Skip to main content
main-content

Zeitschrift

Mathematics and Financial Economics

Mathematics and Financial Economics OnlineFirst articles

11.10.2018

How local in time is the no-arbitrage property under capital gains taxes?

In frictionless financial markets, no-arbitrage is a local property in time. This means that a discrete time model is arbitrage-free if and only if there does not exist a one-period-arbitrage. With capital gains taxes, this equivalence fails. For …

05.10.2018

Characterizations of risk aversion in cumulative prospect theory

In this paper, we investigate the necessary and sufficient conditions for a decision maker to be monotone risk averse and left-monotone risk averse, respectively, in cumulative prospect theory (CPT). Our results show that the decision maker is …

18.09.2018

Increasing risk aversion and life-cycle investing

We derive the optimal portfolio for an investor with increasing relative risk aversion in a complete continuous-time securities market. The IRRA assumption helps to mitigate the criticism of constant relative risk aversion that it implies an …

01.09.2018

Optimal investment with random endowments and transaction costs: duality theory and shadow prices

This paper studies the utility maximization on the terminal wealth with random endowments and proportional transaction costs. To deal with unbounded random payoffs from some illiquid claims, we propose to work with the acceptable portfolios …

24.08.2018

Turnpike property and convergence rate for an investment and consumption model

We discuss the turnpike property for optimal investment and consumption problems. We find there exists a threshold value that determines the turnpike property for investment policy. The threshold value only depends on the Sharpe ratio, the …

Aktuelle Ausgaben

Über diese Zeitschrift

In the last twenty years mathematical finance has developed independently from economic theory, and largely as a branch of probability theory and stochastic analysis. This has led to important developments e.g. in asset pricing theory, and interest-rate modeling.

This direction of research however can be viewed as somewhat removed from real-world considerations and increasingly many academics in the field agree over the necessity of returning to foundational economic issues.

Mainstream finance on the other hand has often considered interesting economic problems, but finance journals typically pay less attention to the high-level quantitative approach. When quantitative methods useful to economists are developed by mathematicians and published in mathematical journals, they often remain unknown and confined to a very specific readership. More generally, there is a need for bridges between these disciplines.

The aim of this new journal is to reconcile these two approaches and to provide the bridging links between mathematics, economics and finance. Typical areas of interest include foundational issues in asset pricing, financial markets equilibrium, insurance models, portfolio management, quantitative risk management, intertemporal economics, uncertainty and information in finance models.

History:
The first Editor-in-Chief was Elyès Jouini (2007), succeeded by Ivar Ekeland (2011) and from 2014, by Ulrich Horst and Frank Riedel jointly.

Weitere Informationen

Premium Partner

BranchenIndex Online

Die B2B-Firmensuche für Industrie und Wirtschaft: Kostenfrei in Firmenprofilen nach Lieferanten, Herstellern, Dienstleistern und Händlern recherchieren.

Whitepaper

- ANZEIGE -

Blockchain-Effekte im Banking und im Wealth Management

Es steht fest, dass Blockchain-Technologie die Welt verändern wird. Weit weniger klar ist, wie genau dies passiert. Ein englischsprachiges Whitepaper des Fintech-Unternehmens Avaloq untersucht, welche Einsatzszenarien es im Banking und in der Vermögensverwaltung geben könnte – „Blockchain: Plausibility within Banking and Wealth Management“. Einige dieser plausiblen Einsatzszenarien haben sogar das Potenzial für eine massive Disruption. Ein bereits existierendes Beispiel liefert der Initial Coin Offering-Markt: ICO statt IPO.
Jetzt gratis downloaden!

Bildnachweise