Risk aversion in game theory is usually modeled using expected utility, which was criticized early on, leading to an extensive literature on generalized expected utility. In this paper we are the first to apply μ-σ theory to the analysis of (static) games. μ-σ theory is widely...

Risk aversion in game theory is usually modeled using expected utility, which was criticized early on, leading to an extensive literature on generalized expected utility. In this paper we are the first to apply μ-σ theory to the analysis of (static) games. μ-σ theory is widely accepted in...

Share prices fluctuate far more than dividends. In contemporary lit- erature, this excess volatility is usually discussed involving the Camp- bell-Shiller present value identity. In our view, it is more appropriate to model future dividends and prices explicitly as random variables. We refer to...

It has long been known in the literature how to include income taxes in the valuation of companies. These taxes can be neutral and therefore do not influence the company value, provided certain conditions are met; essentially, a firm's cash flows have to be taxed the same way as those of a...

It is well-known that stock prices fluctuate far more than dividends. Traditional valuation methods are not able to depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive cash flows process with random coefficients. We show that...

It is well-known that stock prices fluctuate far more than dividends. Traditional valuation methods are not able to depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive cash flows process with random coefficients. We show that...

Incorporating a progressive or convex income tax into valuation problems raises the question of the appropriate tax rate to use in common valuation formulas. We apply arbitrage theory in a riskless, as well as risky, (multi-period) economy to answer this question. It turns out that the...

There is still considerable dispute about the magnitude of labor supply elasticities. While differences in estimates especially between micro and macro models are recently attributed to frictions and adjustment costs, we show that the variation in elasticities derived from structural labor...

There is still considerable dispute about the magnitude of labor supply elasticities. While differences in estimates especially between micro and macro models are recently attributed to frictions and adjustment costs, we show that the variation in elasticities derived from structural labor...

Die Zukunftsfähigkeit des gesetzlichen Rentensystems wird durch Familien mit Kindern sichergestellt. Anders als im Steuerrecht existieren in der Sozialversicherung jedoch keine Kinderfreibeträge, sodass Erwerbstätige mit und ohne Kinder die gleichen Rentenversicherungsbeiträge zahlen. Dieser...