Results 1 to 10 of about 6,023,559 (283)
Emergency Quantity Discount Contract with Suppliers Risk Aversion under Stochastic Price
Mathematics, 2021 This paper constructs an emergency quantity discount contract to explore the inherent law of the contract coordinating the supply chain with stochastic market demand and price and the risk-averse supplier.
Shuangsheng Wu, Qi Li
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Risk Aversion, Downside Risk Aversion and Paying for Stochastic Improvements [PDF]
GENEVA Risk and Insurance Review, 2011 This paper considers the relationship between risk preferences and the willingness to pay for stochastic improvements. We show that if the stochastic improvement satisfies a double-crossing condition, then a decision maker with utility v is willing to pay more than a decision maker with utility u, if v is both more risk averse and less downside risk ...
W Henry Chiu
exaly +4 more sources
Stochastic Dominance and Comparative Risk Aversion
Review of Economic Analysis, 2012 No abstract ...
Tapan Biswas
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A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem [PDF]
Mathematics, 2020 Multiobjective stochastic programming is a field that is well suited to tackling problems that arise in many fields: energy, financial, emergencies, among others; given that uncertainty and multiple objectives are usually present in such problems. A new concept of solution is proposed in this work, which is especially designed for risk-averse solutions.
Javier León +2 more
exaly +6 more sources
Mathematics, 2019 When facing a multi-period defined contribution (DC) pension plan investment problem during the accumulation phase, the risk aversion attitude of a mean-variance investor may depend on state variables.
Liyuan Wang, Zhiping Chen
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Can Shocks to Risk Aversion Explain Business Cycle Fluctuations in Bulgaria (1999–2019)?
Managing Global Transitions, 2021 Stochastic risk aversion is introduced into a dynamic general-equilibrium setup augmented with government. The theoretical framework is calibrated to Bulgarian data for the period 1999–2019.
Aleksandar Vasilev
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Risk-Averse Stochastic Shortest Path Planning [PDF]
2021 60th IEEE Conference on Decision and Control (CDC), 2021 We consider the stochastic shortest path planning problem in MDPs, i.e., the problem of designing policies that ensure reaching a goal state from a given initial state with minimum accrued cost. In order to account for rare but important realizations of the system, we consider a nested dynamic coherent risk total cost functional rather than the ...
Mohamadreza Ahmadi +3 more
openaire +4 more sources
Stochastic Dominance and Absolute Risk Aversion [PDF]
Social Choice and Welfare, 2003 In this paper we propose the infimum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk aversion of a utility function. We then show that, for any given arbitrary pair of distributions, there exists a threshold level of global risk aversion such that all increasing concave utility functions with at least as much global risk ...
Jordi Caballe, Joan Esteban
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Measuring Price Risk Aversion through Indirect Utility Functions: A Laboratory Experiment
Games, 2022 The present paper introduces a theoretical framework through which the degree of risk aversion with respect uncertain prices can be measured through the context of the indirect utility function (IUF) using a lab experiment.
Ali Zeytoon-Nejad
doaj +1 more source
Stochastic optimal control with Contingent Convertible Bond in banking industry [PDF]
Mathematics and Modeling in Finance, 2022 This paper has potential implications for the management of the bank. We examine a bank capital structure with contingent convertible debt to improve financial stability. This type of debt converts to equity when the bank is facing financial difficulties
Asma Khadimallah, Fathi Abid
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