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Publisher: Springer-Verlag (Total: 2562 journals)

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Showing 1 - 200 of 2562 Journals sorted alphabetically
3D Printing in Medicine     Open Access   (Followers: 4)
3D Research     Hybrid Journal   (Followers: 21, SJR: 0.222, CiteScore: 1)
4OR: A Quarterly J. of Operations Research     Hybrid Journal   (Followers: 11, SJR: 0.825, CiteScore: 1)
AAPS J.     Hybrid Journal   (Followers: 29, SJR: 1.118, CiteScore: 4)
AAPS PharmSciTech     Hybrid Journal   (Followers: 8, SJR: 0.752, CiteScore: 3)
Abdominal Radiology     Hybrid Journal   (Followers: 18, SJR: 0.866, CiteScore: 2)
Abhandlungen aus dem Mathematischen Seminar der Universitat Hamburg     Hybrid Journal   (Followers: 4, SJR: 0.439, CiteScore: 0)
Academic Psychiatry     Full-text available via subscription   (Followers: 30, SJR: 0.53, CiteScore: 1)
Academic Questions     Hybrid Journal   (Followers: 9, SJR: 0.106, CiteScore: 0)
Accreditation and Quality Assurance: J. for Quality, Comparability and Reliability in Chemical Measurement     Hybrid Journal   (Followers: 31, SJR: 0.316, CiteScore: 1)
Acoustical Physics     Hybrid Journal   (Followers: 11, SJR: 0.359, CiteScore: 1)
Acoustics Australia     Hybrid Journal   (Followers: 1, SJR: 0.232, CiteScore: 1)
Acta Analytica     Hybrid Journal   (Followers: 7, SJR: 0.367, CiteScore: 0)
Acta Applicandae Mathematicae     Hybrid Journal   (Followers: 1, SJR: 0.675, CiteScore: 1)
Acta Biotheoretica     Hybrid Journal   (Followers: 4, SJR: 0.284, CiteScore: 1)
Acta Diabetologica     Hybrid Journal   (Followers: 19, SJR: 1.587, CiteScore: 3)
Acta Endoscopica     Hybrid Journal   (Followers: 1)
acta ethologica     Hybrid Journal   (Followers: 4, SJR: 0.769, CiteScore: 1)
Acta Geochimica     Hybrid Journal   (Followers: 7, SJR: 0.24, CiteScore: 1)
Acta Geodaetica et Geophysica     Hybrid Journal   (Followers: 3, SJR: 0.305, CiteScore: 1)
Acta Geophysica     Hybrid Journal   (Followers: 11, SJR: 0.312, CiteScore: 1)
Acta Geotechnica     Hybrid Journal   (Followers: 7, SJR: 1.588, CiteScore: 3)
Acta Informatica     Hybrid Journal   (Followers: 5, SJR: 0.517, CiteScore: 1)
Acta Mathematica     Hybrid Journal   (Followers: 12, SJR: 7.066, CiteScore: 3)
Acta Mathematica Hungarica     Hybrid Journal   (Followers: 2, SJR: 0.452, CiteScore: 1)
Acta Mathematica Sinica, English Series     Hybrid Journal   (Followers: 6, SJR: 0.379, CiteScore: 1)
Acta Mathematica Vietnamica     Hybrid Journal   (SJR: 0.27, CiteScore: 0)
Acta Mathematicae Applicatae Sinica, English Series     Hybrid Journal   (SJR: 0.208, CiteScore: 0)
Acta Mechanica     Hybrid Journal   (Followers: 25, SJR: 1.04, CiteScore: 2)
Acta Mechanica Sinica     Hybrid Journal   (Followers: 5, SJR: 0.607, CiteScore: 2)
Acta Metallurgica Sinica (English Letters)     Hybrid Journal   (Followers: 7, SJR: 0.576, CiteScore: 2)
Acta Meteorologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.638, CiteScore: 1)
Acta Neurochirurgica     Hybrid Journal   (Followers: 7, SJR: 0.822, CiteScore: 2)
Acta Neurologica Belgica     Hybrid Journal   (Followers: 2, SJR: 0.376, CiteScore: 1)
Acta Neuropathologica     Hybrid Journal   (Followers: 4, SJR: 7.589, CiteScore: 12)
Acta Oceanologica Sinica     Hybrid Journal   (Followers: 3, SJR: 0.334, CiteScore: 1)
Acta Physiologiae Plantarum     Hybrid Journal   (Followers: 4, SJR: 0.574, CiteScore: 2)
Acta Politica     Hybrid Journal   (Followers: 19, SJR: 0.605, CiteScore: 1)
Activitas Nervosa Superior     Hybrid Journal   (SJR: 0.147, CiteScore: 0)
Adaptive Human Behavior and Physiology     Hybrid Journal  
adhäsion KLEBEN & DICHTEN     Hybrid Journal   (Followers: 8, SJR: 0.103, CiteScore: 0)
ADHD Attention Deficit and Hyperactivity Disorders     Hybrid Journal   (Followers: 28, SJR: 0.72, CiteScore: 2)
Adhesion Adhesives & Sealants     Hybrid Journal   (Followers: 9)
Administration and Policy in Mental Health and Mental Health Services Research     Partially Free   (Followers: 19, SJR: 1.005, CiteScore: 2)
Adolescent Research Review     Hybrid Journal  
Adsorption     Hybrid Journal   (Followers: 5, SJR: 0.703, CiteScore: 2)
Advanced Composites and Hybrid Materials     Hybrid Journal  
Advances in Applied Clifford Algebras     Hybrid Journal   (Followers: 4, SJR: 0.698, CiteScore: 1)
Advances in Astronautics Science and Technology     Hybrid Journal  
Advances in Atmospheric Sciences     Hybrid Journal   (Followers: 40, SJR: 0.956, CiteScore: 2)
Advances in Computational Mathematics     Hybrid Journal   (Followers: 21, SJR: 0.812, CiteScore: 1)
Advances in Contraception     Hybrid Journal   (Followers: 3)
Advances in Data Analysis and Classification     Hybrid Journal   (Followers: 58, SJR: 1.09, CiteScore: 1)
Advances in Gerontology     Partially Free   (Followers: 8, SJR: 0.144, CiteScore: 0)
Advances in Health Sciences Education     Hybrid Journal   (Followers: 35, SJR: 1.64, CiteScore: 2)
Advances in Manufacturing     Hybrid Journal   (Followers: 3, SJR: 0.475, CiteScore: 2)
Advances in Neurodevelopmental Disorders     Hybrid Journal  
Advances in Polymer Science     Hybrid Journal   (Followers: 49, SJR: 1.04, CiteScore: 3)
Advances in Therapy     Hybrid Journal   (Followers: 5, SJR: 1.075, CiteScore: 3)
Aegean Review of the Law of the Sea and Maritime Law     Hybrid Journal   (Followers: 7)
Aequationes Mathematicae     Hybrid Journal   (Followers: 2, SJR: 0.517, CiteScore: 1)
Aerobiologia     Hybrid Journal   (Followers: 3, SJR: 0.673, CiteScore: 2)
Aerosol Science and Engineering     Hybrid Journal  
Aerospace Systems     Hybrid Journal  
Aerotecnica Missili & Spazio : J. of Aerospace Science, Technologies & Systems     Hybrid Journal  
Aesthetic Plastic Surgery     Hybrid Journal   (Followers: 11, SJR: 0.825, CiteScore: 1)
African Archaeological Review     Hybrid Journal   (Followers: 21, SJR: 0.862, CiteScore: 1)
Afrika Matematika     Hybrid Journal   (Followers: 1, SJR: 0.235, CiteScore: 0)
Ageing Intl.     Hybrid Journal   (Followers: 7, SJR: 0.39, CiteScore: 1)
Aggiornamenti CIO     Hybrid Journal   (Followers: 1)
Aging Clinical and Experimental Research     Hybrid Journal   (Followers: 3, SJR: 0.67, CiteScore: 2)
Agricultural Research     Hybrid Journal   (Followers: 6, SJR: 0.276, CiteScore: 1)
Agriculture and Human Values     Open Access   (Followers: 15, SJR: 1.173, CiteScore: 3)
Agroforestry Systems     Open Access   (Followers: 20, SJR: 0.663, CiteScore: 1)
Agronomy for Sustainable Development     Open Access   (Followers: 15, SJR: 1.864, CiteScore: 6)
AI & Society     Hybrid Journal   (Followers: 9, SJR: 0.227, CiteScore: 1)
AIDS and Behavior     Hybrid Journal   (Followers: 16, SJR: 1.792, CiteScore: 3)
Air Quality, Atmosphere & Health     Hybrid Journal   (Followers: 4, SJR: 0.862, CiteScore: 3)
Akupunktur & Aurikulomedizin     Full-text available via subscription   (Followers: 1)
Algebra and Logic     Hybrid Journal   (Followers: 7, SJR: 0.531, CiteScore: 0)
Algebra Universalis     Hybrid Journal   (Followers: 2, SJR: 0.583, CiteScore: 1)
Algebras and Representation Theory     Hybrid Journal   (Followers: 1, SJR: 1.095, CiteScore: 1)
Algorithmica     Hybrid Journal   (Followers: 9, SJR: 0.56, CiteScore: 1)
Allergo J.     Full-text available via subscription   (Followers: 1, SJR: 0.234, CiteScore: 0)
Allergo J. Intl.     Hybrid Journal   (Followers: 2)
Alpine Botany     Hybrid Journal   (Followers: 5, SJR: 1.11, CiteScore: 3)
ALTEX : Alternatives to Animal Experimentation     Open Access   (Followers: 2)
AMBIO     Hybrid Journal   (Followers: 10, SJR: 1.569, CiteScore: 4)
American J. of Cardiovascular Drugs     Hybrid Journal   (Followers: 17, SJR: 0.951, CiteScore: 3)
American J. of Community Psychology     Hybrid Journal   (Followers: 29, SJR: 1.329, CiteScore: 2)
American J. of Criminal Justice     Hybrid Journal   (Followers: 9, SJR: 0.772, CiteScore: 1)
American J. of Cultural Sociology     Hybrid Journal   (Followers: 18, SJR: 0.46, CiteScore: 1)
American J. of Dance Therapy     Hybrid Journal   (Followers: 6, SJR: 0.181, CiteScore: 0)
American J. of Potato Research     Hybrid Journal   (Followers: 3, SJR: 0.611, CiteScore: 1)
American J. of Psychoanalysis     Hybrid Journal   (Followers: 22, SJR: 0.314, CiteScore: 0)
American Sociologist     Hybrid Journal   (Followers: 16, SJR: 0.35, CiteScore: 0)
Amino Acids     Hybrid Journal   (Followers: 7, SJR: 1.135, CiteScore: 3)
AMS Review     Partially Free   (Followers: 4)
Analog Integrated Circuits and Signal Processing     Hybrid Journal   (Followers: 10, SJR: 0.211, CiteScore: 1)
Analysis and Mathematical Physics     Hybrid Journal   (Followers: 6, SJR: 0.536, CiteScore: 1)
Analysis in Theory and Applications     Hybrid Journal   (Followers: 1)
Analysis of Verbal Behavior     Hybrid Journal   (Followers: 6)
Analytical and Bioanalytical Chemistry     Hybrid Journal   (Followers: 32, SJR: 0.978, CiteScore: 3)
Anatomical Science Intl.     Hybrid Journal   (Followers: 3, SJR: 0.367, CiteScore: 1)
Angewandte Schmerztherapie und Palliativmedizin     Hybrid Journal  
Angiogenesis     Hybrid Journal   (Followers: 3, SJR: 2.177, CiteScore: 5)
Animal Cognition     Hybrid Journal   (Followers: 23, SJR: 1.389, CiteScore: 3)
Annales françaises de médecine d'urgence     Hybrid Journal   (Followers: 1, SJR: 0.192, CiteScore: 0)
Annales Henri Poincaré     Hybrid Journal   (Followers: 3, SJR: 1.097, CiteScore: 2)
Annales mathématiques du Québec     Hybrid Journal   (Followers: 4, SJR: 0.438, CiteScore: 0)
Annali dell'Universita di Ferrara     Hybrid Journal   (SJR: 0.429, CiteScore: 0)
Annali di Matematica Pura ed Applicata     Hybrid Journal   (Followers: 1, SJR: 1.197, CiteScore: 1)
Annals of Biomedical Engineering     Hybrid Journal   (Followers: 18, SJR: 1.042, CiteScore: 3)
Annals of Combinatorics     Hybrid Journal   (Followers: 4, SJR: 0.932, CiteScore: 1)
Annals of Data Science     Hybrid Journal   (Followers: 13)
Annals of Dyslexia     Hybrid Journal   (Followers: 10, SJR: 0.85, CiteScore: 2)
Annals of Finance     Hybrid Journal   (Followers: 35, SJR: 0.579, CiteScore: 1)
Annals of Forest Science     Hybrid Journal   (Followers: 7, SJR: 0.986, CiteScore: 2)
Annals of Global Analysis and Geometry     Hybrid Journal   (Followers: 1, SJR: 1.228, CiteScore: 1)
Annals of Hematology     Hybrid Journal   (Followers: 15, SJR: 1.043, CiteScore: 2)
Annals of Mathematics and Artificial Intelligence     Hybrid Journal   (Followers: 12, SJR: 0.413, CiteScore: 1)
Annals of Microbiology     Hybrid Journal   (Followers: 11, SJR: 0.479, CiteScore: 2)
Annals of Nuclear Medicine     Hybrid Journal   (Followers: 5, SJR: 0.687, CiteScore: 2)
Annals of Operations Research     Hybrid Journal   (Followers: 11, SJR: 0.943, CiteScore: 2)
Annals of Ophthalmology     Hybrid Journal   (Followers: 13)
Annals of PDE     Hybrid Journal  
Annals of Regional Science     Hybrid Journal   (Followers: 9, SJR: 0.614, CiteScore: 1)
Annals of Software Engineering     Hybrid Journal   (Followers: 13)
Annals of Solid and Structural Mechanics     Hybrid Journal   (Followers: 11, SJR: 0.239, CiteScore: 1)
Annals of Surgical Oncology     Hybrid Journal   (Followers: 15, SJR: 1.986, CiteScore: 4)
Annals of Telecommunications     Hybrid Journal   (Followers: 9, SJR: 0.223, CiteScore: 1)
Annals of the Institute of Statistical Mathematics     Hybrid Journal   (Followers: 1, SJR: 1.495, CiteScore: 1)
Antonie van Leeuwenhoek     Hybrid Journal   (Followers: 5, SJR: 0.834, CiteScore: 2)
Apidologie     Hybrid Journal   (Followers: 4, SJR: 1.22, CiteScore: 3)
APOPTOSIS     Hybrid Journal   (Followers: 9, SJR: 1.424, CiteScore: 4)
Applicable Algebra in Engineering, Communication and Computing     Hybrid Journal   (Followers: 2, SJR: 0.294, CiteScore: 1)
Applications of Mathematics     Hybrid Journal   (Followers: 3, SJR: 0.602, CiteScore: 1)
Applied Biochemistry and Biotechnology     Hybrid Journal   (Followers: 44, SJR: 0.571, CiteScore: 2)
Applied Biochemistry and Microbiology     Hybrid Journal   (Followers: 18, SJR: 0.21, CiteScore: 1)
Applied Categorical Structures     Hybrid Journal   (Followers: 4, SJR: 0.49, CiteScore: 0)
Applied Composite Materials     Hybrid Journal   (Followers: 53, SJR: 0.58, CiteScore: 2)
Applied Entomology and Zoology     Partially Free   (Followers: 7, SJR: 0.422, CiteScore: 1)
Applied Geomatics     Hybrid Journal   (Followers: 3, SJR: 0.733, CiteScore: 3)
Applied Geophysics     Hybrid Journal   (Followers: 9, SJR: 0.488, CiteScore: 1)
Applied Intelligence     Hybrid Journal   (Followers: 15, SJR: 0.6, CiteScore: 2)
Applied Magnetic Resonance     Hybrid Journal   (Followers: 4, SJR: 0.319, CiteScore: 1)
Applied Mathematics & Optimization     Hybrid Journal   (Followers: 10, SJR: 0.886, CiteScore: 1)
Applied Mathematics - A J. of Chinese Universities     Hybrid Journal   (Followers: 1, SJR: 0.17, CiteScore: 0)
Applied Mathematics and Mechanics     Hybrid Journal   (Followers: 5, SJR: 0.461, CiteScore: 1)
Applied Microbiology and Biotechnology     Hybrid Journal   (Followers: 67, SJR: 1.182, CiteScore: 4)
Applied Physics A     Hybrid Journal   (Followers: 10, SJR: 0.481, CiteScore: 2)
Applied Physics B: Lasers and Optics     Hybrid Journal   (Followers: 26, SJR: 0.74, CiteScore: 2)
Applied Psychophysiology and Biofeedback     Hybrid Journal   (Followers: 8, SJR: 0.519, CiteScore: 2)
Applied Research in Quality of Life     Hybrid Journal   (Followers: 12, SJR: 0.316, CiteScore: 1)
Applied Solar Energy     Hybrid Journal   (Followers: 22, SJR: 0.225, CiteScore: 0)
Applied Spatial Analysis and Policy     Hybrid Journal   (Followers: 6, SJR: 0.542, CiteScore: 1)
Aquaculture Intl.     Hybrid Journal   (Followers: 26, SJR: 0.591, CiteScore: 2)
Aquarium Sciences and Conservation     Hybrid Journal   (Followers: 2)
Aquatic Ecology     Hybrid Journal   (Followers: 37, SJR: 0.656, CiteScore: 2)
Aquatic Geochemistry     Hybrid Journal   (Followers: 3, SJR: 0.591, CiteScore: 1)
Aquatic Sciences     Hybrid Journal   (Followers: 14, SJR: 1.109, CiteScore: 3)
Arabian J. for Science and Engineering     Hybrid Journal   (Followers: 5, SJR: 0.303, CiteScore: 1)
Arabian J. of Geosciences     Hybrid Journal   (Followers: 2, SJR: 0.319, CiteScore: 1)
Archaeological and Anthropological Sciences     Hybrid Journal   (Followers: 22, SJR: 1.052, CiteScore: 2)
Archaeologies     Hybrid Journal   (Followers: 12, SJR: 0.224, CiteScore: 0)
Archiv der Mathematik     Hybrid Journal   (Followers: 1, SJR: 0.725, CiteScore: 1)
Archival Science     Hybrid Journal   (Followers: 68, SJR: 0.745, CiteScore: 2)
Archive for History of Exact Sciences     Hybrid Journal   (Followers: 7, SJR: 0.186, CiteScore: 1)
Archive for Mathematical Logic     Hybrid Journal   (Followers: 3, SJR: 0.909, CiteScore: 1)
Archive for Rational Mechanics and Analysis     Hybrid Journal   (SJR: 3.93, CiteScore: 3)
Archive of Applied Mechanics     Hybrid Journal   (Followers: 6, SJR: 0.79, CiteScore: 2)
Archives and Museum Informatics     Hybrid Journal   (Followers: 170, SJR: 0.101, CiteScore: 0)
Archives of Computational Methods in Engineering     Hybrid Journal   (Followers: 6, SJR: 1.41, CiteScore: 5)
Archives of Dermatological Research     Hybrid Journal   (Followers: 7, SJR: 1.006, CiteScore: 2)
Archives of Environmental Contamination and Toxicology     Hybrid Journal   (Followers: 14, SJR: 0.773, CiteScore: 2)
Archives of Gynecology and Obstetrics     Hybrid Journal   (Followers: 18, SJR: 0.956, CiteScore: 2)
Archives of Microbiology     Hybrid Journal   (Followers: 9, SJR: 0.644, CiteScore: 2)
Archives of Orthopaedic and Trauma Surgery     Hybrid Journal   (Followers: 9, SJR: 1.146, CiteScore: 2)
Archives of Osteoporosis     Hybrid Journal   (Followers: 2, SJR: 0.71, CiteScore: 2)
Archives of Sexual Behavior     Hybrid Journal   (Followers: 11, SJR: 1.493, CiteScore: 3)
Archives of Toxicology     Hybrid Journal   (Followers: 18, SJR: 1.541, CiteScore: 5)
Archives of Virology     Hybrid Journal   (Followers: 5, SJR: 0.973, CiteScore: 2)
Archives of Women's Mental Health     Hybrid Journal   (Followers: 17, SJR: 1.274, CiteScore: 3)
Archivio di Ortopedia e Reumatologia     Hybrid Journal  
Archivum Immunologiae et Therapiae Experimentalis     Hybrid Journal   (Followers: 2, SJR: 0.946, CiteScore: 3)
ArgoSpine News & J.     Hybrid Journal  
Argumentation     Hybrid Journal   (Followers: 6, SJR: 0.349, CiteScore: 1)
Arid Ecosystems     Hybrid Journal   (Followers: 3, SJR: 0.2, CiteScore: 0)
Arkiv för Matematik     Hybrid Journal   (Followers: 1, SJR: 0.766, CiteScore: 1)
arktos : The J. of Arctic Geosciences     Hybrid Journal  
Arnold Mathematical J.     Hybrid Journal   (Followers: 1, SJR: 0.355, CiteScore: 0)
Arthropod-Plant Interactions     Hybrid Journal   (Followers: 2, SJR: 0.839, CiteScore: 2)
Arthroskopie     Hybrid Journal   (Followers: 1, SJR: 0.131, CiteScore: 0)
Artificial Intelligence and Law     Hybrid Journal   (Followers: 12, SJR: 0.937, CiteScore: 2)
Artificial Intelligence Review     Hybrid Journal   (Followers: 21, SJR: 0.833, CiteScore: 4)
Artificial Life and Robotics     Hybrid Journal   (Followers: 10, SJR: 0.226, CiteScore: 0)
Asia Europe J.     Hybrid Journal   (Followers: 4, SJR: 0.504, CiteScore: 1)
Asia Pacific Education Review     Hybrid Journal   (Followers: 12, SJR: 0.479, CiteScore: 1)
Asia Pacific J. of Management     Hybrid Journal   (Followers: 17, SJR: 1.185, CiteScore: 2)
Asia-Pacific Education Researcher     Hybrid Journal   (Followers: 13, SJR: 0.353, CiteScore: 1)

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Similar Journals
Journal Cover
Annals of Finance
Journal Prestige (SJR): 0.579
Citation Impact (citeScore): 1
Number of Followers: 35  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1614-2454 - ISSN (Online) 1614-2446
Published by Springer-Verlag Homepage  [2562 journals]
  • Maximizing expected exponential utility of consumption with a constraint
           on expected time in poverty
    • Abstract: We compute the optimal investment and consumption strategies for an individual who wishes to maximize her expected discounted exponential utility of lifetime consumption, while imposing a constraint on the expected time her wealth spends below a poverty threshold b. First, we compute the optimal strategies for the corresponding (unconstrained) problem with a running penalty for time that wealth spends below b. This penalty acts as a Lagrange multiplier for our original constrained problem, so we recover the optimal strategies for our original problem from the recast problem. We show that (1) if the current wealth is greater than b, then the optimal investment strategy becomes more conservative as the poverty constraint becomes sharper; and (2) if the current wealth is less than b, then the optimal investment strategy is either independent of the poverty constraint or becomes more aggressive as the poverty constraint becomes sharper, depending on the value b. We also show that the optimal rate of consumption (weakly) decreases as the poverty constraint becomes sharper.
      PubDate: 2019-11-08
       
  • Momentum and reversal in financial markets with persistent heterogeneity
    • Abstract: This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their beliefs. Provided beliefs, and thus portfolios, are sufficiently diversified, all investors survive in the long-run and, due to waves of mispricing, the resulting equilibrium returns exhibit long-term reversal. If, moreover, asset dividends are positively correlated, investors’ profitable trades become positively correlated too, thus generating short-term momentum in equilibrium returns. We use the model to replicate the performance of the Winners and Losers portfolios highlighted by the empirical literature and to provide insights on how to improve upon them. Finally, we show that dividend positive autocorrelation is positively related to momentum and negatively related to reversal while diversity of beliefs is positively related to both momentum and reversal.
      PubDate: 2019-10-08
       
  • Optimal demand in a mispriced asymmetric
           Carr–Geman–Madan–Yor (CGMY) economy
    • Abstract: We employ a simple numerical scheme to compute optimal portfolios and utilities of informed and uninformed investors in a mispriced Carr–Geman–Madan–Yor (CGMY) Lévy market under information asymmetry using instantaneous centralized moments of returns (ICMR). We also investigate the impact on investors’ demand for stocks and indices at different levels of asymmetric information, mispricing, investment horizon, jump intensity, and volatility. Our simulations not only confirm that uninformed expected demand falls as information asymmetry increases but also offer strong evidence that informed expected demand behaves in a similar manner. In particular, expected demand of informed investors falls whenever information asymmetry exceeds 50%. The investor that demands more of the risky asset maintains that position over the entire investment horizon at each level of mispricing and information asymmetry. The absolute difference in expected demand between the uninformed and informed investors increases with the investment horizon, but decreases with the level of information asymmetry.
      PubDate: 2019-09-01
       
  • Asian options pricing in Hawkes-type jump-diffusion models
    • Abstract: In this paper we propose a method for pricing Asian options in market models with the risky asset dynamics driven by a Hawkes process with exponential kernel. For these processes the couple \( (\lambda (t), X(t) ) \) is affine, this property allows to extend the general methodology introduced by Hubalek et al. (Quant Finance 17:873–888, 2017) for Geometric Asian option pricing to jump-diffusion models with stochastic jump intensity. Although the system of ordinary differential equations providing the characteristic function of the related affine process cannot be solved in closed form, a COS-type algorithm allows to obtain the relevant quantities needed for options valuation. We describe, by means of graphical illustrations, the dependence of Asian options prices by the main parameters of the driving Hawkes process. Finally, by using Geometric Asian options values as control variates, we show that Arithmetic Asian options prices can be computed in a fast and efficient way by a standard Monte Carlo method.
      PubDate: 2019-08-28
       
  • Dynamic contagion in a banking system with births and defaults
    • Abstract: We consider a dynamic model of interconnected banks. New banks can emerge, and existing banks can default, creating a birth-and-death setup. Microscopically, banks evolve as independent geometric Brownian motions. Systemic effects are captured through default contagion: as one bank defaults, reserves of other banks are reduced by a random proportion. After examining the long-term stability of this system, we investigate mean-field limits as the number of banks tends to infinity. Our main results concern the measure-valued scaling limit which is governed by a McKean–Vlasov jump-diffusion. The default impact creates a mean-field drift, while the births and defaults introduce jump terms tied to the current distribution of the process. Individual dynamics in the limit is described by the propagation of chaos phenomenon. In certain cases, we explicitly characterize the limiting average reserves.
      PubDate: 2019-08-20
       
  • A new approach to the rational expectations equilibrium: existence,
           optimality and incentive compatibility
    • Abstract: Rational expectations equilibrium seeks a proper treatment of behavior under private information by assuming that the information revealed by prices is taken into account by consumers in their decisions. Typically agents are supposed to maximize a conditional expectation of state-dependent utility function and to consume the same bundles in indistiguishable states [see Allen (Econometrica 49(5):1173–1199, 1981), Radner (Econometrica 47(3):655–678, 1979)]. A problem with this model is that a rational expectations equilibrium may not exist even under very restrictive assumptions, may not be efficient, may not be incentive compatible, and may not be implementable as a perfect Bayesian equilibrium (Glycopantis et al. in Econ Theory 26(4):765–791, 2005). We introduce a notion of rational expectations equilibrium with two main features: agents may consume different bundles in indistinguishable states and ambiguity is allowed in individuals’ preferences. We show that such an equilibrium exists universally and not only generically without freezing a particular preferences representation. Moreover, if we particularize the preferences to a specific form of the maxmin expected utility model introduced in Gilboa and Schmeidler (J Math Econ 18(2):141–153, 1989), then we are able to prove efficiency and incentive compatibility. These properties do not hold for the traditional (Bayesian) Rational Expectation Equilibrium.
      PubDate: 2019-07-20
       
  • Dynamic portfolio strategies under a fully correlated jump-diffusion
           process
    • Abstract: This paper presents the first continuous-time model to feature a flexible dependence structure among jump intensity, stock variance, and stock returns. In particular, it addresses a gap in the financial portfolio optimization literature concerning the non-trivial correlation between stock return variance and the intensity of price jumps. The model permits closed-form representations for the optimal strategy and value functions in an expected utility theory setting. It also produces analytical expressions for the value function associated with relevant suboptimal strategies. Such an analytical setting allows for the first wealth-equivalent utility loss (WEL) analysis of the pitfalls of ignoring the aforementioned dependence. The model and results can be easily extended to the pair intensity-covariance in multi-assets. The WEL analysis is carried out for three different suboptimal classes: tailor-made incomplete markets, misspecifications in the parameters of the model, and time-independent (myopic) strategies. For the numerical section, we focus on the correlation between jump intensity and stock variance, which is assumed to be either zero or one in the existing literature. We demonstrate that simplistic assumptions like perfect dependence or independence could lead to wealth-equivalent losses of up to 61%. Similarly, a failure to hedge these variances and intensity drivers could cause losses of up to 95% (in particular, up to 60% due to the factors driving the dependence).
      PubDate: 2019-07-02
       
  • Optimal dynamic basis trading
    • Abstract: We study the problem of dynamically trading a futures contract and its underlying asset under a stochastic basis model. The basis evolution is modeled by a stopped scaled Brownian bridge to account for non-convergence of the basis at maturity. The optimal trading strategies are determined from a utility maximization problem under hyperbolic absolute risk aversion risk preferences. By analyzing the associated Hamilton–Jacobi–Bellman equation, we derive the exact conditions under which the equation admits a solution and solve the utility maximization explicitly. A series of numerical examples are provided to illustrate the optimal strategies and examine the effects of model parameters.
      PubDate: 2019-06-10
       
  • Business-cycle pattern of asset returns: a general equilibrium explanation
    • Abstract: I develop an analytical general-equilibrium model to explain economic sources of business-cycle pattern of aggregate stock market returns. With concave production functions and capital accumulation, a technology shock has a pro-cyclical direct effect and a counter-cyclical indirect effect on expected returns. The indirect effect, reflecting the “feedback” effect of consumers’ behavior on asset returns, dominates the direct effect and causes counter-cyclical variations of expected returns. I show that the conditional mean, volatility, and Sharpe ratios of asset returns all vary counter-cyclically and they are persistent and predictable, and that stock market behavior has forecasting power for real economic activity.
      PubDate: 2019-06-03
       
  • Implied liquidity risk premia in option markets
    • Abstract: The theory of conic finance replaces the classical one-price model by a two-price model by determining bid and ask prices for future terminal cash flows in a consistent manner. In this framework, we derive closed-form solutions for bid and ask prices of plain vanilla European options, when the density of the log-returns is log-concave. Assuming that log-returns are normally or Laplace distributed, we apply the results to a time-series of real market data and compute an implied liquidity risk premium to describe the bid–ask spread. We compare this approach to the classical attempt of describing the spread by quoting Black–Scholes implied bid and ask volatilities and demonstrate that the new approach characterize liquidity over time significantly better.
      PubDate: 2019-06-01
       
  • Optimal bailouts, bank’s incentive and risk
    • Abstract: We show how the impact of a government bailout in the form of liquidity assistance on the ex ante effort of a representative bank depends on the volatility of its investment. The bank’s investment delivers a cashflow that follows a geometric Brownian motion and the government guarantees the bank’s liabilities. To counter the bank’s expectations of a bailout, the government may choose a tighter liquidity policy when the bank’s effort is not observable. This tighter liquidity induces more prudent ex ante behavior by the bank, but it may have the opposite effect when investment volatility is high. This novel effect arises because the bank could be discouraged to be prudent precisely because the chances of receiving liquidity assistance are low.
      PubDate: 2019-05-15
       
  • Correlation and coordination risk
    • Abstract: We study the potential role of correlated refinancing abilities among different countries for the disruption of government bond markets in a currency union. Following Morris and Shin (Eur Econ Rev 48(1):133–153, 2004) we use a global games framework and model the simultaneous investment decision into two assets, which are subject to correlated fundamental states, as a coordination problem with correlated imperfect information. Based on this model we evaluate the role of information about one country for the coordination of creditors of another country. We find, however, that the contagious effects on the price of debt precipitated through correlation are modest. Hence, assuming that investors behave as modeled in the global game, we conclude that correlated fundamentals that precipitate informational spillovers appear to be unlikely to play a major role for e.g. the disruption of some Eurozone government bond markets in the aftermath of the recent financial and economic crisis.
      PubDate: 2019-04-09
       
  • The role of household debt and delinquency decisions in consumption-based
           asset pricing
    • Authors: Paulo Rogério Faustino Matos
      Abstract: I incorporate household debt and delinquency decisions into a standard model of lifecycle consumption-saving-investment. I also impose a punishment to the delinquent behavior by assuming that the percentage of endowment available is a linear function of the default decision. Theoretically such additional investor decisions are playing a relevant role in terms of completing markets. In practice, it enables me to derive an extended system of Euler equations which does not alter consumption-based fundamental asset pricing equation. It imposes the pricing kernel to account jointly for two additional first-order conditions. I perform empirical exercises aiming to price equity premium in United States from 1987:1 to 2018:1. I find significant elasticity of intertemporal substitution in consumption of the representative agent ranging from 0.24 to 0.55 and risk aversion from 1.82 to 3.51. This approach is also useful to account for the cross-section behavior of domestic assets. I can also use this framework to draw bounds for the household decisions on loan and delinquency and to propose a new rule of thumb relating preferences parameters and credit variables.
      PubDate: 2019-02-19
      DOI: 10.1007/s10436-019-00344-1
       
  • Relative performance concerns among investment managers
    • Authors: Mark Whitmeyer
      Abstract: This paper examines the strategic interaction of n portfolio managers with relative performance concerns. We characterize the unique constant Nash equilibrium and derive some compelling results. Surprisingly, in equilibrium, more risk tolerant players do not generally take riskier positions than less risk tolerant players. We derive sufficient conditions under which this relation does hold. We also examine the effects of adding new players to the game on the equilibrium, and look at the equilibrium in the limiting case as the number of players goes to infinity. We show that for a symmetric population, the equilibrium strategy of the players converges pointwise to some limiting equilibrium policy.
      PubDate: 2019-02-07
      DOI: 10.1007/s10436-019-00343-2
       
  • Cash flows risk, capital structure, and corporate bond yields
    • Authors: Berardino Palazzo
      Abstract: This paper explores the effects of a firm’s cash flow systematic risk on its optimal capital structure. In a model where firms are allowed to borrow resources from a competitive lending sector, those with cash flows more correlated with the aggregate economy (i.e., firms with riskier assets in place) choose a lower leverage given their higher expected financing costs. On the other hand, less risky firms, having lower expected financing costs, optimally choose to issue more debt to exploit a tax advantage. The model predicts that cash flow systematic risk is negatively correlated with leverage and corporate bond yields.
      PubDate: 2019-01-07
      DOI: 10.1007/s10436-018-00342-9
       
  • Change point dynamics for financial data: an indexed Markov chain approach
    • Authors: Guglielmo D’Amico; Ada Lika; Filippo Petroni
      Abstract: This paper uses an Indexed Markov Chain to model high frequency price returns of quoted rms. Introducing an Index process permits consideration of endogenous market volatility, and two important stylized facts of financial time series can be taken into account: long memory and volatility clustering. This paper rst proposes a method to optimally determine the state space of the Index process, which is based on a change-point approach for Markov chains. Furthermore, we provide an explicit formula for the probability distribution function of the rst change of state of the Index process. Results are illustrated with an application to intra-day firm prices.
      PubDate: 2018-10-13
      DOI: 10.1007/s10436-018-0337-0
       
  • Extreme-strike asymptotics for general Gaussian stochastic volatility
           models
    • Authors: Archil Gulisashvili; Frederi Viens; Xin Zhang
      Abstract: We consider a stochastic volatility asset price model in which the volatility is the absolute value of a continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen–Loève expansion for the integrated variance, and using sharp estimates of the density of a general second-chaos variable, we derive asymptotics for the asset price density for large or small values of the variable, and study the wing behavior of the implied volatility in these models. Our main result provides explicit expressions for the first three terms in the expansion of the implied volatility, based on three basic spectral-type statistics of the Gaussian process: the top eigenvalue of its covariance operator, the multiplicity of this eigenvalue, and the \(L^{2}\) norm of the projection of the mean function on the top eigenspace. Numerical illustrations using the Stein–Stein and fractional Stein–Stein models are presented, including strategies for parameter calibration.
      PubDate: 2018-10-01
      DOI: 10.1007/s10436-018-0338-z
       
  • A switching self-exciting jump diffusion process for stock prices
    • Authors: Donatien Hainaut; Franck Moraux
      Abstract: This study proposes a new Markov switching process with clustering effects. In this approach, a hidden Markov chain with a finite number of states modulates the parameters of a self-excited jump process combined to a geometric Brownian motion. Each regime corresponds to a particular economic cycle determining the expected return, the diffusion coefficient and the long-run frequency of clustered jumps. We study first the theoretical properties of this process and we propose a sequential Monte-Carlo method to filter the hidden state variables. We next develop a Markov Chain Monte-Carlo procedure to fit the model to the S&P 500. We find that self-exciting jumps occur mainly during economic recession and nearly disappear in periods of economic growth. Finally, we analyse the impact of such a jump clustering on implied volatilities of European options.
      PubDate: 2018-09-29
      DOI: 10.1007/s10436-018-0340-5
       
  • Optimal risk-averse timing of an asset sale: trending versus
           mean-reverting price dynamics
    • Authors: Tim Leung; Zheng Wang
      Abstract: This paper studies the optimal risk-averse timing to sell a risky asset. The investor’s risk preference is described by the exponential, power, or log utility. Two stochastic models are considered for the asset price— the geometric Brownian motion and exponential Ornstein–Uhlenbeck models—to account for, respectively, the trending and mean-reverting price dynamics. In all cases, we derive the optimal thresholds and certainty equivalents to sell the asset, and compare them across models and utilities, with emphasis on their dependence on asset price, risk aversion, and quantity. We find that the timing option may render the investor’s value function and certainty equivalent non-concave in price. Numerical results are provided to illustrate the investor’s strategies and the premium associated with optimally timing to sell.
      PubDate: 2018-09-11
      DOI: 10.1007/s10436-018-0336-1
       
  • Endogenous heterogeneity in duopoly with deterministic one-way spillovers
    • Authors: Adriana Gama; Isabelle Maret; Virginie Masson
      Abstract: This paper examines the standard symmetric two-period R&D duopoly model, but with a deterministic one-way spillover structure. Though the two firms are ex-ante identical, one obtains a unique pair of asymmetric equilibria of R&D investments, leading to inter-firm heterogeneity in the industry, in R&D roles as well as in unit costs. We analyze the impact of a change in the spillover parameter and R&D costs on firms’ levels of R&D and profits. We find that higher spillovers need not lead to lower R&D investments for both firms. In addition, equilibrium profits may improve due to the presence of spillovers, and it may be advantageous to be the R&D imitator rather than the R&D innovator.
      PubDate: 2018-08-21
      DOI: 10.1007/s10436-018-0329-0
       
 
 
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