China A-Shares: Strategic Allocation to Market and Factor Premiums

a benchmarking approach to optimal asset allocation for insurers and pension funds

uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...

Optimal Market-based Multi-Robot Task Allocation via Strategic Pricing

Auction and market-based mechanisms are among the most popular methods for distributed task allocation in multirobot systems. Most of these mechanisms were designed in a heuristic way and analysis of the quality of the resulting assignment solution is rare. This paper presents a new market-based multi-robot task allocation algorithm that produces optimal assignments. Rather than adopting a buye...

Strategic Allocation to Return Factors

A Theory of Factor Shares∗

This paper presents a theory of how factor shares are determined. I first develop microfoundations for a unified aggregate production function that incorporates a frictional process of matching workers and firms. Firms with productivities drawn from a Pareto distribution hire capital and compete for workers. Wages are determined by Bertrand competition. In contrast with Houthakker’s classic res...

a study on rate making and required reserves determination in reinsurance market: a simulation

reinsurance is widely recognized as an important instrument in the capital management of an insurance company as well as its risk management tool. this thesis is intended to determine premium rates for different types of reinsurance policies. also, given the fact that the reinsurance coverage of every company depends upon its reserves, so different types of reserves and the method of their calc...