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A Theory of Decision-Making Under Risk as a Tradeoff between Expected Utility, Expected Utility Deviation and Expected Utility Skewness
Blavatskyy, Pavlo R. - 2014
This paper presents a new decision theory for modelling choice under risk. The new theory is a two …-parameter generalization of expected utility theory. The proposed theory assumes that a decision maker: 1) behaves as if maximizing expected … thereof (in certain types of decision problems); the Allais paradox in classical common consequence problems and the reverse …
Persistent link: https://www.econbiz.de/10013046184
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Axiomatization of a preference for most probable winner
Blavatskyy, Pavlo R. - 2004
Persistent link: https://www.econbiz.de/10002405340
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Reverse Common Ratio Effect
Blavatskyy, Pavlo R. - 2010
decision theories - stochastic expected utility theory (Blavatskyy, 2007) and perceived relative argument model (Loomes, 2008 …
Persistent link: https://www.econbiz.de/10014197817
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Lottery Pricing under Time Pressure
Blavatskyy, Pavlo R.; Koehler, Wolfgang R. - 2009
This paper investigates how subjects determine minimum selling prices for lotteries. We design an experiment where subjects have at every moment an incentive to state their minimum selling price and to adjust the price if they believe that the price that they stated initially was not optimal. We...
Persistent link: https://www.econbiz.de/10014206381
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Loss Aversion
Blavatskyy, Pavlo R. - 2008
Loss aversion is traditionally defined in the context of lotteries over monetary payoffs. This paper extends the notion of loss aversion to a more general setup where outcomes (consequences) may not be measurable in monetary terms and people may have fuzzy preferences over lotteries, i.e. they...
Persistent link: https://www.econbiz.de/10014216964
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2015
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty”), we find that a lax monetary policy decreases...
Persistent link: https://www.econbiz.de/10013039100
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2010
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), we find that a lax monetary policy decreases...
Persistent link: https://www.econbiz.de/10013137030
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2012
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty”), we find that a lax monetary policy decreases...
Persistent link: https://www.econbiz.de/10013099439
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2012
We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty”), and analyze their dynamic interactions with...
Persistent link: https://www.econbiz.de/10013113166
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Risk, uncertainty and monetary policy
Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2013
Persistent link: https://www.econbiz.de/10009766337