2012/6/5
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same opti...
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
portfolio constraints transaction costs long-run portfolio choice
2012/6/5
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and...
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Shadow prices well-posedness the problem of optimal investment consumption transaction costs Portfolio Management
2012/4/28
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Mak...
Trade practices of retail chains as far as the transaction cost analysis in relationships manufacturer – retailer are concerned in the milk industry
manufacturer-retailer relationship retail chain purchasing department transaction cost analysis milk products Slovak food market milk industry
2014/2/24
The primary purpose of this article is to discuss the trade practices used by retail chains from the point of view of the possible solutions of conflicts between the members of the distribution channe...
Five Real Estate Transaction Pitfalls
commercial deal idiosyncrasies service contracts expense reports
2011/9/11
The article focuses on how to avoid the five major potential pitfalls in commercial real estate deals. It states that each commercial deal has its own idiosyncrasies and that it is important that a sa...
Organizational paths of commercializing patented inventions: The effects of transaction costs, firm capabilities, and collaborative ties
transaction cost economics knowledge-based view collaboration ties commercialization innovation patent
2014/6/24
This study examines the factors affecting modes of commercializing patented inventions using a novel dataset based on a survey of U.S. inventors. We find that technological uncertainty and possessing...
Stochastic impulse control on optimal execution with price impact and transaction cost
Price impact impulse control dynamic programming vis-cosity solutions
2011/3/30
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of...
