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Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition

Zhao, Lin; Wijnbergen, Sweder van - 2014

We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by...

Persistent link: https://www.econbiz.de/10010465169

Starting an R&D project under uncertainty

Dobbelaere, Sabien; Luttens, Roland Iwan; Peters, Bettina - 2010

We study a two-stage R&D project with an abandonment option. Two types of uncertainty influence the decision to start R …&D. Demand uncertainty is modelled as a lottery between a proportional increase and decrease in demand. Technical uncertainty is … modelled as a lottery between a decrease and increase in the cost to continue R&D. We relate differences in uncertainty to …

Persistent link: https://www.econbiz.de/10011378299

Educational choice, initial wage and wage growth

Mazza, Jacopo; Ophem, Hans van - 2020

We investigate the major choice of college graduates where we make choice dependent on expected initial wages and expected wage growth per major. We build a model that allows us to estimate these factors semiparametrically and that corrects for selection bias. We estimate the model on the...

Persistent link: https://www.econbiz.de/10012228687

Risk aversion under preference uncertainty

Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010

their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

Persistent link: https://www.econbiz.de/10011382430

Errors in judicial decisions

Sonnemans, Joep; Dijk, Frans van - 2008

In criminal cases the task of the judge is to transform the uncertainty about the facts into the certainty of the …

Persistent link: https://www.econbiz.de/10011377092

The origin of prospect theory, or testing the intuitive statistician

Heukelom, Floris - 2005

The origin of prospect theory is the desire to test the intuitive statistician in the real world. The development of this theory by the cognitive psychologists Kahneman and Tversky can be traced to the former's work in cognitive psychophysics, in which deviations from average behavior are termed...

Persistent link: https://www.econbiz.de/10011346453

Reflection for higher order risk preferences

Bleichrodt, Han; Bruggen, Paul van - 2018

Higher order risk preferences are important determinants of economic behaviour. We apply behavioural insights to this topic: we measure higher order risk preferences for pure gains and pure losses by controlling the reference point. We find a reflection effect not only for second order risk...

Persistent link: https://www.econbiz.de/10011924804

Eliciting discount functions when baseline consumption changes over time

Gerber, Anke; Rohde, Kirsten I. M. - 2014

Many empirical studies on intertemporal choice report preference reversals in the sensethat a preference between a small reward to be received soon and a larger reward to bereceived later reverses as both rewards are equally delayed. Such preference reversals arecommonly interpreted as...

Persistent link: https://www.econbiz.de/10011379439

Sadder but wiser : the effects of affective states and weather on ambiguity attitudes

Baillon, Aurélien; Koellinger, Philipp; Treffers, Theresa - 2014

Many important decisions are made without precise information about the probabilities of the outcomes. In such situations, individual ambiguity attitudes influence decision making. The present study identifies affective states as a transient cause of ambiguity attitudes. We conducted two...

Persistent link: https://www.econbiz.de/10010337020

The impact of uncertainty on investment : a meta-analysis

Koetse, Mark J.; Groot, Henri L. F. de; Florax, Raymond … - 2006

In this paper we perform a meta-analysis on empirical estimates of the impact between investment and uncertainty. Since … can explain to a large extent why empirical estimates of the investment-uncertainty relationship differ. …

Persistent link: https://www.econbiz.de/10011349194