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Using Studies of Treatment Response to Inform Treatment Choice in Heterogeneous Populations

Manski, Charles F. - 2000

An important practical objective of empirical studies of treatment response is to provide decision makers with information useful in choosing treatments. Often the decision maker is a planner who must choose treatments for the members of a heterogeneous population; for example, a physician may...

Persistent link: https://www.econbiz.de/10012470745

Environmental Policy and Firm Behavior : Abatement Investment and Location Decisions Under Uncertainty and Irreversibility

Xepapadeas, Anastasios - 1999

This paper explores abatement investment and location responses to environmental policy, which takes the form of emission taxes or tradeable emission permits and subsidies against the costs of abatement investment, under uncertainty and irreversibility. Uncertainty is associated with output...

Persistent link: https://www.econbiz.de/10012471512

Horizon Length and Portfolio Risk

Gollier, Christian - 1997

In this paper, we compare the attitude towards current risk of two expected-utility-maximizing investors that are …-Pratt index of absolute tolerance (Tu) be convex. If we allow for a" positive risk-free rate, the necessary and sufficient …" function exhibits constant relative risk aversion …

Persistent link: https://www.econbiz.de/10012472607

The Significance of the Market Portfolio

Athanasoulis, Stefano - 1997

The market portfolio is in one sense the least important portfolio to provide to investors. In an J-agent one-period stochastic endowment economy, where preferences are quadratic, a social-welfare-minded contract designer would never create a contract that would allow trading the market...

Persistent link: https://www.econbiz.de/10012472914

Bayesian Inference and Portfolio Efficiency

Kandel, Shmuel - 1993

A Bayesian approach is used to investigate a sample's information about a portfolio's degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is...

Persistent link: https://www.econbiz.de/10012474605

The Delivery of Market Timing Services : Newsletters Versus Market Timing Funds

Kane, Alex - 1991

relative to the risk free rate). We consider two delivery systems. Under the newsletter delivery system market timing …

Persistent link: https://www.econbiz.de/10012475204

Bliss Points in Mean-Variance Portfolio Models

Jones, David S. - 1981

When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of bliss points. One bliss point arises when a von Neumann-Morgenstern utility function displays negative marginal utility for sufficiently large end-of-period wealth, such as in...

Persistent link: https://www.econbiz.de/10012478302

Arbitrage and Mean-Variance Analysis on Large Asset Markets

Chamberlain, Gary - 1981

' result. Hence only a principal components analysis is needed to test the arbitrage pricing theory. Our eigenvalue conditional … the question of when a market with many assets permits so much diversification that risk-free investment opportunities are …

Persistent link: https://www.econbiz.de/10012478411

Kolmogorov-Smirnov Tests For Distribution Function Similarity With Applications To Portfolios of Common Stock

Meyer, Jack - 1989

that the efficient set of portfolios for any risk averse expected utility maximizer is contained in the mean …

Persistent link: https://www.econbiz.de/10012476185

Approximation Bias in Linearized Euler Equations

Ludvigson, Sydney - 1999

(and the coefficient of relative risk aversion) from regressions of consumption growth on uncertainty in consumption growth … imply estimates of prudence and risk aversion that are unrealistically low. Using numerical solutions to a fairly standard …

Persistent link: https://www.econbiz.de/10012471817