Search Results - subject:"Time inconsistent"

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Accelerated Investment and Credit Risk under a Low Interest Rate Environment: A Real Options Approach

Yamada, Tetsuya - In: Monetary and Economic Studies 28 (2010) November, pp. 181-214

Empirical studies have found that a low interest rate environment accelerates firmsf investment and debt financing, leading to subsequent balance-sheet problems in many countries in recent years. We examine the mechanism whereby firmsf debt financing and investment become more accelerated and...

Persistent link: https://www.econbiz.de/10010754443

Non-constant discounting and AK-type growth models

Cabo García, Francisco José; Martín Herrán, Guiomar; … - In: Economics letters 131 (2015), pp. 54-58

Persistent link: https://www.econbiz.de/10011422613

Optimal dividend strategies with time-inconsistent preferences

Chen, Shumin; Li, Zhongfei; Zeng, Yan - In: Journal of Economic Dynamics and Control 46 (2014) C, pp. 150-172

This paper studies the optimal dividend strategies of an insurance company when the manager has time-inconsistent … strategies when claim sizes follow an exponential distribution. Our results show that the manager with time-inconsistent …

Persistent link: https://www.econbiz.de/10010906777

Discounting the Distant Future: An Experimental Investigation

Grijalva, Therese; Lusk, Jayson; Shaw, W. - In: Environmental & Resource Economics 59 (2014) 1, pp. 39-63

We use a laboratory experiment to elicit discount rates over a 20-year time horizon using government savings bonds as a payment vehicle. When using a constant (exponential) discount rate function, we find an implied average discount rate of 4.9 %, which is much lower than has been found in...

Persistent link: https://www.econbiz.de/10010987561

Time-inconsistent investment, financial constraints, and cash flow hedging

Lien, Donald; Yu, Chia-Feng - In: International Review of Financial Analysis 35 (2014) C, pp. 72-79

time-inconsistent preferences. We show that cash flow hedging acts as a double-edged sword. In some cases, cash flow …

Persistent link: https://www.econbiz.de/10011077789

A theory of Markovian time-inconsistent stochastic control in discrete time

Björk, Tomas; Murgoci, Agatha - In: Finance and Stochastics 18 (2014) 3, pp. 545-592

ways, are time-inconsistent in the sense that they do not admit a Bellman optimality principle. We attack these problems by … value function. Most known examples of time-inconsistent stochastic control problems in the literature are easily seen to be … special cases of the present theory. We also prove that for every time-inconsistent problem, there exists an associated time …

Persistent link: https://www.econbiz.de/10010997050

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230

A theory of Markovian time-inconsistent stochastic control in discrete time

Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592

Persistent link: https://www.econbiz.de/10010396002

Discounting the distant future : an experimental investigation

Grijalva, Therese C.; Lusk, Jayson L.; Shaw, William D. - In: Environmental & resource economics : the official … 59 (2014) 1, pp. 39-63

Persistent link: https://www.econbiz.de/10010442956

Optimal dividend strategies with time-inconsistent preferences

Chen, Shumin; Li, Zhongfei; Zeng, Yan - In: Journal of economic dynamics & control 46 (2014), pp. 150-172

Persistent link: https://www.econbiz.de/10010474399