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782
The Determinants of Credit Spread Changes.
 Journal of Finance
, 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
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Cited by 422 (2 self)
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the probability of default. Changes in the Probability or Magnitude of a Downward Jump in Firm Value Implied volatility smiles in observed option prices suggest that markets account for the probability of large negative jumps in firm value. Thus, increases in either the probability or the magnitude of a negative
The Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets
 Annals of Applied Probability
, 1997
"... . The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theor ..."
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Cited by 264 (19 self)
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. The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions
Nonlinear Neural Networks: Principles, Mechanisms, and Architectures
, 1988
"... An historical discussion is provided of the intellectual trends that caused nineteenth century interdisciplinary studies of physics and psychobiology by leading scientists such as Helmholtz, Maxwell, and Mach to splinter into separate twentiethcentury scientific movements. The nonlinear, nonstatio ..."
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Cited by 262 (21 self)
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Schuster models. A Liapunov functional method is described for proving global limit or oscillation theorems for nonlinear competitive systems when their decision schemes are globally consistent or inconsistent, respectively. The former case is illustrated by a model of a globally stable economic market
A new paradigm for valuing nonmarket goods using referendum data
 J. Environ. Econ. Manag
, 1988
"... (1986)] utilizations of logit models to estimate the value of nonmarket resources from “referendum ” survey data. These data are more informative than conventional choice data. The “random utility ” interpretation of logit models is therefore too restrictive. Bypassing the utility function entirely ..."
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Cited by 151 (2 self)
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(1986)] utilizations of logit models to estimate the value of nonmarket resources from “referendum ” survey data. These data are more informative than conventional choice data. The “random utility ” interpretation of logit models is therefore too restrictive. Bypassing the utility function
Optimal execution of portfolio transactions
 Journal of Risk
"... We consider the execution of portfolio transactions with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact. For a simple linear cost model, we explicitly construct the efficient frontier in the space of timedependent liqu ..."
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Cited by 217 (8 self)
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We consider the execution of portfolio transactions with the aim of minimizing a combination of volatility risk and transaction costs arising from permanent and temporary market impact. For a simple linear cost model, we explicitly construct the efficient frontier in the space of time
Behavioral theories and the neurophysiology of reward,
 Annu. Rev. Psychol.
, 2006
"... ■ Abstract The functions of rewards are based primarily on their effects on behavior and are less directly governed by the physics and chemistry of input events as in sensory systems. Therefore, the investigation of neural mechanisms underlying reward functions requires behavioral theories that can ..."
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Cited by 187 (0 self)
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and then choose the option with the highest expected value. Nearly one hundred years later, Bernoulli (1738) discovered that the utility of outcomes for decision making does not increase linearly but frequently follows a concave function, which marks the beginning of microeconomic decision theory. The theory
Recovery algorithms for vector valued data with joint sparsity constraints
, 2006
"... Vector valued data appearing in concrete applications often possess sparse expansions with respect to a preassigned frame for each vector component individually. Additionally, different components may also exhibit common sparsity patterns. Recently, there were introduced sparsity measures that take ..."
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Cited by 111 (22 self)
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algorithm. The resulting twostep algorithm is interpreted as a doubleminimization scheme for a suitable target functional. We show its ℓ2norm convergence. An implementable version of the algorithm is also formulated, and its norm convergence is proven. Numerical experiments in color image restoration
Inflation Stabilization and Welfare: The Case of a Distorted Steady State
, 2004
"... This paper considers the appropriate stabilization objectives for monetary policy in a microfounded model with staggered pricesetting. Rotemberg and Woodford (1997) and Woodford (2002) have shown that under certain conditions, a local approximation to the expected utility of the representative hous ..."
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Cited by 125 (21 self)
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household in a model of this kind is related inversely to the expected discounted value of a conventional quadratic loss function, in which each period’s loss is a weighted average of squared deviations of inflation and an output gap measure from their optimal values (zero). However, those derivations rely
An Electricity Market Model to Estimate the Marginal Value of Wind in an Adapting System
"... AbstractIn this paper a stochastic fundamental electricity market model is presented. The model's principle is cost minimization by determining the marginal system costs mainly as a function of available generation and transmission capacities, primary energy prices, plant characteristics and ..."
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Cited by 1 (0 self)
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AbstractIn this paper a stochastic fundamental electricity market model is presented. The model's principle is cost minimization by determining the marginal system costs mainly as a function of available generation and transmission capacities, primary energy prices, plant characteristics
Indicators for Social and Economic Coping Capacity  Moving Toward a Working Definition of Adaptive Capacity”, WesleyanCMU Working Paper.
, 2001
"... Abstract This paper offers a practically motivated method for evaluating systems' abilities to handle external stress. The method is designed to assess the potential contributions of various adaptation options to improving systems' coping capacities by focusing attention directly on the u ..."
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Cited by 109 (14 self)
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of stresses) is a function of exposure, sensitivity, and adaptive capacity. 2. Human and natural systems tend to adapt autonomously to gradual change and to change in variability. 3. Human systems can also plan and implement adaptation strategies in an effort to reduce potential vulnerability or exploit
Results 1  10
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782