Wealth Equation Research Articles

Application of a limit Function Of Negative Hyper-geometric Distribution in Option Pricing.

This work introduces limit function of a negative hyper geometric distribution of the form .where and, which is applied in option pricing using wealth equation and some martingale tools. This paper present a simple discrete time model in compares. This work conclude that limit of negative hyper geometric as can be associated with financial terms that can be used to evaluate option values (non dividend) which gives the same numerical with CRR model.

A GMM estimator asymptotically more efficient than OLS and WLS in the presence of heteroskedasticity of unknown form

ABSTRACT We propose a generalized method of moments (GMM) estimator, where our specific moment conditions, where our specific moment conditions ensure that the GMM estimator is asymptotically at least as efficient as ordinary least squares (OLS) and whatever competing weighted least squares (WLS) we wish to consider. With a popular exponential model of heteroskedasticity, our new GMM estimator performs significantly better than OLS or WLS. In an empirical application to a financial wealth equation, we show that the efficiency gains can be nontrivial with real data.

Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE

This paper is dedicated to the study of continuous-time mean–variance optimal portfolio selection problem with non-linear wealth equations under non-extensive statistical mechanics for the time-varying stochastic differential equation model. Firstly, we allow the returns and variance of risky assets are time-varying functions, which can fit the financial data better. Secondly, we consider an investor with the non-linear wealth equation. In fact, the wealth equations are not linear in many cases. The investor has to pay some taxes, which leads to a non-linear wealth equation. Moreover, since the return of the stocks price may be affected by a large investors portfolio selection, the wealth equation is non-linear in this case. Thirdly, the non-linear wealth equation driven by Tsallis distribution is constructed under non-extensive statistical mechanics, which can capture the characteristics of fat tails and aiguilles of the risky asset’s return. The viscosity solution of the HJB equation for the portfolio problem is proposed by the optimal stochastic control theory and Lagrange multiplier method. Finally, the efficient portfolio strategy and efficient frontier under non-extensive statistical mechanics are obtained. Furthermore, numerical analysis and real data study are discussed to show our results.

The surveillant consumer

We argue that modern technical and social infrastructures of surveillance have brought a novel subject position to prominence: the surveillant consumer. Surveillance has become a normalized mode of interpersonal relation that urges the person as consumer to manage others around her using surveillant products and services. We explore two configurations of this model: the consumer as observer, effectuated through products for use in the supervision of intimate relations as a component of a normalized duty of care; and the consumer as manager, effectuated through capacities for the customer to manage the labor of workers providing services to her. These models frequently intersect and hybridize as market logics overlap with intimate spheres: the surveillant consumer thus acts as an emotional manager of the experience of everyday surveillance. In turn, this managerial role reifies the equation of financial wealth with moral weight in a hierarchy of oversight, giving the wealthiest the most control and least accountability.

Sensitivity analysis for expected utility maximization in incomplete Brownian market models

We examine the issue of sensitivity with respect to model parameters for the problem of utility maximization from final wealth in an incomplete Samuelson model and mainly, but not exclusively, for utility functions of positive-power type. The method consists in moving the parameters through change of measure, which we call a weak perturbation, decoupling the usual wealth equation from the varying parameters. By rewriting the maximization problem in terms of a convex-analytical support function of a weakly-compact set, crucially leveraging on the work (Backhoff and Fontbona in SIAM J Financ Math 7(1):70–103, 2016), the previous formulation let us prove the Hadamard directional differentiability of the value function with respect to the market price of risk, the drift and interest rate parameters, as well as for volatility matrices under a stability condition on their Kernel, and derive explicit expressions for the directional derivatives. We contrast our proposed weak perturbations against what we call strong perturbations, where the wealth equation is directly influenced by the changing parameters. Contrary to conventional wisdom, we find that both points of view generally yield different sensitivities unless e.g. if initial parameters and their perturbations are deterministic.

Recursive utility optimization with concave coefficients

This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth coefficients satisfy our assumption. After given an equivalent backward formulation of our problem, we employ the Fenchel-Legendre transform and derive the corresponding variational formulation. By the convex duality method, the primal sup-inf problem is translated to a dual minimization problem and the saddle point of our problem is derived. Finally, we obtain the optimal terminal wealth. To illustrate our results, three cases for investors with ambiguity aversion are explicitly worked out under some special assumptions.

POTENSI SERANGGA DI SEKITAR TANAMAN PADI (Oryza sativa L.) PADA AREAL PERSAWAHAN LALETEN KABUPATEN MALAKA

Rice field ecosystem is artificial ecosystem. Insects as one of the rice field eccosystem components play a pivotal role in the food chain which is as herbivore, predator and detrivore. This research aims to identify insects in the rice field at Laleten Vilagge. Also potential insects, and factors affecting the insects’ activities were investigated. The research was conducted in Malaka Regency, East Nusa Tenggara during March, 2017. The research method was Trap Method using net and lamp. Biological wealth equation was used to assess the potential insects. The results shows that insects in the rice field of Laleten were grouped in three based on their role as predator, herbivore and detrivore.  Insects found in the net trap were 8 species, 7 families, and 6 ordos. Insects found in the lamp trap was 1 species, 1 family and 1 ordo. From all the insects, it was identified insect diversity values as followed; 54.26 for predators, 35.12 for herbivore and 30.79 for detrivore. The average of biodiversity value (R) was 120, 17.  Key word : Potential insect, rice field, Lateten Village

Explicit solutions for continuous time mean–variance portfolio selection with nonlinear wealth equations

This paper concerns the continuous time mean–variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficient and the dual method developed in Ji (2010) does not work. We invoke the HJB equation of this problem and give an explicit viscosity solution of the HJB equation. Furthermore, via this explicit viscosity solution, we obtain explicitly the efficient portfolio strategy and efficient frontier for this problem. Finally, we show that our nonlinear wealth equation can cover three important cases.

Private wealth and job exit at older age: a random effects model

Private wealth holdings are likely to become an increasingly important determinant in the job exit decision of elderly workers. Net wealth may correlate with worker’s characteristics that also determine the exit out of a job. It is therefore important to include a rich set of observed characteristics in an empirical model for retirement in order to measure the (marginal) effect of wealth on the job exit rate. But even with a rich set of regressors, the question remains whether there are time-invariant unobservable worker’s characteristics that affect both net wealth and the job exit rate. We specify a simultaneous equations model for job exit transitions with multiple destinations, net wealth, and the initial labour market state. The job exit rates and the net wealth equation contain random effects. We allow for correlation between the random effects of job exit and net wealth, and the initial labour market state. As instruments for wealth, we use survey information that measures ‘shocks’, like shocks to the household’s financial situation during the previous year. Results show an upward bias in the effect of net liquid wealth on retirement, but a small bias and a positive causal effect if net total wealth (including housing equity and mortgage debt) is used. Both measures of wealth show a significant positive effect on retirement. For an average individual with age 58, an increase in net liquid wealth by 64,000 euros, or in net total wealth by 110,000 euros, raises the exit rate into retirement by 1 % point.

Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions

We study a problem of stochastic control in mathematical finance, with the goal of maximizing expected utility of investment and consumption over a finite trading horizon. The asset prices are modeled by Ito processes, for which the market parameters are subject to regime switching in the sense of being adapted to the joint filtration of the driving Brownian motion and a finite-state Markov chain which models “regime states” of the market. The vector of portfolios is constrained to a specified closed and convex set, and margin payments are levied on the investor, resulting in a wealth equation which is nonlinear in the portfolio. We proceed by the method of conjugate duality to construct a dual optimization problem together with optimality relations between putative solutions of the given (i.e., “primal'') optimization problem and the dual optimization problem. These optimality relations are then used to address the specific cases of power-type and logarithmic utility functions, with convex cone portfolio...

Private Wealth and Job Exit at Older Age: A Random Effects Model

Private wealth holdings are likely to become an increasingly important determinant in the job exit decision of elderly workers. Net wealth may correlate with worker's characteristics that also determine the exit out of a job. It is therefore important to include a rich set of observed characteristics in an empirical model for retirement in order to measure the (marginal) effect of wealth on the job exit rate. But even with a rich set of regressors the question remains whether there are time-invariant unobservable worker's characteristics that affect both net wealth and the job exit rate. We specify a simultaneous equations model for job exit transitions with multiple destinations, net wealth, and the initial labour market state. The job exit rates and the net wealth equation contain random effects. We allow for correlation between the random effects of job exit and net wealth, and the initial labour market state. As instruments for wealth, we use survey information that measures 'shocks', like shocks to the household's financial situation during the previous year. Results show an upward bias in the effect of net liquid wealth on retirement, but a small bias and a positive causal effect if net total wealth (including housing equity and mortgage debt) is used. Both measures of wealth show a significant positive effect on retirement. For an average individual with age 58 an increase in net liquid wealth by 64,000 Euro, or in net total wealth by 110,000 Euro, raises the exit rate into retirement by 1 percentage point.

RESILIENT PRICE IMPACT OF TRADING AND THE COST OF ILLIQUIDITY

We construct a model for liquidity risk and price impacts in a limit order book setting with depth, resilience and tightness. We derive a wealth equation and a characterization of illiquidity costs. We show that we can separate liquidity costs due to depth and resilience from those related to tightness, and obtain a reduced model in which proportional costs due to the bid-ask spread is removed. From this, we obtain conditions under which the model is arbitrage free. By considering the standard utility maximization problem, this also allows us to obtain a stochastic discount factor and an asset pricing formula which is consistent with empirical findings (e.g., Brennan and Subrahmanyam (1996); Amihud and Mendelson (1986)). Furthermore, we show that in limiting cases for some parameters of the model, we derive many existing liquidity models present in the arbitrage pricing literature, including Çetin et al. (2004) and Rogers and Singh (2010). This offers a classification of different types of liquidity costs in terms of the depth and resilience of prices.

Resilient Price Impact of Trading and the Cost of Illiquidity

We construct a model for liquidity risk and price impacts in a limit order book setting with depth, resilience and tightness. We derive a wealth equation and a characterization of illiquidity costs. We show that we can separate liquidity costs due to depth and resilience from those related to tightness, and obtain a reduced model in which proportional costs due to the bid-ask spread is removed. From this, we obtain conditions under which the model is arbitrage free. By considering the standard utility maximization problem, this also allows us to obtain a stochastic discount factor and an asset pricing formula which is consistent with empirical fi ndings (e.g., Brennan & Subrahmanyam (1996) and Amihud & Mendelson (1986)). Furthermore, we show that in limiting cases for some parameters of the model, we derive many existing liquidity models present in the arbitrage pricing literature, including Cetin et al. (2004) and Rogers and Singh (2010). This o ffers a classi fication of diff erent types of liquidity costs in terms of the depth and resilience of prices.

Private Wealth and Job Exit at Older Age: A Random Effects Model

Private wealth holdings are likely to become an increasingly important determinant in the job exit decision of elderly workers. Net wealth may correlate with worker’s characteristics that also determine the exit out of a job. It is therefore important to include a rich set of observed characteristics in an empirical model for retirement in order to measure the (marginal) effect of wealth on the job exit rate. But even with a rich set of regressors the question remains whether there are unobservable worker’s characteristics that affect both net wealth and the job exit rate. We specify a simultaneous equations model for job exit transitions with multiple destinations, net wealth, and the initial labour market state. The job exit rates and the net wealth equation contain random effects. We allow for correlation between the random effects of job exit and net wealth, and the initial labour market state.

The Maximum Principle for One Kind of Stochastic Optimization Problem and Application in Dynamic Measure of Risk

The authors get a maximum principle for one kind of stochastic optimization problem motivated by dynamic measure of risk. The dynamic measure of risk to an investor in a financial market can be studied in our framework where the wealth equation may have nonlinear coefficients.

Terminal perturbation method for the backward approach to continuous time mean–variance portfolio selection

A terminal perturbation method is introduced to study the backward approach to continuous time mean–variance portfolio selection with bankruptcy prohibition in a complete market model. Using Ekeland’s variational principle, we obtain a necessary condition, i.e. the stochastic maximum principle, which the optimal terminal wealth satisfies. This method can deal with nonlinear wealth equation with bankruptcy prohibition and several examples are given to show applications of our results.

Goods, names, and selves: rethinking the Tsimshian potlatch

I reexamine the Tsimshian (Northwest Coast) potlatch as a ritual circulation of wealth in which successors to vacated name‐titles assume political and social agency. At mortuary potlatches the payment of witnesses with household articles monetarily indexes the value of territorial and heraldic privileges thereby recognized as retained by the host lineage. This ritual equation of alienable and inalienable wealth is the crucible of the reproduction of Tsimshian society as a hierarchy of embodied names. [Northwest Coast, potlatch, social reproduction, exchange, agency, inalienable wealth, naming practices]

Adaptive control of a continuous-time portfolio and consumption model

An economic application of adaptive control is presented using three continuous time portfolio and consumption models that are natural generalizations of a model of Merton. In these models of the wealth of an individual investor, it is assumed that the various parameters are deterministic functions of time or stochastic processes. An adaptive control problem arises for each of these models when it is assumed that the average return rate of the risky asset, which is either a deterministic function or a stochastic process, is not observed. For these models, a recursive family of estimators of the average return rate of the risky asset is given based on the observations of the wealth. These estimates are used in the control of the wealth equation.

Social work practice in community mental health

Reprinted from SOCIAL WORK, Vol. 26, No. 1, January 1981 ocial work practice in community mental health Steven P. Segal and Jim Baumohl The authors analyze social work's role in community mental health and describe practice models that enable practitioners to contribute to the improvement of an individ- ual’s mental status while main- taining a view of the person in the environment and a commitment to the improvement of social life. Steven P. Sega], Ph.D., is Associate Professor and Director, and Jim Baumohl, MSW, is Field Research Specialist, Mental Health and Social ' Welfare Research Group, School of Social Welfare, University of Califor- nia, Berkeley. DURING the past twenty years, the mental health field has become in- creasingly cognizant of the interaction between social life and mental status —a relationship that is the basis of traditional social work practice. So- cial work is committed to improving the interaction among individuals, among institutions, and between people and institutions to enhance the general quality of life. However, in mental health, the major concern (the “depen- dent variable” in research jargon) is mental status. This article is concerned with social work’s role in community A mental health: the activities that enable the social worker to contribute to the improvement of an individual’s mental status while maintaining a commitment to viewing the person in the environ- ment and to improving the overall quality of social life. ‘ BOUNDARIES As a profession, social work is con- cerned with all spheres of interaction between people and their envi- ronments. Social workers practice in the realm of formal organizations of care and control; are concerned with the social, psychological, and jural di- mensions of the family; and have be- come increasingly interested in the everyday support systems that function among friends and acquaintances. All these concerns have been identified, in one way or another, with the treatment of mental disorders or the promotion of mental health. To the consternation of many traditional mental health professionals, the field of community mental health has become so elastic that it now in- cludes almost all kinds of ameliorative activity. This expanded purview de- rives from the association of a myriad of social factors with the development of mental disorders and from the con- comitant tendency to equate social well-being with mental well-being. For instance, the relationship between so- cial class and mental illness and the relationship between social stress and mental illness clearly indicate that poor people are at the greatest risk of devel- oping mental disorders. Because of these relationships, it is tempting to conclude that full employ- ment, better housing for the poor, na- tional health insurance, and an array of poverty programs might be the best means to reduce mental disorders in a society. Unfortunately, there is little evidence to support this conclusion. Such policies and programs are laud- able in their own right, but their impact on the mental status of the individual is subject to question.‘ The equation of social well-being and mental well-being is like the Calvinist equation of wealth . with salvation: both are nice, but not necessarily related. I What does it mean, then, to “con- tribute to the improvement of individ- ual mental status” while “maintaining a commitment to improving the overall quality of social lifeq? The answer de- pends largely on how a mental health “problem” and a mental health “ser- vice” are construed. INAPPROPRIATE LABELS As one moves farther from the traditional concerns of mental health (with psychoses, for example), the re- liability of the assessment of mental status becomes poorer and the risk of ' inappropriately labeling “problems of livingq as “mental disordersq becomes greater. Similarly, when one ap- proaches human problems whose re- lationship to discernible mental dis- orders is ambiguous or distant, the definition of a “mental health service” becomes problematic. Current empirical understanding does not permit a more elegant solution in either case. Mental disorders are variously defined and diagnosed either in narrow or broad terms. And a mental health service is often what Congress, ' the National Institute of Mental Health, state legislatures, or local citizens’ ad- visory boards are willing to pay for. The clinical risks associated with in- appropriate labels make it incumbent on mental health practitioners to be specific and judicious in the use of labels. Further, the treatment of indi- viduals in mental health settings, as op- posed to social service or “genen'cq settings, may discourage potential clients who “know” that only “crazy peopleq (or members of any devalued 16 0037-8046/81/2601/0016 $0.50 © I981, National Association of Social Workers, Inc.