Showing 1 - 10 of 18
We generalize the classical concept of a certainty equivalent to a model where an investor can trade on a capital market with several future trading dates. We show that if a riskless asset is traded and the investor has a CARA utility then our generalized certainty equivalent can be evaluated...
Persistent link: https://www.econbiz.de/10010317612
Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry the covariance of income and loan repayments may explain higher household borrowings than in the case without default option. Under ex post information asymmetry and positive...
Persistent link: https://www.econbiz.de/10010420837
We establish a class of fully nonlinear conditional expectations. Similarly to the usage of linear expectations when a probabilistic description of uncertainty is present, we observe analogue quantitative and qualitative properties. The type of nonlinearity captures the agents sentiments of...
Persistent link: https://www.econbiz.de/10011282348
We generalize the classical concept of a certainty equivalent to a model where an investor can trade on a capital market with several future trading dates. We show that if a riskless asset is traded and the investor has a CARA utility then our generalized certainty equivalent can be evaluated...
Persistent link: https://www.econbiz.de/10005405307
We establish a class of fully nonlinear conditional expectations. Similarly to the usage of linear expectations when a probabilistic description of uncertainty is present, we observe analogue quantitative and qualitative properties. The type of nonlinearity captures the agents sentiments of...
Persistent link: https://www.econbiz.de/10011158363
We show that continuous models of stimulus-driven attention can account for skewness-related puzzles in decision-making under risk. First,we delineate that these models provide awell-defined theory of choice under risk. We therefore prove that in continuous - in contrast to discrete - models of...
Persistent link: https://www.econbiz.de/10011634366
This paper investigates how subjects determine minimum selling prices for lotteries. We design an experiment where subjects have at every moment an incentive to state their minimum selling price and to adjust the price if they believe that the price that they stated initially was not optimal. We...
Persistent link: https://www.econbiz.de/10004994192
Communication address public education financing, taking into account explicitly the risk aspects of private investment in education. Advantages of public education, financed from public funds, consist of lack of markets lies in that students can protect against risks, an example being the...
Persistent link: https://www.econbiz.de/10004995316
We introduce a simple measure of risk aversion in the large. Besides satisfying properties which are conceptually analogous to the usual properties of the Arrow-Pratt measure, the index of risk aversion in the large leads to a stronger concept of decreasing risk aversion, which necessarily...
Persistent link: https://www.econbiz.de/10005008159
Preference reversals occur when different (but formally equivalent) elicitation methods reveal conflicting preferences over two alternatives. This paper shows that when people have fuzzy preferences i.e. when they choose in a probabilistic manner, their observed decisions can generate systematic...
Persistent link: https://www.econbiz.de/10005627857