Similar Search Results

A language for the construction of preferences under uncertainty

LiCalzi, Marco - EconWPA - 2005

This paper studies a target-based procedure to rank lotteries that is normatively and observationally equivalent to the expected utility model. In view of this equivalence, the traditional utility-based language for decision making may be substituted with an alternative target-based language....

Persistent link: https://www.econbiz.de/10005118565

The Pearson system of utility functions

LiCalzi, Marco; Sorato, Annamaria - EconWPA - 2003

by embedding the HARA class in a four-parameter representation for the risk aversion function. The resulting utility …

Persistent link: https://www.econbiz.de/10005118574

Gains and losses: the same or different choices? A “non-ideal” economics approach.

Harin, Alexander - EconWPA - 2005

Ideal economics? A “non-ideal” economics approach has been proposed, which considers the possibility of arrangement infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields of research. The approach application in...

Persistent link: https://www.econbiz.de/10005124942

Coherent Risk Measures and Upper Previsions

Pelessoni, Renato; Vicig, Paolo - EconWPA - 2002

In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (VaR), are studied … from the perspective of the theory of coherent imprecise previsions. We introduce the notion of coherent risk measure … prove that our definition generalizes the notion of coherence for risk measures defined on a linear space of random numbers …

Persistent link: https://www.econbiz.de/10005126107

Risk Measure Pricing and Hedging in Incomplete Markets

Xu, Mingxin - EconWPA - 2004

the risk by a perfect hedging portfolio, partial hedging will be adopted and some residual risk at expiration will be … tolerated. The risk measure (or risk indifference) prices charged for buying or selling an option are associated to the capital … required for dynamic hedging so that the risk exposure will not increase. The associated optimal hedging portfolio is decided …

Persistent link: https://www.econbiz.de/10005134826

Bank Risk-Taking in a Prospect Theory Framework Empirical Investigation in the Emerging Markets’ Case

Godlewski, Christophe - EconWPA - 2004

bank risk-taking behavior. We especially focus on the different valuation of gains and losses relative to a reference point …, and the changing attitude toward risk conditional on the domain (gains vs losses) features (Tversky and Kahneman 1992). We … follow a methodology based on Fiegenbaum and Thomas (1988) and the Fishburn (1977) measure of risk, applied to a sample of …

Persistent link: https://www.econbiz.de/10005413102

Comparison of Mean-Variance theory and Expected-Utility theory through a Laboratory Experiment

Morone, Andrea - EconWPA - 2004

In the 40’s and early 50’ two decision theories were proposed and have since dominated the scene of the fascinating field of decision-making. In 1944 – when von Neumann and Morgenstern showed that if preferences are consistent with a set of axioms then it is possible to represent these...

Persistent link: https://www.econbiz.de/10005408229

Utility based pricing of contingent claims

Gamba, A.; Pellizzari, P. - EconWPA - 1999

In a discrete setting, we develop a model for pricing a contingent claim. Since the presence of hedging opportunities influences the price of a contingent claim, first we introduce the optimal hedging strategy assuming a contingent claim has been issued: a strategy implemented by investing the...

Persistent link: https://www.econbiz.de/10005413221

A Theory of Vague Expected Utility

Manzini, Paola; Mariotti, Marco - EconWPA - 2003

We propose a new theory of choice between lotteries, which combines an 'economic’ view of decision making - based on a rational, though incomplete, ordering - with a 'psychological’ view - based on heuristics. This theory can explain observed violations of EU theory, namely all cyclical...

Persistent link: https://www.econbiz.de/10005118528

Expected utility without utility

Castagnoli, Erio; LiCalzi, Marco - EconWPA - 2005

This paper advances an interpretation of Von Neumann–Morgenstern’s expected utility model for preferences over lotteries which does not require the notion of a cardinal utility over prizes and can be phrased entirely in the language of probability. According to it, the expected utility of a...

Persistent link: https://www.econbiz.de/10005118603