In this paper we introduce a model of arbitration decision making which generalizes several previous models of both conventional arbitration and final offer arbitration. We derive the equilibrium offers that risk neutral disputants would propose, and show how these offers would vary under different arbitration procedures. In particular, we show that optimal offers made under conventional arbitr...

We prove that, for locally bounded processes, absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to and motivated by results from the theory of filtration enlargements.

Aim of this paper is to characterize different risk measures in portfolio construction on seven Central and South-East European stock markets; Slovenia, Croatia, Hungary, Poland, Chez Republic, Romania and Turkey. Selected countries are members of EU, except Croatia and Turkey which have candidate status. Empirical part of this paper consists of three stages; at first descriptive statistics on ...

The estimation of the market price of risk is an open question in the jump-diffusion term structure literature when a closed-form solution is not known. Furthermore, the estimation of the physical drift has a high risk of misspecification. In this paper, we obtain some results that relate the risk-neutral drift and the risk-neutral jump intensity of interest rates with the prices and yields of ...

Martingale boosting is a simple and easily understood technique with a simple and easily understood analysis. A slight variant of the approach provably achieves optimal accuracy in the presence of misclassification noise.

We prove comonotonicity of Pareto-optimal risk allocations using risk measures consistent with the stochastic convex order. This extends result of Landsberger and Meilijson (1994) to risks X ∈ L and general probability spaces.

This paper analyses the dynamic response of a robot when subject to an external force that is applied to its Center of Mass (CoM). The Ratio of Transmission of Motion (RoToM) is proposed as a novel indicator of what part of the applied force generates motion, and what part is dissipated by the passive forces due to mechanical constraints. It depends on the configuration of the robot and on the ...

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In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.