Least-Squares Prices of Games
| dc.creator | Hirashita, Yukio | |
| dc.date | 2007-03-04 | |
| dc.date | 2008-04-05 | |
| dc.date.accessioned | 2026-07-07T12:07:23Z | |
| dc.date.available | 2026-07-07T12:07:23Z | |
| dc.description | What are the prices of random variables? In this paper, we define the least-squares prices of coin-flipping games, which are proved to be minimal, positive linear, and arbitrage-free. These prices depend both on a set of games that are available for investing simultaneously and on a risk-free interest rate. In addition, we show a case where the mean-variance portfolio theory is inappropriate. | |
| dc.description | 6 pages. We added Remarks 3.5 and 3.6. We revised Remark 3.6 | |
| dc.identifier | https://arxiv.org/abs/math/0703079 | |
| dc.identifier | http://arxiv.org/abs/math/0703079 | |
| dc.identifier | International Journal of Applied Mathematics & Statistics 13 (2008), 3-8. | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/208952 | |
| dc.subject | Optimization and Control | |
| dc.subject | Statistical Finance | |
| dc.subject | 91B24 (Primary); 91B28 (Secondary) | |
| dc.title | Least-Squares Prices of Games | |
| dc.type | text |