Risk averse asymptotics in a Black-Scholes market on a finite time horizon

We consider the optimal investment and consumption problem in a Black-Scholes market, if the target functional is given by expected discounted utility of consumption plus expected discounted utility of terminal wealth. We investigate the behaviour of the optimal strategies, if the relative risk aversion tends to infinity. It turns out that the limiting strategies are: do not invest at all in the stock market and keep the rate of consumption constant

Embedding in Brownian motion with drift and the Azéma–Yor construction

AbstractWe consider the embedding of a probability distribution in Brownian motion with drift. We first give a sufficient condition on the target measure, under which a variant of the Azéma–Yor (1979a, Séminaire de Probabilités XIII, Lecture Notes in Mathematics, Vol. 721, Springer, Berlin, pp. 90–115) construction for this problem works. A necessary and sufficient condition for embeddability by means of some stopping time, not necessarily finite, is also provided. This latter condition is then analyzed in some detail

Optimal Consumption Under Deterministic Income

We consider an individual or household endowed with an initial wealth, having an income and consuming goods and services. The wealth development rate is assumed to be a deterministic continuous function of time. The objective is to maximize the discounted consumption over a finite time horizon. Via the Hamilton–Jacobi–Bellman approach, we prove the existence and the uniqueness of the solution to the considered problem in the viscosity sense. Furthermore, we derive an algorithm for explicit calculation of the value function and optimal strategy. It turns out that the value function is in general not continuous. The method is illustrated by two examples

World Health Organization cardiovascular disease risk charts: revised models to estimate risk in 21 global regions

BACKGROUND: To help adapt cardiovascular disease risk prediction approaches to low-income and middle-income countries, WHO has convened an effort to develop, evaluate, and illustrate revised risk models. Here, we report the derivation, validation, and illustration of the revised WHO cardiovascular disease risk prediction charts that have been adapted to the circumstances of 21 global regions. METHODS: In this model revision initiative, we derived 10-year risk prediction models for fatal and non-fatal cardiovascular disease (ie, myocardial infarction and stroke) using individual participant data from the Emerging Risk Factors Collaboration. Models included information on age, smoking status, systolic blood pressure, history of diabetes, and total cholesterol. For derivation, we included participants aged 40-80 years without a known baseline history of cardiovascular disease, who were followed up until the first myocardial infarction, fatal coronary heart disease, or stroke event. We recalibrated models using age-specific and sex-specific incidences and risk factor values available from 21 global regions. For external validation, we analysed individual participant data from studies distinct from those used in model derivation. We illustrated models by analysing data on a further 123 743 individuals from surveys in 79 countries collected with the WHO STEPwise Approach to Surveillance. FINDINGS: Our risk model derivation involved 376 177 individuals from 85 cohorts, and 19 333 incident cardiovascular events recorded during 10 years of follow-up. The derived risk prediction models discriminated well in external validation cohorts (19 cohorts, 1 096 061 individuals, 25 950 cardiovascular disease events), with Harrell's C indices ranging from 0·685 (95% CI 0·629-0·741) to 0·833 (0·783-0·882). For a given risk factor profile, we found substantial variation across global regions in the estimated 10-year predicted risk. For example, estimated cardiovascular disease risk for a 60-year-old male smoker without diabetes and with systolic blood pressure of 140 mm Hg and total cholesterol of 5 mmol/L ranged from 11% in Andean Latin America to 30% in central Asia. When applied to data from 79 countries (mostly low-income and middle-income countries), the proportion of individuals aged 40-64 years estimated to be at greater than 20% risk ranged from less than 1% in Uganda to more than 16% in Egypt. INTERPRETATION: We have derived, calibrated, and validated new WHO risk prediction models to estimate cardiovascular disease risk in 21 Global Burden of Disease regions. The widespread use of these models could enhance the accuracy, practicability, and sustainability of efforts to reduce the burden of cardiovascular disease worldwide. FUNDING: World Health Organization, British Heart Foundation (BHF), BHF Cambridge Centre for Research Excellence, UK Medical Research Council, and National Institute for Health Research

Domestic elites and external actors in post-conflict democratisation: mapping interactions and their impact

Following the end of the Cold War, post-conflict democratisation has rarely occurred without a significant international involvement. This contribution argues that an explanation of the outcomes of post-conflict democratisation requires more than an examination of external actors, their mission mandates or their capabilities and deficiencies. In addition, there is a need to study domestic elites, their preferences and motivations, as well as their perceptions of and their reactions to external interference. Moreover, the patterns of external–internal interactions may explain the trajectory of state-building and democracy promotion efforts. These issues deserve more attention from both scholars and practitioners in the fields of peace- and state-building, democracy promotion, regime transition and elite research. Analyses of external actors and domestic elites in post-conflict democratisation should therefore address three principal issues: (1) the identification of relevant domestic elites in externally induced or monitored state-building and democratisation processes, (2) the dynamics of external–domestic interactions and (3) the impact of these interactions on the outcomes of post-conflict democratisation

Leland's approach to option pricing. The evolution of a discontinuity.

A claim of Leland (1985) states that in the presence of transaction costs a call option on a stock S, described by geometric Brownian motion, can be perfectly hedged using Black-Scholes delta hedging with a modified volatility. Recently Kabanov and Safarian (1997) disproved this claim, giving an explicit (up to an integral) expression of the limiting hedging error, which appears to be strictly negative and depends on the path of the stock price only via the stock price at expiry ST . We prove in this paper that the limiting hedging error, considered as a function of ST, exhibits a removable discontinuity at the exercise price. Furthermore, we provide a quantitative result describing the evolution of the discontinuity, which shows that its precursors can very well be observed also in cases of reasonable length of revision intervals. (author's abstract)Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science

Model pouka literature preko narativne identitete

This thesis introduces the NDR-model of literature education that is intended to enhance nar-rative engagement and identity learning. The NDR-model stimulates learners to experientially engage in narration, dialogue, and text response. During the practices of writing/reading the life story (narration) and of reading/writing the literary story (response), the self as narrative transacts with the text as narrative. Reading/writing the literary story and writing/reading the life story are instances of the poietic play on the principle which results from the interaction of the productive and the creative imagination. During the act of reading, the NDR-model facili-tates the mediation between the world of the text and the world of the reader, which has been conceptualized as the learner’s narrative identity, by encouraging the learners to intertextually link the literary texts with their life stories. These personally relevant connections are found to be the condition of possibility of accommodative and transformative identity learning. A mixed-methods quasi-experimental study explored the effects of the NDR-model on upper secondary grammar school students’ reading orientations, attentional mode, modes of reading engagement, and reading outcome. In the quantitative study, statistically significant increases in literary response scores (insight orientation, attentional shifting, experiential and analytic engagement, self-insight) were detected in the experimental group. In addition, participants’ self-reported scores differed significantly between the experimental and control groups, which again indicates that the NDR-model increased the students’ attentional shifting, fostered their narrative engagement and triggered self-insight, whereas regular literature education did not. The qualitative analysis of interview, observation, and artefact data suggested that the NDR-students’ learning practices of narration (writing/reading the life story), response (read-ing/writing the literary story), and dialogue were promoted. Additionally, participants experi-enced insight into the self and insight into the other because they were stimulated to engage with literary texts in the context of their personal identities.Doktorsko delo v izobraževanje književnosti vpeljuje model NDO (naracija, dialog, odzivanje), ki naj bi okrepil narativno zavzetost in spoznavanje identitete. Model NDO spodbuja dijake k izkustvenemu vključevanju v naracijo, dialog in odzivanje na besedilo. Med praksama pisanja/branja življenjske zgodbe (pripovedovanje) in branja/pisanja literarne zgodbe (odziv) se jaz kot narativni sporazumeva z besedilom kot narativnim. Branje/pisanje literarne zgodbe in pisanje/branje življenjske zgodbe sta primera poetične igre po načelu, ki je posledica interakcije produktivne in ustvarjalne imaginacije. Med dejanjem branja model NDO omogoča posredovanje med svetom besedila in svetom bralca, ki je bil konceptualiziran kot dijakova narativna identiteta, tako da spodbuja dijake k intertekstualnemu povezovanju literarnih besedil z lastnimi življenjskimi zgodbami. Ugotovljeno je, da so te osebno relevantne povezave pogoj za možnost akomodativnega in transformativnega spoznavanja identitete. Z mešano kvantitativno-kvalitativno kvazi-eksperimentalno raziskavo smo raziskovali učinke modela NDO na bralne usmeritve, način pozornosti, načine bralne zavzetosti in bralne rezultate dijakov višjih letnikov gimnazije. V kvantitativni študiji je bilo v eksperimentalni skupini ugotovljeno statistično pomembno povečanje rezultatov literarnega odziva (usmerjenost k vpogledu, premik pozornosti, doživljajska in analitična zavzetost, uvid v samega sebe). Poleg tega so se samoocene udeležencev med eksperimentalno in kontrolno skupino pomembno razlikovale, kar ponovno kaže na to, da je model NDO pri dijakih povečal preusmerjanje pozornosti, spodbudil njihovo narativno zavzetost in sprožil samoopazovanje, medtem ko pri običajnem izobraževanju književnosti ni. Kvalitativna analiza podatkov na osnovi intervjujev, opazovanja in artefaktov je pokazala, da so bile pri dijakih, ki so se učili na osnovi medela NDO, spodbujene učne prakse naracije (pisanje/branje življenjske zgodbe), odzivanja (branje/pisanje literarne zgodbe) in dialoga. Poleg tega so udeleženci doživeli vpogled vase in vpogled v drugega, saj so bili spodbujeni k sodelovanju z literarnimi besedili v kontekstu svojih osebnih identitet

Dialogue of the Arts

Abweichender Titel nach Übersetzung der Verfasserin/des VerfassersDialog der Künste, Kunststätte der Dialoge? Orte welche man gezielt aufsuchen muss um in den Genuss dieser zu kommen. Eine Symbiose und disziplinübergreifende Stätte zwischen Kunst und Architektur, die den Raum für den Dialog der beiden Kunstgattungen bietet und ein gekonntes Miteinander der beiden Genres ermöglicht. Ziel ist es den beiden Themen einen gemeinsamen Ort zum Austausch und zum Miteinander zur Verfügung zu stellen bzw. eine prototypischen Architektur zu entwickeln. Ein Raum der zur Entfaltung der Künste, zum publizieren, sowie zum Verweilen der Gäste dient. Ein besonderes Augenmerk wird auf das Miteinander des öffentlichen Raumes und der gesellschaftlich genutzten Kunststätte selbst liegen. Der geschaffene Ort soll sich nicht als abgegrenzter Raum definieren sondern vielmehr durch eine Überlagerung von verschiedenen Nutzungsbereichen gebildet werden. Durch Übernahme der Denkweisen der aktuellen Tendenzen im Start-Up-Campus Bau werden bestimmte Elemente übernommen und adaptiert. Vor allem die aktuelle Haltung gegenüber neutraler- und multifunktionaler Räume sowie von open-working Spaces werden gezielt analysiert und in den Entwurf eingebunden. Der derzeit saisonal genutzte Hermannpark am Donaukanal soll durch weitere Funktionen ergänzt werden ohne die aktuell gut funktionierende Nutzung zu beinträchtigen.Dialogue of the Arts, Gallery of Dialogues? A symbiosis and a cross-disciplinary site, which offers space for the dialogue of two art genres and a playful combination of these. The aim was to provide art and architecture with a common place for exchange and co-operation, to develop a prototypical architecture as well as a space to develop these two arts togeter. Particular attention will be paid to the coexistence of the public space and the socially used areas itself. The created place should not be defined as a closed space, but rather should be a superposition of various areas of use. By adopting the ways of thinking of the current tendencies in start-up campus programming, special elements are adopted and adapted. Above all, the current attitude towards neutrality and multifunctional spaces as well as of open workspaces are specifically analyzed and integrated into the design. The Hermannpark at the Donaukanal, which is currently being used for seasonal purposes, is to be supplemented by further functions without impairing the current well-functioning use.15