Similar Search Results

Reconsidering the common ratio effect: the roles of compound independence, reduction, and coalescing

Schmidt, Ulrich; Seidl, Christian - In: Theory and Decision 77 (2014) 3, pp. 323-339

Common ratio effects should be ruled out if subjects’ preferences satisfy compound independence, reduction of compound … lotteries, and coalescing. In other words, at least one of these axioms should be violated in order to generate a common ratio … observation of common ratio effects. We observe that compound independence and reduction of compound lotteries hold, whereas …

Persistent link: https://www.econbiz.de/10010959272

A theory of discrete choice with information costs

Cheremukhin, Anton; Popova, Anna; Tutino, Antonella - In: Journal of Economic Behavior & Organization 113 (2015) C, pp. 34-50

We present a theory of discrete choice with information costs that supports deliberate stochastic choice. We use a unique experimental dataset to distinguish between errors arising from limitations on a decision maker's cognitive abilities and conscious disregard of information. Experimental...

Persistent link: https://www.econbiz.de/10011263911

Solvency II, regulatory capital, and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?

Brandtner, Mario; Kürsten, Wolfgang - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 156-167

We study the problem of optimal reinsurance as a means of risk management in the regulatory framework of Solvency II under Conditional Value-at-Risk and, as its natural extension, spectral risk measures. First, we show that stop-loss reinsurance is optimal under both Conditional Value-at-Risk...

Persistent link: https://www.econbiz.de/10011116640

Stochastic Stackelberg equilibria with applications to time-dependent newsvendor models

Øksendal, Bernt; Sandal, Leif; Ubøe, Jan - In: Journal of Economic Dynamics and Control 37 (2013) 7, pp. 1284-1299

In this paper, we prove a maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem, a manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected profits...

Persistent link: https://www.econbiz.de/10011051984

Dominance and admissibility without priors

Stoye, Jörg - In: Economics Letters 116 (2012) 1, pp. 118-120

This note axiomatizes the incomplete preference ordering that reflects statewise dominance with respect to expected utility, as well as the according choice correspondence. The main motivation is to clarify how admissibility as understood by statisticians relates to existing axiomatizations. The...

Persistent link: https://www.econbiz.de/10011041776

When are signals complements or substitutes?

Börgers, Tilman; Hernando-Veciana, Angel; Krähmer, Daniel - In: Journal of Economic Theory 148 (2013) 1, pp. 165-195

The paper introduces a notion of complementarity (substitutability) of two signals which requires that in all decision problems each signal becomes more (less) valuable when the other signal becomes available. We provide a general characterization which relates complementarity and...

Persistent link: https://www.econbiz.de/10011042929

Axioms for minimax regret choice correspondences

Stoye, Jörg - In: Journal of Economic Theory 146 (2011) 6, pp. 2226-2251

This paper unifies and extends the recent axiomatic literature on minimax regret. It compares several models of minimax regret, shows how to characterize the according choice correspondences in a unified setting, extends one of them to choice from convex (through randomization) sets, and...

Persistent link: https://www.econbiz.de/10011042942

The 1/N investment strategy is optimal under high model ambiguity

Pflug, Georg Ch.; Pichler, Alois; Wozabal, David - In: Journal of Banking & Finance 36 (2012) 2, pp. 410-417

The 1/N investment strategy, i.e. the strategy to split one’s wealth uniformly between the available investment possibilities, recently received plenty of attention in the literature. In this paper, we demonstrate that the uniform investment strategy is rational in situations where an agent is...

Persistent link: https://www.econbiz.de/10010577944

Comparing predicted prices in auctions for online advertising

Bax, Eric; Kuratti, Anand; Mcafee, Preston; Romero, Julian - In: International Journal of Industrial Organization 30 (2012) 1, pp. 80-88

Online publishers sell opportunities to show ads. Some advertisers pay only if their ad elicits a user response. Publishers estimate response rates for ads in order to estimate expected revenues from showing the ads. Then publishers select ads that maximize estimated expected revenue.

Persistent link: https://www.econbiz.de/10010582612

Upper and lower bounds for expected utility

LiCalzi, Marco - In: Economic Theory 16 (2000) 2, pp. 489-502

The decision-theoretic literature has developed very few techniques to bound the expected utility of a random variable when only simple statistics like its median or mode or mean are known. One reason for this lack of results is that we are missing a convenient way to link probability theory and...

Persistent link: https://www.econbiz.de/10005244915