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Stochastic Dominance Efficiency Tests under Diversification
Kuosmanen, Timo - EconWPA - 2001
This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD. Using these insights, we develop simple Linear...
Persistent link: https://www.econbiz.de/10005561692
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Portfolio Optimization With Stochastic Dominance Constraints
Dentcheva, Darinka; Ruszczynski, Andrzej - EconWPA - 2004
We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for...
Persistent link: https://www.econbiz.de/10005561562
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Opinion Pooling under Asymmetric Information
Dietrich, Franz - EconWPA - 2004
If each member of a group assigns a certain probability to a hypothesis, what probability should the collective as a whole assign? More generally, how should individual probability functions be merged into a single collective one? I investigate this question in case that the individual...
Persistent link: https://www.econbiz.de/10005412461
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Learning versus Diversification in Project Choice
Subramanian, Narayanan; Menon, Nidhiya - EconWPA - 2004
We study the issue of project choice when a risk-averse agent must choose whether to invest in two projects of the same … speed of learning (ii) the type-specific risk and (iii) his risk- aversion and investment horizon. We show that, contrary to … intuition, an increase in type-specific risk may lead to a decrease in diversification. Our theory is applicable to occupational …
Persistent link: https://www.econbiz.de/10005407512
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Banks' equity stakes in borrowing firms: A corporate finance approach
Vauhkonen, Jukka - EconWPA - 2004
In most countries, banks’ equity holdings in firms that borrow from then are rather small. In light of the theoretical literature, this is somewhat surprising. For example, according to agency cost models, allowing banks to hold equity would seem to alleviate firms’ asset substitution moral...
Persistent link: https://www.econbiz.de/10005062370
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Bank Risk-Taking in a Prospect Theory Framework Empirical Investigation in the Emerging Markets’ Case
Godlewski, Christophe - EconWPA - 2004
bank risk-taking behavior. We especially focus on the different valuation of gains and losses relative to a reference point …, and the changing attitude toward risk conditional on the domain (gains vs losses) features (Tversky and Kahneman 1992). We … follow a methodology based on Fiegenbaum and Thomas (1988) and the Fishburn (1977) measure of risk, applied to a sample of …
Persistent link: https://www.econbiz.de/10005413102
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Gains and losses: the same or different choices? A “non-ideal” economics approach.
Harin, Alexander - EconWPA - 2005
Ideal economics? A “non-ideal” economics approach has been proposed, which considers the possibility of arrangement infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields of research. The approach application in...
Persistent link: https://www.econbiz.de/10005124942
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Scientific Revolution. A Farewell to EconWPA.
Harin, Alexander - EconWPA - 2005
A revolution in economics. Is it possible? Is its concept a transition from ideal to real economics? The way to the transition may be a new aspect of uncertainty. Problems, which can be solved, research fields, which can be augmented or created, and fields of applications in practical economy...
Persistent link: https://www.econbiz.de/10005126070
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Income Fluctuations, Poverty and Well-Being Over Time: Theory and Application to Argentina
Cruces, Guillermo - EconWPA - 2005
This paper studies poverty as a dynamic phenomenon, motivated by the recurring economic crises that affect developing countries and the incidence of income fluctuations on household welfare. While the increasing availability of household panel data has been exploited in theoretical analysis and...
Persistent link: https://www.econbiz.de/10005408367
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Risk and De-collectivization in the Czech Republic
Bezemer, Dirk J. - EconWPA - 2001
of family farms and socialist-style farms in the presence of risk, given the typical post-socialist environment …
Persistent link: https://www.econbiz.de/10005555994