Dynamic instability in a phenomenological model of correlated assets
نویسندگان
چکیده
منابع مشابه
Hedging of Options in Jump-Diffusion Markets with Correlated Assets
We consider the hedging problem in a jump-diffusion market with correlated assets. For this purpose, we employ the locally risk-minimizing approach and obtain the hedging portfolio as a solution of a multidimensional system of linear equations. This system shows that in a continuous market, independence and correlation assumptions of assets lead to the same locally risk-minimizing portfolio. ...
متن کاملPhenomenological dynamic model of a magnetostrictive actuator
The paper proposes a two-stage model able to describe the dynamic behavior of a commercial magnetostrictive actuator in the frequency range of interest for fast actuation purposes. The first stage is a static model of hysteresis, while the second one is a linear dynamic model. The model structure allows to define well-assessed identification procedures for both stages. In particular, the identi...
متن کاملOutperformance Testing of a Dynamic Assets Portfolio Selection Supplemented with a Continuous Paths Levy Process
This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...
متن کاملDynamic Pull-in Instability of Nano-Actuators in the Presence of a Dielectric Layer
The natural frequency and pull-in instability of clamped-clamped nano-actuators in the presence of a dielectric layer are analyzed. The influence of the presence of Casimir force, electrostatic force, fringing field effect, axial force, stretching effects and the size effect are taken into account. The governing equation of the dynamic response of the actuator is transformed in a non-dimensiona...
متن کاملinvestigating the feasibility of a proposed model for geometric design of deployable arch structures
deployable scissor type structures are composed of the so-called scissor-like elements (sles), which are connected to each other at an intermediate point through a pivotal connection and allow them to be folded into a compact bundle for storage or transport. several sles are connected to each other in order to form units with regular polygonal plan views. the sides and radii of the polygons are...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Statistical Mechanics: Theory and Experiment
سال: 2006
ISSN: 1742-5468
DOI: 10.1088/1742-5468/2006/08/l08001