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Institution

Central Economics and Mathematics Institute

FacilityMoscow, Russia
About: Central Economics and Mathematics Institute is a facility organization based out in Moscow, Russia. It is known for research contribution in the topics: Population & Foreign-exchange reserves. The organization has 297 authors who have published 580 publications receiving 6449 citations. The organization is also known as: Federal State Institution of Science Central Economics and Mathematics Institute of the Russian Academy of Sciences.


Papers
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Journal ArticleDOI
01 Nov 2001
TL;DR: In this paper, the reservation price of a contingent claim approaches the super-replication price increased by the liquidation value of the initial endowment, for a strongly risk-averse investor.
Abstract: We consider a multi-asset continuous-time model of a financial market with transaction costs and prove that, for a strongly risk-averse investor, the reservation price of a contingent claim approaches the super-replication price increased by the liquidation value of the initial endowment.

31 citations

Journal ArticleDOI
TL;DR: An approach to solving a mathematical program with variational inequality or nonlinear complementarity constraints is presented, which consists in a variational re-formulation of the optimization criterion and looking for a solution of thus obtained Variational inequality among the points satisfying the initial variational constraints.
Abstract: An approach to solving a mathematical program with variational inequality or nonlinear complementarity constraints is presented. It consists in a variational re-formulation of the optimization criterion and looking for a solution of thus obtained variational inequality among the points satisfying the initial variational constraints.

31 citations

Journal ArticleDOI
TL;DR: The additive clustering approach is applied to the problem of two-mode clustering and compared with the recent error-variance approach and has been shown to have several advantages.
Abstract: The additive clustering approach is applied to the problem of two-mode clustering and compared with the recent error-variance approach of Eckes and Orlik (1993). Although the schemes of the computational algorithms look very similar in both of the approaches, the additive clustering has been shown to have several advantages. Specifically, two technical limitations of the error-variance approach (see Eckes and Orlik 1993, p. 71) have been overcome in the framework of the additive clustering.

30 citations

Journal ArticleDOI
01 Sep 2020
TL;DR: In this paper, the authors examine the problems and factors in the development of ecosystems in the financial sector and related sectors of economy and propose recommendations on activating and regulating the transition from a traditional to an ecosystem economic model.
Abstract: The paper examines the problems and factors in the development of ecosystems in the financial sector and related sectors of economy. It demonstrates the prospects for expanding the population of ecosystems in both the global financial market and the Russian banking system. Special focus is on two main prerequisites for the ecosystem development: digitalization of the entire economy and the emergence of innovative information-communication technologies in the financial sector (fintech). The study aims to juxtapose theoretical concepts and definitions of ecosystem with the real practice in Russia and the prospects for the development of ecosystems in the financial sector in order to produce recommendations on activating and regulating the transition from a traditional to an ecosystem economic model. Methodologically, the research rests on system economic theory, which implies that economy is a field for creating, interacting and developing socio-economic systems of various kinds – object-, process-, project- and environment-based systems. Within the framework of this approach, an ecosystem includes: an organizational component represented by a cluster as an object-based subsystem; infrastructure – an information-technological platform as an environment-based subsystem; communication and logistics component – a network as a process-based subsystem; innovative component – a business incubator as a project-based subsystem. Ecosystems in the financial sector are analyzed for compliance with this requirements. We scrutinize the case of FinTech Association as the most technologically advanced community of banking institutions. The research methods are content analysis, ranking score and logical grouping of research objects. The findings show that it is expedient to create a regulating institution that combines the functions similar to those of the FAS of the RF and the Central Bank of the RF in relation to the ecosystems’ activities.

29 citations

Journal ArticleDOI
TL;DR: It is shown that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value, which is in contrast to the classical no-arbitrage criteria.
Abstract: We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may change its sign. We also give an application to the CAPM.

29 citations


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Performance
Metrics
No. of papers from the Institution in previous years
YearPapers
202310
202215
202139
202051
201942
201831