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Persistent link: https://www.econbiz.de/10003398778
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This study designs an optimal insurance policy form endogenously, assuming the objective of the insured is to maximize expected final wealth under the Value-at-Risk (VaR) constraint. The optimal insurance policy can be replicated using three options, including a long call option with a small...
Persistent link: https://www.econbiz.de/10005142384
Persistent link: https://www.econbiz.de/10005213509
This study develops an optimal insurance contract endogenously under a value-at-risk (VaR) constraint. Although Wang et al. [2005] had examined this problem, their assumption implied that the insured is risk neutral. Consequently, this study extends Wang et al. [2005] and further considers a...
Persistent link: https://www.econbiz.de/10005091562
This study develops an optimal insurance contract endogenously under a value-at-risk (VaR) constraint. Although Wang et al. [2005] had examined this problem, their assumption implied that the insured is risk neutral. Consequently, this study extends Wang et al. [2005] and further considers a...
Persistent link: https://www.econbiz.de/10005722859
This study designs an optimal insurance policy form endogenously, assuming the objective of the insured is to maximize expected final wealth under the Value-at-Risk (VaR) constraint. The optimal insurance policy can be replicated using three options, including a long call option with a small...
Persistent link: https://www.econbiz.de/10005722863
The prospect theory proposed by (Kahneman and Tversky, 1979) stated that people are risk-averse when faced with profits and risk-loving when faced with loss. Benartzi and Thaler (1995) combined the Myopic Loss Aversion and Mental Accounting in explaining the equity premium puzzle. Gneezy and...
Persistent link: https://www.econbiz.de/10010674514
This study analyzes individual portfolio selection in the presence of background risk. Under the expected utility framework, this study determines necessary and sufficient conditions of utility functions for two-fund monetary separation with independently additive and multiplicative background...
Persistent link: https://www.econbiz.de/10010730249
This study compares the out-of-sample performances among Black-Scholes (B-S), Stochastic Volatility (SV) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models in the Taiwan option market. Using Absolute Relative Pricing Error (ARPE) as the performance criterion, the...
Persistent link: https://www.econbiz.de/10009206896