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Mathematical Analysis of Markov Models for Social Processes
Title
Mathematical Analysis of Markov Models for Social Processes
Author
Whitmeyer, Joseph
Date Created
2010
Description
We present Markov models for two social processes: the spread of rumors and the change in the spatial distribution of a population over time. For the spread of rumors, we present two models. The first is for the situation in which all particles ar...
Mathematical Analysis of Markov Models for Social Processes
Title
Mathematical Analysis of Markov Models for Social Processes
Author
Whitmeyer, Joseph
Date Created
2010
Subjects--Topical
Mathematics
Description
We present Markov models for two social processes: the spread of rumors and the change in the spatial distribution of a population over time. For the spread of rumors, we present two models. The first is for the situation in which all particles ar...
On lambda-quantile dependent convex risk measures
Title
On lambda-quantile dependent convex risk measures
Author
Xia, Lihong
Date Created
2011
Description
We define a class of convex measures of risk whose values depend on the random variables only up to the lambda-quantiles for some given constant lambda in (0,1). For this class of convex risk measures, the assumption of Fatou property can be stren...
On lambda-quantile dependent convex risk measures
Title
On lambda-quantile dependent convex risk measures
Author
Xia, Lihong
Date Created
2011
Subjects--Topical
Mathematics, Finance
Description
We define a class of convex measures of risk whose values depend on the random variables only up to the lambda-quantiles for some given constant lambda in (0,1). For this class of convex risk measures, the assumption of Fatou property can be stren...
Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Title
Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Author
Li, Jing
Date Created
2009
Description
This thesis looks at the problem of finding the optimal investment strategy of a self-financing portfolio in a dynamic complete market setting so that the risk measured by Conditional Value-at-Risk (CVaR) is minimized under the condition that the ...
Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Title
Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Author
Li, Jing
Date Created
2009
Description
This thesis looks at the problem of finding the optimal investment strategy of a self-financing portfolio in a dynamic complete market setting so that the risk measured by Conditional Value-at-Risk (CVaR) is minimized under the condition that the ...
Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Title
Risk Minimizing Portfolio Optimization and Hedging with Conditional Value-at-Risk
Author
Li, Jing
Date Created
2009
Subjects--Topical
Mathematics
Description
This thesis looks at the problem of finding the optimal investment strategy of a self-financing portfolio in a dynamic complete market setting so that the risk measured by Conditional Value-at-Risk (CVaR) is minimized under the condition that the ...