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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10010324093
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Heterogeneity of investors and asset pricing in a risk-value world
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10011544966
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Pricing Risk Under Risk Measures : An Introduction to Stochastic-Endogenous Equilibria
Ralph, Daniel - 2011
show that risk markets can be conveniently adapted to decision making models like Nash games under risk, where agents are …
Persistent link: https://www.econbiz.de/10013121852
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Risk aversion in the large and in the small
Haug, Jørgen; Hens, Thorsten; Wöhrmann, Peter - 2011
Estimates of agents' risk aversion differ between market studies and experimental studies. We demonstrate that the estimates can be reconciled through consistent treatment of agents' tendency for narrow framing, regarding integration of background wealth as well as across risky outcomes: Risk...
Persistent link: https://www.econbiz.de/10009295788
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Quantile Hedging in a Semi-Static Market with Model Uncertainty
Bayraktar, Erhan - 2017
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the investor …
Persistent link: https://www.econbiz.de/10012972859
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Super-replication of the best pairs trade in hindsight
Garivaltis, Alex - In: Cogent economics & finance 7 (2019) 1, pp. 1-14
This paper derives a robust online equity trading algorithm that achieves the greatest possible percentage of the final wealth of the best pairs rebalancing rule in hindsight. A pairs rebalancing rule chooses some pair of stocks in the market and then perpetually executes rebalancing trades so...
Persistent link: https://www.econbiz.de/10012023352
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Overconfidence in investment decisions : an experimental approach
Dittrich, Dennis; Güth, Werner; Maciejovsky, Boris - 2001
We experimentally test overconfidence in investment decisions by offering participants the possibility to substitute their own for alternative investment choices. Overall, 149 subjects participated in two experiments, one with just one risky asset, the other with two risky assets. Overconfidence...
Persistent link: https://www.econbiz.de/10011408444
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From One-Fund Separation to One-Derivative Separation — The Stochastic-Solution Portfolio Choice Model under Risk
Yuan, Yiyong - 2015
Assuming appropriate infinite-state model, we consider a previously un-examined stochastic-solution choice problem which includes known constant-solution choice problem as a degenerated case. We suggest dependence conditions on risks to range or explicitly solve for the stochastic solution with...
Persistent link: https://www.econbiz.de/10013012469
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Optimal choice and beliefs with ex ante savoring and ex post disappointment
Gollier, Christian; Muermann, Alexander - 2006
We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante … and disutility from disappointment ex post. The decision maker chooses his degree of optimism, given that more optimism … the decision maker takes on less risk compared to an expected utility maximizer. This speaks to the equity premium puzzle …
Persistent link: https://www.econbiz.de/10010298342
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Hedging Price Risk When Real Wealth Matters
Adam-Müller, Axel F. A. - 1999
This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts in the presence of untradable inflation risk. Utility is defined over real wealth. Optimal forward positions are derived relative to a given initial exposure in the tradable...
Persistent link: https://www.econbiz.de/10010324032