Search Results - subject:"Utility function"

Ranking Opportunity Sets, Indirect Utility and Indifferences

Potoms, Tom - 2012

We characterize a new quasi-ordering on the collection of opportunity (or choice) sets. This new rule combines two criteria: the individual preferences on the universal set of options and the number of maximal options in the opportunity set. This new rule is compared with the indirect utility...

Persistent link: https://www.econbiz.de/10013099607

An Alternative Explanation for the Variation in Reported Estimates of Risk Aversion

Conniffe, Denis - 2012

There is a large literature estimating Arrow-Pratt coefficients of absolute and relative risk aversion. A striking feature of this literature is the very wide variation in the reported estimates of the coefficients. While there are often legitimate reasons for these differences in the estimates,...

Persistent link: https://www.econbiz.de/10013099686

Risk Premia : Short and Long-Term

Khrapov, Stanislav - 2012

Hansen (2011) considers risks associated with cash flows at alternative horizons. He shows that in the long run many investor preference specifications do not imply risk premia substantially different from those implied by simple expected utility model. The main result of this paper is that the...

Persistent link: https://www.econbiz.de/10013112187

Time-Additive Consumption-Wealth Utility

Ingersoll, Jonathan E. - 2012

This paper presents a new model of time-additive consumption-wealth utility. Like recursive utility, this model separates the roles of risk aversion and the intertemporal elasticity of consumption allowing it to be calibrated to a wider variety of data. Indeed, the observed equity premium and...

Persistent link: https://www.econbiz.de/10013114248

Additive Representation for Preferences Over Menus in Finite Choice Settings

Gorno, Leandro - 2012

This paper proves that the additive representation of Dekel-Lipman-Rustichini (2001) is consistent with any preference relation among the deterministic alternatives in their model. The result yields an additive representation which relaxes both the monotonicity and ordinal sub-modularity axioms...

Persistent link: https://www.econbiz.de/10014186346

A Modified Structural Model for Credit Risk : Utility Indifference Valuation

Liang, Gechun; Jiang, Lishang - 2012

This paper modifies the classical structural models for credit risk by embedding them into the framework of optimal portfolio problems in an incomplete market. The price of corporate bonds is derived based on the indifference between the investor's two utility maximization problems. Besides the...

Persistent link: https://www.econbiz.de/10014207930

The Logic of Backward Induction

Arieli, Itai; Aumann, Robert J. - 2012

In [1], it was shown that in games of perfect information, common knowledge of rationality entails that the backward induction outcome is reached, and is consistent (for short, entails BI). That work has been criticized because it assumes that a player chooses rationally at all his nodes, even...

Persistent link: https://www.econbiz.de/10014166459

Risk Aversion in the Nash Bargaining Problem with ISHARA Utility Functions

Li, Sanxi; Yan, Jianye; Sun, Hailin - 2012

We apply the aggregation property of Identical Shape Harmonic Absolute Risk Aversion (ISHARA) utility functions to analyze the comparative statics properties of a bargaining model with uncertainty. We identify sufficient and necessary conditions under which an increase in one's degree of risk...

Persistent link: https://www.econbiz.de/10014170653

Beauty is a Beast, Frog is a Prince : Assortative Matching with Nontransferabilities

Legros, Patrick; Newman, Andrew F. - 2012

We present sufficient conditions for monotone matching in environments where utility is not fully transferable between partners. These conditions involve not only complementarity in types of the total payoff to a match, as in the transferable utility case, but also monotonicity in type of the...

Persistent link: https://www.econbiz.de/10014171393

Evolution of Public Cooperation on Interdependent Networks : The Impact of Biased Utility Functions

Wang, Zhen; Szolnoki, Attila; Perc, Matjaz - 2012

that the stronger the bias in the utility function, the higher the level of public cooperation. Yet the benefits of …We study the evolution of public cooperation on two interdependent networks that are connected by means of a utility … function, which determines to what extent payoffs in one network influence the success of players in the other network. We find …

Persistent link: https://www.econbiz.de/10014173107