Bøger i Lecture Notes in Economics and Mathematical Systems serien

In our daily life, almost every family owns a portfolio of assets. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented.

During my time at the Institute for Operations Research of the University of St. Gallen (lfU-HSG) I had the opportunity to participate in the project "RiskLab" which provides a very profitable link between finance practice and academics.

Applying a Market Engineering approach, this book introduces a model of an auction with a posted price offer, and investigates the characteristics of such mechanisms. It discusses the respective equilibrium strategies of sellers and the bidders, providing useful insight into actual behavior.

The author derives an efficient and accurate pricing tool for interest-rate derivatives within a Fourier-transform based pricing approach, which is generally applicable to exponential-affine jump-diffusion models.

This book presents a macroeconomic dynamic model a la Solow-Swan, including the market for labor, in a discrete time structure.

While this ideal form of diversification can not be implemented due to the imperfection of capital markets, one can design a typical Pay-As-You-Go system in such a way that it allows for the same intertemporal consumption allocations as the first-best solution.

In recent years, agent-based simulation has become a widely accepted tool when dealing with complexity in economics and other social sciences. The contributions presented in this book apply agent-based methods to derive results from complex models related to market mechanisms, evolution, decision making, and information economics.

The USV models postulate a correlation between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a deterministic correlation structure between bond prices of different terms.

Specifically, we will be consid ering n-person games in which there is a set of feasible alternatives, any one of which can be the outcome of bargaining if it is agreed to by all the bargainers.

There is convergent consensus among scientists that many social, economic and ?nancial phenomena can be described by a network of agents and their inter- tions.

Ongoing global changes pose fundamentally new scientific problems requiring new concepts and tools. A key issue concerns a vast variety of practically irreducible uncertainties, which challenge traditional models and require new concepts and analytical tools.

The authors have written a rigorous yet elementary and self-contained book to present, in a unified framework, generalized convex functions. The book also includes numerous exercises and two appendices which list the findings consulted.

Most of the existing portfolio selection models are based on the probability theory. By using fuzzy mathematical approaches, quan- tative analysis, qualitative analysis, the experts' knowledge and the investors' subjective opinions can be better integrated into a portfolio selection model.

Valuing portfolios of options embedded in investment decisions is arguably one of the most important and challenging problems in real options and corporate ?nance in general.

This book proposes capacity options as a flexible alternative air cargo contract type, and illustrates how capacity can be priced through option contracts. Finally, the author shows how capacity-option contracts integrate into the context of air cargo revenue management.

This work uses various model frameworks to study the evolution of equilibria in an open loop evolving economy in which the model characteristics evolve without any directional restrictions except for continuity. Applying mathematical methods, it is shown that equilibria can always be adapted in a piecewise gradual, non bang-bang way.

As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters.

Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Unfortunately, the flexibility of these models causes severe problems: In an unrestricted VAR model, each variable is expressed as a linear function of lagged values of itself and all other variables in the system.

Provides an overview of research done in optimization and related areas, such as optimal control, calculus of variations, and game theory. This work addresses abstract issues of optimization theory and is also concerned with the modeling and computer resolution of specific optimization problems arising in industry and applied sciences.

This book will be of interest to all those interested in the foundations of collective social and economic behaviour and in particular, to those concerned with the dynamics of market behaviour and recent applications of physics to economics.

This book investigates bargaining between two agents. Which particular concept is implemented in a given society is also a matter of bargaining, and it is of special philosophical interest to investigate which bargain will be struck in an ideal society in which individual talents and resources are not yet known.

The first attempts to develop a utility theory for choice situations under risk were undertaken by Cramer (1728) and Bernoulli (1738). 199-201) proposed that the expected monetary value has to be replaced by the expected utility ("moral expectation") as the relevant criterion for decision making under risk.

This book is on applications of game theory. The second chapter deals with discrete search games where both players act simultaneously: the games of protection of a channel from infiltration of a submarine, the submarine versus helicopter game, the matrix search games and others.

The material presented in this book is a result of my work in the field of call center management during the period 1999-2002. Since call arrivals and call-handling times are often random in inbound call centers, this thesis concentrates on the performance analysis and optimization using queueing models.

A recent line of research in environmental and resource economics deals with the analysis of the so-called product-related environmental policy, i.e. It investigates the relationship between (built-in) product durability, production emissions, solid consumption waste and recycling.

Due to the scarcity of reliable data, the existing literature on default risk still displays an imbalance between theoretical and empirical contributions.

Das schonste GlUck des denkenden M ens chen ist, das Erforschliche erforscht zu haben und das Unerforschliche ruhig zu verehren JOHANN WOLFGANG VON Gm~THE In the sense of Goethe, I hope this book helps to shift the fine line between the inaccessible and the explorable a little bit in the direction of the latter. It has been accepted as a doctoral dissertation at the Faculty of Business Admin­ istration and Economics of the Catholic University of Eichstatt-Ingolstadt, Germany, and has been a great pleasure to write~at least most of the time. At the other times, the following people helped me to get around the moun­ tains that seemed too high to climb: First of all, these were my parents, whom I thank for their continuing support. This 'thank you' is extended to my brothers Marcel and Dominik and of course to Angelika, who has strengthened me with love through the sometimes arduous campaign. Further, I thank my academic advisor Prof. Dr. Heinrich Kuhn and my colleagues Dr. Georg N. Krieg and Florian Defregger for many fruitful discussions and helpful thoughts. I also thank Prof. Dr. Klaus D. Wilde for refereeing the thesis.

The time series literature proposes an intuitively straightforward solution for solving this problem: * Stretch the observed time series by forecasts generated by a model.

Focuses on the analysis, optimization and controllability of time-discrete dynamical systems and games under the aspect of stability, controllability and (for games) cooperative and non-cooperative treatment.

This work presenting empirical evidence on the differences between the contemporary labour-market performance in United States and continental Europe on the one hand, and between the low- and high-skilled on the other.