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What Is the Best Risk Measure in Practice? A Comparison of Standard Measures
Emmer, Suzanne; Kratz, Marie; Tasche, Dirk - HAL - 2013
Expected Shortfall (ES) has been widely accepted as a risk measure that is conceptually superior to Value-at-Risk (VaR … desirable properties of risk measures like coherence, comonotonic additivity, robustness and elicitability. We check VaR, ES and … their impact on capital allocation, an important issue in risk management. We find that, despite the caveats that apply to …
Persistent link: https://www.econbiz.de/10010821003
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Loss-Based Risk Measures
Cont, Rama; Deguest, Romain; He, Xuedong - HAL - 2011
Starting from the requirement that risk measures of financial portfolios should be based on their losses, not their … gains, we define the notion of loss-based risk measure and study the properties of this class of risk measures. We … characterize loss-based risk measures by a representation theorem and give examples of such risk measures. We then discuss the …
Persistent link: https://www.econbiz.de/10009328156
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The Attitude Toward Probabilities of Portfolio Managers : an Experimental Study
Roux, Nicolas - HAL - 2008
This paper proposes an experiment about the attitude toward probabilities on a population of portfolio managers. Its aim is to check whether or not portfolio managers are neutral toward probabilities. Meanwhile, it presents a experimental protocole that highlights an inconsistency between two...
Persistent link: https://www.econbiz.de/10010738619
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Valuing life: experimental evidence using sensitivity to rare events
Chanel, Olivier; Chichilnisky, Graciela - HAL - 2011
Global environmental phenomena like climate change, major extinction events or flutype pandemics can have catastrophic consequences. By properly assessing the outcomes involved - especially those concerning human life - economic theory of choice under uncertainty is expected to help people take...
Persistent link: https://www.econbiz.de/10009645480
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Solving the Yitzhaki Paradox: Income Tax Evasion and Reference Dependence under Prospect Theory
Trotin, Gwenola - HAL - 2012
is increasing in the tax rate as soon as a suitable relative risk aversion measure is larger with auditing, than without …
Persistent link: https://www.econbiz.de/10010933897
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Prospect Theory and consumer behavior: Goals and Tradeoffs
Buisson, Florent - HAL - 2013
I show that a loss averse consumer who must share her budget between two goods prefer allocations for which consumption equals reference point for at least one good. The phenomenon intensity depends on the curvature of the utility curve. These results are consistent with several stylized facts...
Persistent link: https://www.econbiz.de/10011026068
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Aspiration Levels and Educational Choices : An experimental study
Page, Lionel; Lévy-Garboua, Louis; Montmarquette, Claude - HAL - 2007
The explanation of social inequalities in education is still a debated issue in economics. Recent empirical studies tend to downplay the potential role of credit constraint. This article tests a different potential explanation of social inequalities in education, specifically that social...
Persistent link: https://www.econbiz.de/10010750819
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From welfare to preferences, do decision flaws matter? The case of tuition fees
Lecouteux, Guilhem; Moulin, Léonard - HAL - 2013
We investigate the relation between welfare and preference satisfaction in economics, and show that the extension of the scope of economic analysis through the 20th century forces economists to question the validity of the preference satisfaction criterion as a normative criterion for evaluating...
Persistent link: https://www.econbiz.de/10010633780
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Loss Aversion and Seller Behavior: Evidence from the Housing Market: Comment Working Paper
Buisson, Florent - HAL - 2013
In an often quoted article, Genesove and Mayer (2001) observe that house sellers are reluctant to sell at a loss, and attribute this finding to loss aversion. I show that loss aversion cannot explain this phenomenon.
Persistent link: https://www.econbiz.de/10010635268
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Stochastic Dominance of Any Type and Any Degree, and Expected Utility: A Unifying Approach
Lapidus, André - HAL - 2013
This paper provides a general framework for a unifying treatment of stochastic dominance of any degree and of any type (direct or inverse for each final or intermediary level). It gives the conditions for the congruence between stochastic dominance and classes of utility functions in this...
Persistent link: https://www.econbiz.de/10010821246