3 papers
q-fin.MF2016
Who would invest only in the risk-free asset?
Nuno Azevedo, Diogo Pinheiro, Stylianos Xanthopoulos +1
Within the setup of continuous-time semimartingale financial markets, we show that a multiprior Gilboa-Schmeidler minimax expected utility maximizer forms a portfolio consisting on…
q-fin.TR2011
A projected gradient dynamical system modeling the dynamics of bargaining
D. Pinheiro, A. A. Pinto, S. Z. Xanthopoulos +1
We propose a projected gradient dynamical system as a model for a bargaining scheme for an asset for which the two interested agents have personal valuations which do not initially…
q-fin.PR2009
Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
Lampros Boukas, Diogo Pinheiro, Alberto Pinto +2
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the…