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of 386
pro vyhledávání: '"Mariani, Francesca"'
An empirical analysis, suggested by optimal Merton dynamics, reveals some unexpected features of asset volumes. These features are connected to traders' belief and risk aversion. This paper proposes a trading strategy model in the optimal Merton fram
Externí odkaz:
http://arxiv.org/abs/2406.05854
We determine explicit expressions for the continuous two-sided gravitational wavefunctions in supersymmetric versions of JT gravity, focusing mainly on $\mathcal{N}=2$ JT supergravity. Our approach is based on representation theory of the associated
Externí odkaz:
http://arxiv.org/abs/2405.09289
Publikováno v:
JHEP 02 (2024) 058
In this work, we revisit the end-of-the-world (EOW) brane amplitudes in JT gravity from a BF gauge theoretic perspective. Observing and identifying the correct group theoretic ingredient for a closed EOW brane as a discrete series character, we use t
Externí odkaz:
http://arxiv.org/abs/2310.04245
We analyze the thermodynamic response near extremality of charged black holes in four-dimensional Einstein-Maxwell theory with a positive cosmological constant. The latter exhibit three different extremal limits, dubbed cold, Nariai and ultracold con
Externí odkaz:
http://arxiv.org/abs/2212.14356
In this paper we propose a new aggregation method for constructing composite indicators that is based on a penalization of the power means. The idea underlying this approach consists in multiplying the power mean by a factor that takes into account f
Externí odkaz:
http://arxiv.org/abs/2206.11216
Publikováno v:
In European Journal of Operational Research 16 September 2024 317(3):1015-1035
Autor:
Fatone, Lorella, Mariani, Francesca
We consider an investor that trades continuously and wants to liquidate an initial asset position within a prescribed time interval. During the execution of the liquidation order the investor is subject to execution risk. We study the problem of find
Externí odkaz:
http://arxiv.org/abs/2011.02979
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Autor:
Fatone, Lorella, Mariani, Francesca
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the difference betwee
Externí odkaz:
http://arxiv.org/abs/1905.12431
Autor:
Fatone, Lorella, Mariani, Francesca
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary reserves of t
Externí odkaz:
http://arxiv.org/abs/1812.06973