| Title:
|
Limits of Bayesian decision related quantities of binomial asset price models (English) |
| Author:
|
Stummer, Wolfgang |
| Author:
|
Lao, Wei |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
48 |
| Issue:
|
4 |
| Year:
|
2012 |
| Pages:
|
750-767 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
We study Bayesian decision making based on observations $\left(X_{n,t} : t\in\{0,\frac{T}{n},2\frac{T}{n},\ldots,n\frac{T}{n}\}\right)$ ($T>0, n\in \mathbb{N}$) of the discrete-time price dynamics of a financial asset, when the hypothesis a special $n$-period binomial model and the alternative is a different $n$-period binomial model. As the observation gaps tend to zero (i. e. $n \rightarrow \infty$), we obtain the limits of the corresponding Bayes risk as well as of the related Hellinger integrals and power divergences. Furthermore, we also give an example for the “non-commutativity” between Bayesian statistical and optimal investment decisions. (English) |
| Keyword:
|
Bayesian decisions |
| Keyword:
|
power divergences |
| Keyword:
|
Cox--Ross--Rubinstein binomial asset price models |
| MSC:
|
62C10 |
| MSC:
|
91B25 |
| MSC:
|
94A17 |
| idMR:
|
MR3013397 |
| . |
| Date available:
|
2012-11-10T22:06:52Z |
| Last updated:
|
2013-09-24 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/143058 |
| . |
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