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Mining and quasi-option value
Costello, Christopher J.; Kolstad, Charles D. - 2015
Persistent link: https://www.econbiz.de/10011308079
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Macro, money and finance : a continuos time approach
Brunnermeier, Markus Konrad; Sannikov, Yuliy - 2016
Persistent link: https://www.econbiz.de/10011522036
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Routing optimization of shared autonomous electric vehicles under uncertain travel time and uncertain service time
Zhang, Li; Liu, Zhongshan; Yu, Lan; Fang, Ke; Yao, Baozhen - In: Transportation research / E : an international journal 157 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013169877
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The economics of risk and uncertainty
Gollier, Christian (ed.) - 2018
Joseph Stiglitz (1970), 'Increasing Risk: I. A Definition', Journal of Economic Theory, 2 (3), September, 225-43 -- 5. Paul A …), 'First Order Versus Second Order Risk Aversion', Journal of Economic Theory, 51 (1), June, 111-25 -- 31. Matthew Rabin (2000 …), 'Risk Aversion and Expected-Utility Theory, A Calibration Theorem' Econometrica, 68 (5), September, 1281-92 -- 32. Menahem E …
Persistent link: https://www.econbiz.de/10012251678
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The cost of delay as risk measure in target-based multi-period portfolio selection models
Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377
Persistent link: https://www.econbiz.de/10014634191
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Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically
Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015
the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … REH models, regardless of how they specify the market's risk premium. The authors' evidence is also inconsistent with …
Persistent link: https://www.econbiz.de/10011309720
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …
Persistent link: https://www.econbiz.de/10011518800
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Optimal long-term allocation with pension fund liabilities
Jondeau, Eric; Rockinger, Michael - 2014
We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...
Persistent link: https://www.econbiz.de/10010442892
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Chapter 20. Term Structure of Uncertainty in the Macroeconomy
Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10014024262
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Franchise Value, Tobin's Q, and Markups
Chiu, Wan-Chien; Jagannathan, Ravi; Tseng, Kevin - National Bureau of Economic Research - 2023
increased globalization following China's entry into WTO in 2002 which is consistent with theory …
Persistent link: https://www.econbiz.de/10013537723