Proposition: Suppose that U (c, y) = u(c − ηy) and u is DARA. 1. The allocation in the risky asset is decreasing in k. 2. The allocation in the risky asset is decreasing in (increasing in,...

Proposition: Suppose that U (c, y) = u(c − ηy) and u is DARA. 1. The allocation in the risky asset is decreasing in k. 2. The allocation in the risky asset is decreasing in (increasing in,...

Illustrative portfolio example To illustrate the effect that anticipatory feeling and ex-post disappointment have on the optimal decision, we consider the case U (c, y) = ln(c − ηy). Suppose that...

In this section, we examine the standard one-safe-one-risky-asset model. The agent has some initial wealth z0 that can be invested in a safe asset whose return in normalized to zero and in a risky...

Pseudo code pour évaluer un call européen lookback avec un prix d’exercice fixe, des fixings discrets et une volatilité stochastique dans le monde de Black&Scholes, selon la simulation de Monte...

Ceci est le premier article de votre blog. Il a été créé automatiquement pour vous aider à démarrer sur overblog. Vous pouvez le modifier ou l'effacer via la section "publier" de l'administration...