Two-moment decision model for location-scale family with background asset [PDF]
, 2013 This paper studies the impact of background risk on the indifference curve. We first study the shape of the indifference curves for the investment with background risk for risk averters, risk seekers, and risk-neutral investors.
Guo, Xu, Wong, Wing-Keung, Zhu, Lixing
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Taxation, Risk, and Portfolio Choice: The Treatment of Returns to Risk Under a Normative Income Tax [PDF]
, 2013 Many articles in the legal and economic literature claim that a pure Haig-Simons income tax cannot effectively tax investment income. This is because an investor can use leverage to gross up her investments in risky assets such that the increased gain ...
Brooks, John R.
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An Intrapersonal Addition Paradox [PDF]
, 2019 I present a new argument for the repugnant conclusion. The core of the argument is a risky, intrapersonal analogue of the mere addition paradox. The argument is important for three reasons.
Nebel, Jacob M.
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Adaptive Probability Theory: Human Biases as an Adaptation [PDF]
, 2005 Humans make mistakes in our decision-making and probability judgments. While the heuristics used for decision-making have been explained as adaptations that are both efficient and fast, the reasons why people deal with probabilities using the reported ...
Martins, André C. R.
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Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences [PDF]
We investigate whether risk seeking or non-concave utility functions can help to explainthe cross-sectional pattern of stock returns. For this purpose, we analyze the stochasticdominance efficiency classification of the value-weighted market portfolio ...
Levy, H., Post, G.T.
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Roots and Effects of Investments' Misperception [PDF]
This work deals with the problem of investors' irrational behavior and financial products' misperception. The theoretical analysis of the mechanisms driving wrong evaluations of investment performances is explored.
Rosella Castellano, Roy Cerqueti
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Measuring Risk Aversion Model-Independently [PDF]
, 2010 We propose a new method to elicit individuals' risk preferences. Similar to Holt and Laury (2002), we use a simple multiple price-list format. However, our method is based on a general notion of increasing risk, which allows classifying individuals as ...
Maier, Johannes, Rüger, Maximilian
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ORDINARY AND GENERALIZED STOCHASTIC DOMINANCE: A PRIMER [PDF]
Research Methods/ Statistical Methods,
Eidman, Vernon R. +3 more
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Teorie očekávaného užitku versus kumulativní prospektová teorie: empirický pohled (available in Czech only) [PDF]
This paper pits expected utility theory and cumulative prospect theory against each other as regards their descriptive accuracy. Some older as well as newer pieces of evidence are described which show that under certain circumstances, expected utility ...
Michal Skořepa
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Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions [PDF]
, 2008 We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem.
Andrieu, Laetitia +2 more
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