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pro vyhledávání: '"Michael J. Stutzer"'
Autor:
Michael J. Stutzer
Publikováno v:
Entropy, Vol 2, Iss 2, Pp 70-77 (2000)
Abstract: A straightforward derivation of the celebrated Black-Scholes Option Pricing model is obtained by solution of a simple constrained minimization of relative entropy. The derivation leads to a natural generalization of it, which is consistent
Externí odkaz:
https://doaj.org/article/14a3bb2ba1dd4e77a13f5166824e0ed2
Autor:
Michael J. Stutzer
Publikováno v:
Economics Letters. 170:31-34
We generalize the bankruptcy problem of resolving a debt owed to multiple creditors to financial networks, where there are multiple debtors and creditors. We show that some key Nash Bargaining results for the single debtor case do not generalize to f
Autor:
Michael J. Stutzer
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 553:124237
The behavior of time averages, or functions of them, is important in quantitative research. Over an investment horizon, both the time-averaged number of loan defaults and the time-averaged log gross returns from securities investment, a.k.a. the cont
Autor:
Michael J. Stutzer
Publikováno v:
Entropy; Volume 20; Issue 5; Pages: 369
Entropy
Entropy, Vol 20, Iss 5, p 369 (2018)
Entropy
Entropy, Vol 20, Iss 5, p 369 (2018)
Agents in financial networks can simultaneously be both creditors and debtors, creating the possibility that a default may cause a subsequent default cascade. Resolution of unpayable debts in these situations will have a distributional impact. Using
Autor:
Michael J. Stutzer
Publikováno v:
Quantitative Finance and Economics, Vol 2, Iss 3, Pp 702-716 (2018)
Empirical multifactor models of excess returns are theoretically grounded in Merton’s ICAPM. Merton modeled investors who maximize expected utility of their own consumption. Multiple priced factors arise as “hedge portfolios” most closely corre
Autor:
Michael J. Stutzer
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 392:3177-3182
The criterion of minimizing the cumulative hedged returns’ probability of underperforming a benchmark provides a framework for evaluating short-term hedges that are rolled over to produce longer-term hedges. Large deviations theory can be used to e
Autor:
Michael J. Stutzer
Publikováno v:
The Journal of Investing. 19:32-35
The current market malaise may keep some investors on the sidelines. The benefits of diversification may not seem as appealing in situations where the constituent investments are likely to lose money. Yet, using relatively simple math, the author sho
Autor:
Michael J. Stutzer
Publikováno v:
SSRN Electronic Journal.
Typical empirical methods training for finance Ph.D students emphasizes theory and application of statistical tools, augmented by study of empirical applications published in the academic journals. But newly minted faculty/authors will also have to c
Autor:
Michael J. Stutzer
Publikováno v:
Financial Analysts Journal. 60:38-51
Some asset allocation advice for long-term investors is based on maximization of expected utility. Most commonly used investor utilities require measurement of a risk-aversion parameter appropriate to the particular investor. But accurate assessment
Autor:
Yuichi Kitamura, Michael J. Stutzer
Publikováno v:
Journal of Econometrics. 107:159-174
The concept of entropy has a long and distinguished history in the physical sciences and engineering, in -elds ranging from thermodynamics to image processing. Each of these applications employs a probability distribution that solves a relative entro