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The Approximate Average Rate of Interest Cognitive Approach.
Briquet, F. - Centre Européen de Recherche en Économie Financière … - 2000
This research work treats formalization of the knowledge of decision makers of SME. It aims at identifying their diagram of reasoning when they make financial decisions. When they prepare the investment plan, these decision makers make an approximation of the distribution of interests and...
Persistent link: https://www.econbiz.de/10005625335
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A Characterization of the Symmetrical Monotone Risk Aversion in the RDEU Model.
Abouda, M.; Chateauneuf, A. - Centre de recherche de mathématiques et économie … - 1999
, positivity of the bid-ask spread can be identified with a very weak form of risk aversion SMRA. We perform here a more thorough …
Persistent link: https://www.econbiz.de/10005475303
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Intraday Value-at-Risk.
Giot, P. - Center for Operations Research and Econometrics (CORE), … - 2000
-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to …
Persistent link: https://www.econbiz.de/10005478955
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Least Squares Predictions and Mean-Variance Analysis
Sentana, E. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1997
In an economy with one riskless and one risky asset, we compare the Sharpe ratios of investment funds that allow: i) timing strategies which forecast the market using simple regressions; ii) a strategy which uses multiple regression instead; and iii) a passive allocation which combines the funds in...
Persistent link: https://www.econbiz.de/10005475098
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16.1. МАТЕМАТИЧЕСКИЕ МОДЕЛИ ИЗМЕРЕНИЯ ФИНАНСОВЫХ РИСКОВ
МАМЕДОВ Ф.М. - In: Бизнес в законе. … (2011) 3, pp. 292-294
В данной научной статье рассмотрены основные методологические проблемы измерения предпринимательских рисков на основе рейтинговых оценок.
Persistent link: https://www.econbiz.de/10011222792
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More Pessimism than Greediness: A Characterization of Monotone Risk Aversion in the Rank-Dependant Expected Utility Model
Chateauneuf, A.; Cohen, M.; Meilijson, I. - Centre de recherche de mathématiques et économie … - 1997
We study attitudes towards risk in the Rank Dependent Expected Utility (RDEU) model. This model replaces expected … probability-perception function. We use the notion of monotone risk aversion introduced by Quiggin ([18]), that is, aversion to … monotone mean-presrving increase in risk, based on a notion of co-monotonicity of random variables that has been shown to play …
Persistent link: https://www.econbiz.de/10005663598
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New Tools to Better Model Behavior Under Risk and UNcertainty: An Oevrview
Chateauneuf, A.; Cohen, M.; Meilijson, I. - Centre de recherche de mathématiques et économie … - 1997
Normative models of behaviour under risk in the framework of expected utility (EU) or under uncertainty in the … (non-EU) models based on the Choquet integral allow for much more diversified behavior, both under risk and under …
Persistent link: https://www.econbiz.de/10005663617
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Quadratic Arch Models.
Sentana, E. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1995
Persistent link: https://www.econbiz.de/10005776176
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Optimal Risk-Sharing Rules and Equilibria With Non-Additive Expected Utility
Chateauneuf, A.; Dana, R.-A; Tallon, J.-M. - Centre de recherche de mathématiques et économie … - 1997
This paper explores the consequences of non-additive expected utility on risk-sharing and equilibrium in a general …
Persistent link: https://www.econbiz.de/10005776511
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Risk Aversion, Intertemporal Substitution, and Option Pricing
Garcia, R.; Renault, E. - 1998
towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical …
Persistent link: https://www.econbiz.de/10005780758