Search Results - isPartOf:"Working Papers"

Optimal consumption and portfolio choice with no-borrowing constraint in the Kim-Omberg model

Ferrari, Giorgio; Schütz, Tim Niclas - 2026

In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg model, the stochastic factor represents the excess return...

Persistent link: https://www.econbiz.de/10015609775

History-dependent preferences : an axiomatic perspective

Dolgopolov, Arthur; Karos, Dominik; Lehrer, Ehud - 2026

This paper develops an axiomatic framework for decision making when preferences depend not only on the current alternative but also on the past frequency with which alternatives have been chosen. We identify key independence axioms that characterize frequency-dependent preferences. In addition,...

Persistent link: https://www.econbiz.de/10015594797

Symmetry groups of Cephoids : part 1, Square Cephoids

Rosenmüller, Joachim - 2026

We continue the analysis of Cephoids. A Cephoid is a Minkowski sum of finitely many standardized simplices ("deGua simplices''). Pareto faces of a Cephoid are maximal polyhedra facing "outward''. A Pareto face consists of an algebraic sum of subsimplices of the deGua Simplices involved, the...

Persistent link: https://www.econbiz.de/10015594839

Fat-tailed distribution under the smooth ambiguity model

Osei, Prince - 2026

We study the ambiguity-adjusted return distribution induced by an investor with smooth ambiguity preferences 'a la Klibano! et al. (2005), who faces uncertainty about the variance of asset returns. The variance uncertainty is modeled using a gamma distribution, a second-order prior over the...

Persistent link: https://www.econbiz.de/10015594918

Calling the price or making the call? : role preferences in Texas shootout clauses

Bauch, Gerrit Manfred; Müller, Lars - 2026

We analyze Texas Shootout clauses within an independent private values framework and characterize shareholders' preferences over proposer and chooser roles. While the mechanism can generate efficiency gains relative to the status quo, asymmetries in role payoffs may deter shareholders from...

Persistent link: https://www.econbiz.de/10015588330

Symmetric expected utility

Preker, Jurek - 2026

We investigate and axiomatize preferences that display indifference between deterministic states, but exhibit strict orderings over lotteries over these states. Such preferences might be due to the ability to adopt to states, or a (dis)taste for uncertainty. We derive a representation theorem...

Persistent link: https://www.econbiz.de/10015588344

Asymptotics of ruin probabilities in a subordinated Cramér-Lundberg model

Klinge, Jonathan; Schmeck, Maren Diane - 2026

We study a dynamic model of a non-life insurance portfolio. The foundation of the model is a compound Poisson process that represents the claims side of the insurer. To introduce clusters of claims appearing, e.g. with catastrophic events, this process is time-changed by a Lévy subordinator....

Persistent link: https://www.econbiz.de/10015606080

Welfare effects of a concealed information exchange

Müller, Lars; Karos, Dominik - 2025

This paper analyzes the welfare effects of private and unilateral disclosure of sensitive information in a sequential bargaining context. We consider a model where two sellers each propose a take-it-or-leave-it price for a homogeneous good to a single buyer. The buyer accepts or rejects the...

Persistent link: https://www.econbiz.de/10015373807

Hoping for the best while preparing for the worst in the face of uncertainty : a new typemof incomplete preferences

Bardier, Pierre; Bach Dong Xuan; Nguyen, Van-Quy - 2025

We propose and axiomatize a new model of incomplete preferences under uncertainty, which we call hope-and-prepare preferences. An act is considered more desirable than another when, and only when, both an optimistic evaluation, computed as the welfare level attained in a best-case scenario, and...

Persistent link: https://www.econbiz.de/10015210350

Belief-neutral efficiency in financial markets

Beißner, Patrick; Riedel, Frank - 2025

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk-sharing motives. We demonstrate that such unwarranted betting behavior in market equilibrium can be mitigated by introducing nonlinear pricing for ambiguous contracts, without...

Persistent link: https://www.econbiz.de/10015272951