Asset Price Bubble under Behaviroral Finance Theory: Based on Log-Periodic Power Law Model

mortality forecasting based on lee-carter model

over the past decades a number of approaches have been applied for forecasting mortality. in 1992, a new method for long-run forecast of the level and age pattern of mortality was published by lee and carter. this method was welcomed by many authors so it was extended through a wider class of generalized, parametric and nonlinear model. this model represents one of the most influential recent d...

Optimal Mean-variance Robust Hedging under Asset Price Model Misspecification

The problem of constructing robust optimal in the mean-variance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal mean-variance robust trading strategies are constructed for one-dimensional diffusion models with misspecified volatility. 20...

Learning by Doing: Asset Price Bubble Formation with Heterogeneous Agents

In this paper we study the accruement and decay of asset price bubbles under the assumption that young agents behave boundedly rationally when rst entering the market and then gain more and more experience when growing older, nally reaching a state of perfect rational behavior. We set up an overlapping generations model where agents form their beliefs about the payo of a risky asset by combinin...

The Japanese Asset Price Bubble : A „ Heterogeneous ‟ Approach

price theory

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