The general model of decision under uncertainty and no-arbitrage (expected utility with known utilities and unknown probabilities)

2012 ◽  
pp. 11-43
Author(s):  
Peter P. Wakker
Keyword(s):  
Expected Utility ◽  
General Model ◽  
Decision Under Uncertainty ◽  
No Arbitrage

scholarly journals Geometric No-Arbitrage Analysis in the Dynamic Financial Market with Transaction Costs

2019 ◽  
Vol 12 (1) ◽  
pp. 26
Author(s):  
Wanxiao Tang ◽  
Jun Zhao ◽  
Peibiao Zhao
Keyword(s):  
Transaction Costs ◽  
Financial Market ◽  
Expected Utility ◽  
Maximization Problem ◽  
No Arbitrage ◽  
The One

The present paper considers a class of financial market with transaction costs and constructs a geometric no-arbitrage analysis frame. Then, this paper arrives at the fact that this financial market is of no-arbitrage if and only if the curvature 2-form of a specific connection is zero. Furthermore, this paper derives the fact that the no-arbitrage condition for the one-period financial market is equivalent to the geometric no-arbitrage condition. Finally, an example states the equivalence between the geometric no-arbitrage condition and the existence of the solutions for a maximization problem of expected utility.

scholarly journals The equivalent martingale measure conditions in a general model for interest rates

2005 ◽  
Vol 37 (2) ◽  
pp. 415-434 ◽  
Author(s):  
Kais Hamza ◽  
Saul Jacka ◽  
Fima Klebaner
Keyword(s):  
Interest Rates ◽  
General Model ◽  
Field Model ◽  
Sufficient Conditions ◽  
Martingale Measure ◽  
Equivalent Martingale Measure ◽  
Forward Rates ◽  
No Arbitrage ◽  
Equivalent Martingale ◽  
Integrated Processes

Assuming that the forward rates ftu are semimartingales, we give conditions on their components under which the discounted bond prices are martingales. To achieve this, we give sufficient conditions for the integrated processes ftu=∫0uftvdv to be semimartingales, and identify their various components. We recover the no-arbitrage conditions in models well known in the literature and, finally, we formulate a new random field model for interest rates and give its equivalent martingale measure (no-arbitrage) condition.

Book Reviews

2010 ◽  
Vol 48 (1) ◽  
pp. 156-157
Keyword(s):  
Expected Utility ◽  
Decision Under Uncertainty ◽  
Choquet Expected Utility ◽  
Von Neumann ◽  
Boston University ◽  
Principle Of Indifference ◽  
Definition Of

Barton L. Lipman of Boston University reviews “Theory of Decision under Uncertainty” by Itzhak Gilboa,. The EconLit Abstract of the reviewed work begins “Textbook for a graduate-level class in decision under uncertainty examines the classical axiomatic theories of decision under uncertainty and considers critiques and alternative theories. Discusses motivating examples; free will and determinism; the principle of indifference; relative frequencies; subjective probabilities; a case study; the role of theories; von Neumann-Morgenstern’s theorem; De Finetti’s theorem; Savage’s theorem; the definition of states; a critique of Savage; objectivity and rationality; Anscombe-Aumann’s theory; Choquet expected utility; prospect theory; maxmin expected utility; case-based qualitative beliefs; and frequentism revisited. Gilboa is Professor in the Berglas School of Economics at Tel-Aviv University and Professor in the Department of Economics and Decision Science at HEC Paris. Index.”

scholarly journals The equivalent martingale measure conditions in a general model for interest rates

2005 ◽  
Vol 37 (02) ◽  
pp. 415-434 ◽  
Author(s):  
Kais Hamza ◽  
Saul Jacka ◽  
Fima Klebaner
Keyword(s):  
Interest Rates ◽  
General Model ◽  
Field Model ◽  
Sufficient Conditions ◽  
Martingale Measure ◽  
Equivalent Martingale Measure ◽  
Forward Rates ◽  
No Arbitrage ◽  
Equivalent Martingale ◽  
Integrated Processes

Assuming that the forward rates f t u are semimartingales, we give conditions on their components under which the discounted bond prices are martingales. To achieve this, we give sufficient conditions for the integrated processes f t u =∫0 uf t v dv to be semimartingales, and identify their various components. We recover the no-arbitrage conditions in models well known in the literature and, finally, we formulate a new random field model for interest rates and give its equivalent martingale measure (no-arbitrage) condition.

A General Model of Job Performance: A Ten-Factor Solution

2006 ◽  
Author(s):  
Otmar E. Varela ◽  
Elvira Salgado ◽  
Virginia Lazio
Keyword(s):  
Job Performance ◽  
General Model ◽  
Factor Solution
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