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How Often Should you Open the Door? Optimal Monitoring to Screen Heterogeneous Agents

Ichino, Andrea; Muehlheusser, Gerd - C.E.P.R. Discussion Papers - 2004

This Paper shows that over monitoring a partner in the initial phase of a relationship may not be optimal if the goal is to determine loyalty and if the cost of ending the relationship increases over time. This intuition is simple: by monitoring too much we lose the opportunity to learn how the...

Persistent link: https://www.econbiz.de/10005504367

Individual Risk Attitudes: New Evidence from a Large, Representative, Experimentally-Validated Survey

Dohmen, Thomas J; Falk, Armin; Huffman, David; Schupp, … - C.E.P.R. Discussion Papers - 2006

This paper presents new evidence on the distribution of risk attitudes in the population, using a novel set of survey questions and a representative sample of roughly 22,000 individuals living in Germany. Using a question that asks about willingness to take risks in general, on an 11-point...

Persistent link: https://www.econbiz.de/10005123605

Model Misspecification and Under-Diversification

Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2002

asset returns. Our contribution is to develop a framework that allows for ambiguity about the joint distribution of returns … for all stocks being considered for the portfolio, and also for different levels of ambiguity for the marginal … international equity returns. The calibration shows that when the overall ambiguity about the joint distribution of returns is high …

Persistent link: https://www.econbiz.de/10005504745

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2005

In this paper, we show how an investor can incorporate uncertainty about expected returns when choosing a mean-variance optimal portfolio. In contrast to the Bayesian approach to estimation error, where there is only a single prior and the investor is neutral to uncertainty, we consider the case...

Persistent link: https://www.econbiz.de/10005791415

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2005

Persistent link: https://www.econbiz.de/10005124485

Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification

Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2010

assets - and Markowitz - who advocates diversification across assets. We rely on the concepts of ambiguity and ambiguity … degree of ambiguity across assets, and (ii) the standard deviation of the estimate of expected return on each asset. If the … standard deviation of the expected return estimate and the difference between the ambiguity about familiar and unfamiliar …

Persistent link: https://www.econbiz.de/10008468537

Belief in a Just World and Redistributive Politics

Bénabou, Roland; Tirole, Jean - C.E.P.R. Discussion Papers - 2005

maintain, and pass on to their children, a view of the world where effort ultimately pays off and everyone gets their just …, ‘European’ equilibrium is characterized by more pessimism about the role of effort in economic outcomes and a more extensive …

Persistent link: https://www.econbiz.de/10005504312

Relating Output and Volatility in a Model of International Risk-Sharing with Limited Commitment

Reichlin, Pietro - C.E.P.R. Discussion Papers - 2006

I study the constrained efficient allocations of a simple model of risk sharing and capital flows across countries assuming that each country cannot commit to fully repay its contract obligations. In the model, the degree of risk sharing and the amount of investment are interdependent. It is...

Persistent link: https://www.econbiz.de/10005504378

On Robust Constitution Design

Auriol, Emmanuelle; Gary-Bobo, Robert J. - C.E.P.R. Discussion Papers - 2002

We study a class of representation mechanisms, based on reports made by a random subset of agents, called representatives, in a collective choice problem with quasi-linear utilities. We do not assume the existence of a common prior probability describing the distribution of preference types. In...

Persistent link: https://www.econbiz.de/10005504542

Liability for Past Environmental Contamination and Privatization

Earnhart, Dietrich - C.E.P.R. Discussion Papers - 2000

This paper examines the role of liability for past environmental contamination in the privatization processes of Central and Eastern Europe. The theoretical section establishes a link between a risk-averse investor’s amount of information regarding the extent of past environmental...

Persistent link: https://www.econbiz.de/10005504606