Results 61 to 70 of about 6,023,559 (283)

Loss Aversion and State-Dependent Linear Utility Functions for Monetary Returns

Quantitative Methods in Economics
We present a theory of expected utility with state-dependent linear utility functions for monetary returns, that incorporates the possibility of loss-aversion.
Somdeb Lahiri
doaj   +1 more source

The Effect of Sustainable Production and Operations on Financial Outcomes in Turkish Manufacturing Sector: System Dynamics Evidence From BIST‐Listed Companies

Corporate Social Responsibility and Environmental Management, EarlyView.
ABSTRACT Sustainable production and operations (SPO) are widely expected to influence firm performance through improvements in efficiency, legitimacy, and organizational capabilities. This study uses ISO certifications as a proxy for SPO and examines both adoption determinants and performance implications using a balanced panel of 142 manufacturing ...
Damla Durak Uşar
wiley   +1 more source

Optimal portfolio selection in jump-uncertain stochastic markets via maximum principle and dynamic programming

Frontiers in Applied Mathematics and Statistics
This study develops a unified framework for optimal portfolio selection in jump–uncertain stochastic markets, contributing both theoretical foundations and computational insights.
Clift Kudzai Hlahla, Eriyoti Chikodza, Cathrine Kazunga, Mangwiro Magodora   +3 more
doaj   +1 more source

Optimal On-Farm Grain Storage by Risk-Averse Farmers

Journal of Agricultural and Resource Economics, 2003
Most previous research on post-harvest grain storage by farmers has assumed risk-neutral behavior and/or made restrictive assumptions about underlying price probability distributions. In this study, we solve the optimal on-farm storage problem for a risk-
Jing-Yi Lai, Robert J. Myers, Steven D. Hanson   +2 more
doaj   +1 more source

‘Stochastically more risk averse:’ A contextual theory of stochastic discrete choice under risk [PDF]

Journal of Econometrics, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +1 more source

Time-varying risk aversion : an application to energy hedging [PDF]

, 2009
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk ...
Cotter, John, Hanly, Jim
core  

Beyond Prediction: Data, Baselines, Explanation, and Causation in Machine Learning for Food Insecurity

Food Safety and Health, EarlyView.
The gains from machine learning in nowcasting and forecasting food insecurity are still small and limited and cannot be observed in all countries. This review summarizes the public resources for data, corrects common misconceptions about model requirements, and establishes baseline requirements, explanations, causal inference, and equity in operational
Shabnam Mehboob, Azman Abdullah, Gunesh Kumar, Samreen Memon, Naila Afghan   +4 more
wiley   +1 more source

Closed-Form Optimal Strategies of Continuous-Time Options with Stochastic Differential Equations

Complexity, 2017
A continuous-time portfolio selection with options based on risk aversion utility function in financial market is studied. The different price between sale and purchase of options is introduced in this paper. The optimal investment-consumption problem is
Wei Yan
doaj   +1 more source

The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact

Journal of Futures Markets, EarlyView.
ABSTRACT This paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk‐neutralization is compatible with continuous‐time settings.
Marcos Escobar‐Anel, Lars Stentoft, Xize Ye   +2 more
wiley   +1 more source

Tail Risk Transmission in Agricultural and Energy Markets

Journal of Futures Markets, EarlyView.
ABSTRACT This paper examines downside hedging, tail diversification, and extreme tail risk transmission between crude oil and agricultural commodity futures over two decades. We develop complementary indicators of downside dependence, including sign‐switching frequency and persistence, to assess tail risk dynamics, hedging effectiveness, and associated
Emmanuel Senyo Fianu, Daniel Felix Ahelegbey, Roberto Casarin, Luigi Grossi   +3 more
wiley   +1 more source