Results 141 to 150 of about 6,023,559 (283)
Behavioral portfolio decisions in a GARCH world
Financial InnovationThis paper pioneers behavioral portfolio decisions as per prospect theory under a stochastic volatility setting that is exemplified by the use of an affine GARCH model.
Nando Ehler +3 more
doaj +1 more source
Some theory of bivariate risk attitude [PDF]
In past years the study of the impact of risk attitude among risks has become a major topic, in particular in Decision Sciences. Subsequently the attention was devoted to the more general case of bivariate random variables.
Marta_Cardin, Paola_Ferretti
core
Risk aversion under preference uncertainty [PDF]
, 2010 We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility ...
Lucas, A.; id_orcid +8 more
core +1 more source
Gendered Effects of the Minimum Wage
International Economic Review, EarlyView.ABSTRACT Women work disproportionately in low‐hours jobs, which pay lower wages and are more exposed to minimum‐wage policies. We estimate an equilibrium search model with worker and firm heterogeneity, jobs differing in wages and hours, and imperfect compliance. Applied to Germany, the 8.50 € minimum wage reallocates women toward higher‐hours jobs and
Alessandro Di Nola, Haomin Wang
wiley +1 more source
Cogent Economics & FinanceThis paper applies the newly suggested Markov chained Monte Carlo Surface Sampling Algorithm of Zappa estimating European discount factors and relative risk aversions for the CRRA utility functions based on the consumption capital asset pricing model ...
Per Bjarte Solibakke
doaj +1 more source
Risk Aversion in Cumulative Prospect Theory [PDF]
This paper characterizes the conditions for risk aversion in cumulative prospect theory where risk aversion is defined in the strong sense (Rothshild Stiglitz 1970).
Horst Zank, Schmidt, Ulrich
core
The expected inflation risk premium in the U.S. stock market
Journal of Financial Research, EarlyView.Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau +2 more
wiley +1 more source
Exploring the link between farmers' risk aversion and pineapple yield gaps: Evidence from Bangladesh
Journal of Agriculture and Food ResearchFarmers in Bangladesh's hilly regions face various production risks that significantly impact agricultural output and rural livelihoods. This study aimed to evaluate pineapple growers' perceptions of these risks, the yield disparities in their production,
Tumpa Datta +5 more
doaj +1 more source
Improving the Risk Concept: A Revision of Arrow-Pratt Theory in the Context of Controlled Dynamic Stochastic Environments [PDF]
In the literature on risk, one generally assume that uncertainty is uniformly distributed over the entire working horizon, when the absolute risk-aversion index is negative and constant.
DAN PROTOPOPESCU
core
Precautionary Saving against Correlation under Risk and Ambiguitya
Journal of Money, Credit and Banking, EarlyView.Abstract This paper considers precautionary saving against the correlation between two risky attributes (wealth and health) and investigates how the correlation affects optimal savings under multivariate preferences. The signs of higher‐order cross‐derivatives play a key role in determining the direction of precautionary saving against such correlation.
TAKAO ASANO, YUSUKE OSAKI
wiley +1 more source