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Decisions in Economics and Finance
1978 - 2013
Edited by S. Holzer
from Springer
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Volume 36, issue 1 , 2013
Optimal portfolio selection via conditional convex risk measures on L p pp. 1-21 Beatrice Acciaio and Verena Goldammer Performance of investment strategies in the absence of correct beliefs pp. 23-37 Çisem Bektur Investing equally in risk pp. 39-46 Carl Lindberg Option-based risk management of a bond portfolio under regime switching interest rates pp. 47-70 Fabio Antonelli , Alessandro Ramponi and Sergio Scarlatti Pricing VIX options with stochastic volatility and random jumps pp. 71-88 Guang-Hua Lian and Song-Ping Zhu Stackelberg problems with followers in the grand coalition of a Tu-game pp. 89-98 C. Pensavalle and G. Pieri Volume 35, issue 2 , 2012
Portfolio optimization in a defaultable market under incomplete information pp. 91-111 Giorgia Callegaro , Monique Jeanblanc and Wolfgang Runggaldier How should a convertible bond be decomposed? pp. 113-149 Song-Ping Zhu and Jing Zhang Optimal investment for executive stockholders with exponential utility pp. 151-170 Sascha Desmettre Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations pp. 171-202 Werner Hürlimann Volume 35, issue 1 , 2012
Risk aversion and risk vulnerability in the continuous and discrete case pp. 1-28 Martin Bohner and Gregory Gelles Exchange rate bifurcation in a stochastic evolutionary finance model pp. 29-58 Gregory Gagnon On the linearity of the wage–profit relation in a Sraffa’s model: a mathematical summing-up pp. 59-73 G. Giorgi and C. Zuccotti Privatization of businesses and flexible investment: a real option approach pp. 75-89 Walailuck Chavanasporn and Christian-Oliver Ewald Volume 34, issue 2 , 2011
Utility indifference valuation for jump risky assets pp. 85-120 Claudia Ceci and Anna Gerardi Allocation of public funds to R&D: a portfolio choice-styled decision model and a biotechnology case study pp. 121-139 Dmitriy Volinskiy , Michele Veeman and Wiktor Adamowicz Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets pp. 141-168 Marcel Prokopczuk Volume 34, issue 1 , 2011
A customer’s utility measure based on the reliability of multi-state systems pp. 1-20 Guglielmo D’Amico , Giuseppe Di Biase and Raimondo Manca Continuous-time mean-variance portfolio optimization in a jump-diffusion market pp. 21-40 Özge Alp and Ralf Korn Real options game analysis of sleeping patents pp. 41-65 Chi Leung and Yue Kwok On robust asymmetric equilibria in asymmetric R&D-driven growth economies pp. 67-84 Paolo E. Giordani and Luca Zamparelli Volume 33, issue 2 , 2010
Adaptive algorithms for maximizing overall stock return pp. 81-95 Charles Lee and Kristy Tran Dynamic voluntary provision of public goods with uncertainty: a stochastic differential game model pp. 97-116 Wen-Kai Wang and Christian-Oliver Ewald Sensitivities for Bermudan options by regression methods pp. 117-138 Denis Belomestny , G. Milstein and John Schoenmakers Mixture sets on finite domains pp. 139-147 Matthew Ryan A closed-form solution for the continuous-time consumption model with endogenous labor income pp. 149-167 Aihua Zhang Volume 33, issue 1 , 2010
Eugenio Levi and his scientific production: a note on the occasion of the 40th anniversary of his death pp. 1-5 Paola Modesti Some new characterization of rational expectation equilibria in economies with asymmetric information pp. 7-21 Anna De Simone and Ciro Tarantino Optimal prepayment and default rules for mortgage-backed securities pp. 23-47 Giulia De Rossi and Tiziano Vargiolu An improved combinatorial approach for pricing Parisian options pp. 49-61 Yuh-Dauh Lyuu and Cheng-Wei Wu Explicit formulas for the minimal variance hedging strategy in a martingale case pp. 63-79 Flavio Angelini and Stefano Herzel Volume 32, issue 2 , 2009
Memory of Jean-Yves Jaffray pp. 79-81 Michèle D Cohen An equilibrium model of insider trading in continuous time pp. 83-128 Roberto Monte and Barbara Trivellato Pricing American barrier options with discrete dividends by binomial trees pp. 129-148 Marcellino Gaudenzi and Antonino Zanette The predictive power of fund ratings with a novel approach using uncertainty measures to analyzing risk pp. 149-160 Virginie Terraza and Carole Toque Computationally simple lattice methods for option and bond pricing pp. 161-181 Massimo Costabile , Arturo Leccadito and Ivar Massabó Volume 32, issue 1 , 2009
Obituary pp. 1-4 Achille Basile Arbitrage in stationary markets pp. 5-12 Igor V. Evstigneev and Dhruv Kapoor Knightian uncertainty and insurance regulation decision pp. 13-33 An Chen and Xia Su A scenario-based integrated approach for modeling carbon price risk pp. 35-48 Zili Zhu , Paul Graham , Luke John Reedman and Thomas Lo Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options pp. 49-65 Piergiacomo Sabino On the computability of quasi-transitive binary social choice rules in an infinite society and the halting problem pp. 67-78 Yasuhito Tanaka Volume 31, issue 2 , 2008
Unawareness, priors and posteriors pp. 81-94 Salvatore Modica Axiomatic approach to approximate solutions in multiobjective optimization pp. 95-115 E. Miglierina , E. Molho , F. Patrone and S. Tijs Approximate equilibrium in pure strategies for a two-stage game of asset creation pp. 117-136 Marta Faias Optimal consumption and investment under partial information pp. 137-170 Wolfgang Putschögl and Jörn Sass Volume 31, issue 1 , 2008
The competitive firm under price uncertainty: the role of information and hedging pp. 1-11 Udo Broll and Bernhard Eckwert Path dependent volatility pp. 13-32 Paolo Foschi and Andrea Pascucci A moments and strike matching binomial algorithm for pricing American Put options pp. 33-49 Benjamin Jourdain and Antonino Zanette The optimal capital structure of the firm with stable Lévy assets returns pp. 51-72 Olivier Le Courtois and François Quittard-Pinon A note on arbitrage in term structure pp. 73-79 Miklós Rásonyi
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