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Subjective expected utility with state-dependent but action/observation-independent preferences

Drèze, Jacques H. - In: Risks : open access journal 6 (2018) 2, pp. 1-9

Under state-dependent preferences, probabilities and units of scale of state-dependent utilities are not separately identified. In standard models, only their products matter to decisions. Separate identification has been studied under implicit actions by Drèze or under explicit actions and...

Persistent link: https://www.econbiz.de/10011811749

Generalized multiplicative risk apportionment

Wang, Hongxia - In: Risks : open access journal 7 (2019) 2/65, pp. 1-9

This work examines apportionment of multiplicative risks by considering three dominance orderings: first-degree stochastic dominance, Rothschild and Stiglitz’s increase in risk and downside risk increase. We use the relative nth-degree risk aversion measure and decreasing relative nth-degree...

Persistent link: https://www.econbiz.de/10012018921

Cumulative prospect theory version with fuzzy values of outcome estimates

Uzhga-Rebrov, Oleg; Grabusts, Peter - In: Risks : open access journal 9 (2021) 4, pp. 1-16

Choosing solutions under risk and uncertainty requires the consideration of several factors. One of the main factors in … decisions (prospects). The paper presents the theoretical foundations of the proposed version, an illustrative practical example …

Persistent link: https://www.econbiz.de/10012508716

Heuristic biases as mental shortcuts to investment decision-making : a mediation analysis of risk perception

Jain, Jinesh; Walia, Nidhi; Singla, Himanshu; Singh, … - In: Risks : open access journal 11 (2023) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10014303778

A note on the fundamental theorem of asset pricing under model uncertainty

Bayraktar, Erhan; Zhang, Yuchong; Zhou, Zhou - In: Risks : open access journal 2 (2014) 4, pp. 425-433

context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options …

Persistent link: https://www.econbiz.de/10010489073

Optimal investment under cost uncertainty

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Risks : open access journal 6 (2018) 1, pp. 1-19

This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...

Persistent link: https://www.econbiz.de/10011811536

The role of emotions and knowledge on preference for uncertainty : follow your heart but listen to your brain!

Saraiva, Tânia; Gonçalves, Tiago Cruz - In: Risks : open access journal 11 (2023) 1, pp. 1-15

This paper analyzes the joint association of emotions and knowledge in decision-making under uncertainty on a TV game … uncertainty (PU), which have mostly been investigated separately in Economics and Psychology until now. We examine the preference … for uncertainty, proxied by a preference for gambling against a sure payoff, in 59 contestants in the TV game show "JOKER …

Persistent link: https://www.econbiz.de/10014232388

Methodology for economic analysis of highly uncertain innovative projects of improbability type

Babkin, Aleksandr; Kvasha, Nadezhda; Demidenko, Daniil; … - In: Risks : open access journal 11 (2023) 1, pp. 1-20

Modern conditions for real investment are generally associated with increasing uncertainty, which is even more relevant …, considering the project's uncertainty characteristics. The logic of the analysis methods transformation under the influence of a … changing uncertainty level determines the combination of the fuzzy-set approach and the concept of real options. The …

Persistent link: https://www.econbiz.de/10014232403

Mean-variance optimization is a good choice, but for other reasons than you might think

Rigamonti, Andrea - In: Risks : open access journal 8 (2020) 1/29, pp. 1-16

Mean-variance portfolio optimization is more popular than optimization procedures that employ downside risk measures such as the semivariance, despite the latter being more in line with the preferences of a rational investor. We describe strengths and weaknesses of semivariance and how to...

Persistent link: https://www.econbiz.de/10012203653

Reverse sensitivity analysis for risk modelling

Pesenti, Silvana M. - In: Risks : open access journal 10 (2022) 7, pp. 1-23

We consider the problem where a modeller conducts sensitivity analysis of a model consisting of random input factors, a corresponding random output of interest, and a baseline probability measure. The modeller seeks to understand how the model (the distribution of the input factors as well as...

Persistent link: https://www.econbiz.de/10013364877