Results 181 to 190 of about 6,023,559 (283)

Risk Aversion and Expected-Utility Theory: A Calibration Theorem [PDF]

Within the expected-utility framework, the only explanation for risk aversion is that the utility function for wealth is concave: A person has lower marginal utility for additional wealth when she is wealthy than when she is poor.
Matthew Rabin
core  

Robust Mean–Variance Portfolio Optimization: Mean–Variance–Variance Criterion Versus Mean–Variance–Standard Deviation Criterion

Mathematical Finance, EarlyView.
ABSTRACT We study a dynamic portfolio optimization problem under the mean–variance–variance (M‐V‐V) criterion proposed by Maccheroni et al. It is an analogue of the Arrow–Pratt approximation to the well‐known smooth ambiguity model. Under the standard Black–Scholes framework, we derive fully explicit equilibrium investment strategies in which a DM's ...
David Landriault, Bin Li, Yuanyuan Zhang
wiley   +1 more source

Risk appetite-enhanced game-theoretic approach for modelling mandatory lane-changing behaviour in freeway merging areas. [PDF]

PLoS One
Wang B, Wang S, He G.
europepmc   +1 more source

THE ROLE OF RISK AVERSION IN PREDICTING INDIVIDUAL BEHAVIOR [PDF]

We use household survey data to construct a direct measure of absolute risk aversion based on the maximum price a consumer is willing to pay to buy a risky asset.
Luigi Guiso, Monica Paiella
core  

Representation of Forward Performance Criteria with Random Endowment via FBSDE and Its Application to Forward Optimized Certainty Equivalent

Mathematical Finance, EarlyView.
ABSTRACT We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of forward optimized certainty equivalent (forward OCE), which offers a genuinely dynamic valuation mechanism that accommodates progressively adaptive market model ...
Gechun Liang, Yifan Sun, Thaleia Zariphopoulou   +2 more
wiley   +1 more source

Stochastic responses and marginal valuation. [PDF]

Proc Natl Acad Sci U S A
Hansen LP, Souganidis P.
europepmc   +1 more source

Optimal hedge ratio and elasticity of risk aversion [PDF]

We apply the mean-standard deviation paradigm to examine a widely used model of the hedging literature. As the hedging model satisfies a scale and location condition the mean-standard deviation technique provides more intuition for the revision of the ...
Jack E. Wahl, Udo Broll
core  

Contractionary Effects of Devaluation and the Balance Sheet Effect in a Macroeconomic Model With Heterogeneous Firms

Metroeconomica, EarlyView.
ABSTRACT We propose a demand‐led heterogeneous firm macroeconomic model to study the impact of an exchange rate devaluation on output and financial stability. We simulate the model and find that, in the presence of foreign debt, a devaluation can have contractionary effects.
Lucca Gustafson Rodrigues, Lílian Rolim, Laura Carvalho   +2 more
wiley   +1 more source

Reinsurance-investment game between two α-maxmin mean-variance insurers. [PDF]

PLoS One
Zhang Q, Zhou G, Fu J.
europepmc   +1 more source

Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns [PDF]

This paper summarizes a program of research we have conducted over the past four years. So far, it has produced two published articles, one forthcoming paper, one working paper currently under review at a journal, and three working papers in progress ...
Jackwerth, Jens Carsten, Rubinstein, Mark   +1 more
core