Narrow search
Showing 1 - 10 of 261
Cover Image
Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management
Basak, Suleyman; Pavlova, Anna; Shapiro, Alex - C.E.P.R. Discussion Papers - 2005
Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...
Persistent link: https://www.econbiz.de/10005666418
Cover Image
Optimal Asset Allocation and Risk Shifting in Money Management
Basak, Suleyman; Pavlova, Anna; Shapiro, Alex - C.E.P.R. Discussion Papers - 2006
Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...
Persistent link: https://www.econbiz.de/10005666676
Cover Image
Market and Technical Risk in R&D
Gerlach, Heiko A.; Rønde, Thomas; Stahl, Konrad - C.E.P.R. Discussion Papers - 2002
We endogenize the market risk (at given technical risk) in firms’ R&D decisions by introducing stochastic R&D in the Hotelling model. It is shown that if the technical risk is sufficiently high, the market risk remains low even if firms pursue similar projects. This leads firms to focus on the...
Persistent link: https://www.econbiz.de/10005504272
Cover Image
Testing for Reference Dependence: An Application to the Art Market
Beggs, Alan; Graddy, Kathryn - C.E.P.R. Discussion Papers - 2005
This paper tests for reference dependence, using data from Impressionist and Contemporary Art auctions. We distinguish reference dependence based on ‘rule of thumb’ learning from reference dependence based on ‘rational’ learning. Furthermore, we distinguish pure reference dependence from...
Persistent link: https://www.econbiz.de/10005661640
Cover Image
Intermediation in Innovation
Hoppe, Heidrun C.; Ozdenoren, Emre - C.E.P.R. Discussion Papers - 2005
inventions. We find that uncertainty about the profitability of investing in new inventions generates a basis for intermediation …
Persistent link: https://www.econbiz.de/10005498006
Cover Image
Model Misspecification and Under-Diversification
Uppal, Raman; Wang, Tan - C.E.P.R. Discussion Papers - 2002
In this Paper we develop a model of intertemporal portfolio choice where an investor accounts explicitly for the possibility of model misspecification. This work is motivated by the difficulty in estimating precisely the probability law for asset returns. Our contribution is to develop a...
Persistent link: https://www.econbiz.de/10005504745
Cover Image
Uncertainty in Spatial Duopoly with Possibly Asymmetric Distributions: a State Space Approach
Meagher, Kieron J.; Zauner, Klaus G. - Research School of Economics, College of Business and … - 2008
uncertainty as an additive shock to a uniform consumer distribution. The additive shock restricts uncertainty to the mean of the …
Persistent link: https://www.econbiz.de/10004971401
Cover Image
Pill, Patch or Shot? Subjective Expectations and Birth Control Choice
Delavande, Adeline - C.E.P.R. Discussion Papers - 2005
When choosing a contraception method, women base their decisions on their subjective expectations about the realizations of method-related outcomes. Examples of such outcomes include getting pregnant, contracting a sexually transmitted disease (STD) or experiencing side effects. By conducting a...
Persistent link: https://www.econbiz.de/10005791196
Cover Image
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 … investor is neutral to uncertainty, we consider the case where the investor has multiple priors and is averse to uncertainty … model aversion to uncertainty via a minimization over the set of priors. The multi-prior model has several attractive …
Persistent link: https://www.econbiz.de/10005791415
Cover Image
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 … investor is neutral to uncertainty, we consider the case where the investor has multiple priors and is averse to uncertainty … model aversion to uncertainty via a minimization over the set of priors. The multi-prior model has several attractive …
Persistent link: https://www.econbiz.de/10005124485