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Record W2020101408 · doi:10.1155/2014/408685

A Multiperiod Equilibrium Pricing Model

2014· article· en· W2020101408 on OpenAlex

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.
fundA Canadian funder is recorded on the work.

Bibliographic record

VenueJournal of Applied Mathematics · 2014
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicEconomic theories and models
Canadian institutionsMcMaster University
FundersNatural Sciences and Engineering Research Council of CanadaMitacsNational Natural Science Foundation of China
KeywordsEconomicsSubgame perfect equilibriumCapital asset pricing modelMarket clearingAsset (computer security)Derivative (finance)Mathematical economicsExponential utilityEconometricsRisk aversion (psychology)MicroeconomicsNash equilibriumExpected utility hypothesisFinancial economicsComputer science

Abstract

fetched live from OpenAlex

We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative) written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.001
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesnone
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: Theoretical or conceptual
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.477
Threshold uncertainty score0.520

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0010.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0000.000
Science and technology studies0.0000.000
Scholarly communication0.0000.000
Open science0.0000.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.027
GPT teacher head0.208
Teacher spread0.181 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it