Registered Data

[CT173]

[02674] General Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents

  • Session Date & Time : 3C (Aug.23, 13:20-15:00)
  • Type : Contributed Talk
  • Abstract : We solve a general equilibrium model in which aggregate consumption has uninsurable growth shocks, rendering the market dynamically incomplete. Agents' stochastic discount factors depend on the history of unhedgeable shocks, agents trade assets dynamically, and the dispersion of agents' preferences impacts both the interest rate and asset prices, hence no representative agent exists.
  • Classification : 91B50
  • Author(s) :
    • Marko Hans Weber (National University of Singapore)
    • Paolo Guasoni (Dublin City University)

[00045] Nonzero-sum stochastic impulse games with an application in energy markets

  • Session Date & Time : 3C (Aug.23, 13:20-15:00)
  • Type : Industrial Contributed Talk
  • Abstract : We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total expected discounted profits. The resolution methodology relies on the connection between Nash equilibrium and the corresponding system of quasi-variational inequalities (QVIs in short). We prove, by means of the weak dynamic programming principle for the stochastic differential game, that the value function of each player is a constrained viscosity solution to the associated QVIs system in the class of linear growth functions. We also introduce a family of value functions converging to our value function of each player, and which is characterized as the unique constrained viscosity solutions of an approximation of our QVIs system. This convergence result is useful for numerical purpose. We apply a probabilistic numerical scheme which approximates the solution of the QVIs system to the case of the competition between two electricity retailers. We show how our model reproduces the qualitative behaviour of electricity retail competition.
  • Classification : 91B70, 93E20, 49L25, 49N70
  • Author(s) :
    • Mohamed Mnif (ENIT, Tunisia)
    • René Aid (University of Paris Dauphine)
    • Lamia Ben Ajmia (ENIT, Tunisia)
    • Mhamed Gaigi (ENIT, Tunisia)

[02556] Asymmetric GARCH Model with Markov Switching for Risk Measure Forecasting

  • Session Date & Time : 3C (Aug.23, 13:20-15:00)
  • Type : Contributed Talk
  • Abstract : Volatility forecast is vital in finance and insurance. In this paper, we introduce a Modified Markov Switching (MMS)-GARCH as a modification of the GARCH model to accommodate the asymmetric volatility property and the transtion of volatility level or state. We derive the theoretical and empirical properties of such a model. Then, we provide a volatility forecast and calculate future observations through risk measures of Value-at-Risk (VaR) and Expected Shortfall (ES).
  • Classification : 91B70, 62P05, 91B05, 91G70, 60J10
  • Author(s) :
    • Nurhayati Nurhayati (Institut Teknologi Bandung)
    • Darin Sabrina (Institut Teknologi Bandung)
    • Arief Hakim (Institut Teknologi Bandung)
    • Khreshna Syuhada (Institut Teknologi Bandung)

[02683] When to Sell an Asset? – A Distribution Builder Approach

  • Session Date & Time : 3C (Aug.23, 13:20-15:00)
  • Type : Contributed Talk
  • Abstract : We revisit the question of the optimal time of an asset sale from the point of view of Sharpe’s “Distribution Builder” approach: Instead of assuming the investor’s risk preferences in form of a utility function, the investor provides themself a distribution that should be attained when selling the asset at a stopping time (specified a priori). This obviously begs the question of which distributions are attainable for an investor. We connect this problem to the Skorokhod embedding problem for one-dimensional diffusions and provide explicit representation for optimal stopping times as well as their expected values. In the case that the target distribution is specified from a parametrized family (e.g., log-normal distributions), we show that optimality involves a mean-variance trade-off similar to the efficient frontier in Markowitz’s approach to portfolio optimization. This is joint work with Peter Carr.
  • Classification : 91B70, 60G40
  • Author(s) :
    • Stephan Sturm (Worcester Polytechnic Institute)

[01207] Optimal analysis of ecological-economic model with fishing tax and tourist entry-fee

  • Session Date & Time : 3C (Aug.23, 13:20-15:00)
  • Type : Industrial Contributed Talk
  • Abstract : A market-based fishing strategy in a multi-species fishery with a fair taxation policy may provide long-term sustainable growth. Fishery-based ecotourism with an entry fee for the tourist may further contribute to the financial improvement of the local people. Here we have proposed and analyzed a harvesting model that integrates fishery and fishery-based ecotourism with the open market economy theory. We determine the optimal fishing tax and entry fee that maximizes the social benefit.
  • Classification : 91B76, 92B05, 91B55, 92D25, 92D40
  • Author(s) :
    • Nandadulal Bairagi (Jadavpur University)
    • Santaanu Bhattacharya (Jadavpur University)