Results 131 to 140 of about 6,023,559 (283)
Time Dependent Relative Risk Aversion [PDF]
Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists.
Enzo Giacomini +2 more
core
When in Doubt, Tax More Progressively? Uncertainty and Progressive Income Taxation
International Economic Review, EarlyView.ABSTRACT We study the optimal income tax problem under parameter uncertainty about household preferences and wage dynamics. We derive conditions characterizing how such uncertainty affects optimal tax policy. To quantify the effect, we estimate a life‐cycle model using US data and a Bayesian approach.
Minsu Chang, Chunzan Wu
wiley +1 more source
A Risk-Averse Two-Stage Stochastic Programming Model for Emergency UAV Task Allocation
DronesAs UAVs are increasingly used in emergency rescue, task allocation under uncertainty still faces tail delay risk. Existing studies mainly optimize expected cost and pay insufficient attention to task temporal relations and delay losses under extreme ...
Shumeng Xu +5 more
doaj +1 more source
Recovering risk aversion from options [PDF]
Cross-sections of option prices embed the risk-neutral probability densities functions (PDFs) for the future values of the underlying asset. Theory suggests that risk-neutral PDFs differ from market expectations due to risk premia.
Robert R. Bliss, Nikolaos Panigirtzoglou
core
Labor Market Monopsony Power and the Dynamic Gains to Openness Reforms
International Economic Review, EarlyView.ABSTRACT We embed labor market monopsony into a dynamic heterogeneous‐firm general equilibrium model with exporting, horizontal FDI, and rich firm lifecycle dynamics. Rising marginal costs with monopsony slow and limit incumbent firm growth in response to liberalization, shifting adjustment to the extensive margin.
Priyaranjan Jha +2 more
wiley +1 more source
On Risk Aversion and Bargaining Outcomes [PDF]
We revisit the well known result that asserts that and increase in the degree of one's risk aversion improves the position one's opponents. for this purpose, we apply Yaari's dual theory of choice under risk both to Nash's bargaining problem and to ...
Oscar Volij
core
Cross‐Prudence and Optimal Prevention
International Economic Review, EarlyView.ABSTRACT In this paper, we study optimal prevention in the presence of a correlated nonfinancial background risk. Under positive correlation, cross‐prudence in the nonfinancial attribute reduces optimal prevention. We establish this result in the most direct extension of the standard prevention problem with binary marginal distributions and show that ...
Jingyuan Li, Richard Peter, Lin Zhou
wiley +1 more source
EnergiesThis paper studies a risk-averse stochastic unit commitment framework for an energy aggregator, operating a portfolio of conventional generators, renewable units, and battery energy storage in a network-constrained environment.
Pande Popovski +4 more
doaj +1 more source
Why Uncertainty Matters - Discounting under Intertemporal Risk Aversion and Ambiguity [PDF]
Uncertainty has an almost negligible impact on project value in the economic standard model. I show that a comprehensive evaluation of uncertainty and uncertainty attitude changes this picture fundamentally.
Christian Traeger
core
A Quantile Model of Firm Investment
International Economic Review, EarlyView.ABSTRACT Are firms risk averse? We propose a dynamic model of firm investment under uncertainty that captures firms' risk attitudes through quantile preferences. The firm maximizes its present value, defined as current profits and investment plus the discounted value of the τ$\tau$‐quantile of its value next period.
Heitor Almeida +3 more
wiley +1 more source