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Acturial Adjustment Aspects of Public Pension Schemes

Galuscak, Kamil - EconWPA - 2001

.S. pension scheme, that discounting plays a crucial role, since the formula for the present discounted value of future retirement … at least 25% greater than it is in the case when discounting is neglected. Moreover when accouting for risk aversion …

Persistent link: https://www.econbiz.de/10005408311

Evolution as Learning Yields Hyperbolic Discounting

Woods, James - EconWPA - 2003

decrease, known as hyperbolic discounting, is consistent with what is observed in psychology studies, while the limiting case …, exponential discounting, is consistent with market level observations. This model closes the gap between individual and market … level observations of discounting behavior without explicitly assuming the two kinds of discounting nor relying on …

Persistent link: https://www.econbiz.de/10005125641

A More Realistic Endogenous Time Preference Model and the Slump in Japan

Harashima, Taiji - EconWPA - 2004

This paper presents a more realistic endogenous time preference model, incorporating the property that impatience decreases as consumption increases. The model overcomes a serious drawback of the existing model, which needs the assumption of increasing impatience. The new model is applied to the...

Persistent link: https://www.econbiz.de/10005076835

Discount factors ex post and ex ante, and discounted utility anomalies

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

The real options approach is used to explain discounted utility anomalies as artifacts of the optimizing behavior of an individual with standard preferences, who perceives the utility from consumption in the future as uncertain. For this ndividual, waiting is valuable because uncertainty is...

Persistent link: https://www.econbiz.de/10005135039

A theory of endogenous time preference, and discounted utility anomalies

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

We explain essentially all known discounted utility anomalies as artefacts of the optimizing behavior of an individual with a time- separable utility function, who perceives a good as a source of a stochastic consumption stream, and believes that she can wait for an optimal moment to buy or sell...

Persistent link: https://www.econbiz.de/10005135046

Chow's Method of Optimal Control: A Numerical Solution

Chow, Gregory C.; Kwan, Yum K. - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005126079

The Discounted Economic Stock of Money with VAR Forecasting

Barnett, William; Chae, Unja; Keating, John - EconWPA - 2005

money by discounting to present value the flow of expected expenditure on the services of monetary assets, where expenditure …

Persistent link: https://www.econbiz.de/10005412591

Introducing a scale of market shocks

Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004

Two 'event' scales for financial markets, called 'scale of market shocks' (SMS), are introduced, which measure the importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset volatilities over time horizons that range from 1...

Persistent link: https://www.econbiz.de/10005076995

Measuring the Degree of Efficiency of Financial Market

Los, Cornelis - EconWPA - 2004

market risk is needed. This new risk concept should allow for the measurement of the degree of market efficiency, which is …

Persistent link: https://www.econbiz.de/10005561619

Measuring and Analyzing Returns on Aggregate Residential Housing

Hasanov, Fuad; Dacy, Douglas - EconWPA - 2005

This paper computes an aggregate real after-tax rate of return on residential real estate in the United States. We account for net rental income, capital gain, and subsidies due to tax provisions for homeowners in constructing a total return measure. We also compute separate returns to owners...

Persistent link: https://www.econbiz.de/10005561628