Similar Search Results

Risk versus Ambiguity and International Security Design

Hill, Brian; Michalski, Tomasz - HEC Paris (École des Hautes Études Commerciales) - 2014

This paper studies portfolio allocation in the international financial market when investors exhibit ambiguity aversion … hand, increases in investor ambiguity lead to less risk-sharing. Entrepreneurs located in countries with low levels of … volatility per unit of consumption as they finance themselves relatively more through debt than equity. An increase in ambiguity …

Persistent link: https://www.econbiz.de/10011120239

Betting on Machina's reflection example: an experiment on ambiguity

L’Haridon, Olivier; Placido, Lætitia - HEC Paris (École des Hautes Études Commerciales) - 2008

confirm the need for new approaches in the analysis of ambiguity for decision making. …

Persistent link: https://www.econbiz.de/10004997496

Quantitative analysis of multi-periodic supply chain contracts with options via stochastic programming

VAN DELFT, Christian; VIAL, Jean-Philippe - HEC Paris (École des Hautes Études Commerciales) - 2001

We propose a stochastic programming approach for quantitative analysis of supply contracts, involving flexibility, between a buyer and a supplier, in a supply chain framework. Specifically, we consider the case of multi-periodic contracts in the face of correlated demands. To design such...

Persistent link: https://www.econbiz.de/10005011595

Entropy densities

ROCKINGER, Michael; JONDEAU, Eric - HEC Paris (École des Hautes Études Commerciales) - 2000

The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments...

Persistent link: https://www.econbiz.de/10005011597

Uniqueness in infinitely repeated decision problems

VIEILLE, Nicolas; WEIBULL, Jörgen W. - HEC Paris (École des Hautes Études Commerciales) - 2002

Dynamic decision-making without commitment is usually modelled as a game between the current and future selves of the decision maker. It has been observed that if the time-horizon is infinite, then such games may have multiple subgame-perfect equilibrium solutions. We provide a sufficient...

Persistent link: https://www.econbiz.de/10005106604

Marking to Market and Inefficient Investment Decisions

Otto, Clemens A.; Volpin, Paolo F. - HEC Paris (École des Hautes Études Commerciales) - 2013

We examine how mark-to-market accounting affects investment decisions in an agency model with reputation concerns. Reporting the current market value of a firm's assets in the financial statements can serve as a disciplining device because the information contained in the market price provides a...

Persistent link: https://www.econbiz.de/10010832940

Dynamic Consistency and Ambiguity: A Reappraisal

HILL, Brian - HEC Paris (École des Hautes Études Commerciales) - 2013

It is commonly argued that dynamic consistency, consequentialism and non-expected utility are incompatible. The first aim of this paper is to rebut such arguments, by targeting the implicit assumption that the relevant contingencies correspond to objective resolutions of uncertainty (that is,...

Persistent link: https://www.econbiz.de/10010832945

Do Managers Overreact to Salient Risks? Evidence from Hurricane Strikes

Dessaint, Olivier; Matray, Adrien - HEC Paris (École des Hautes Études Commerciales) - 2014

Consistent with salience theories of choice, we find that managers overreact to salient risks. We study how managers respond to the occurrence of a hurricane event when their firms are located in the neighborhood of the disaster area. We find that the sudden shock to the perceived liquidity risk...

Persistent link: https://www.econbiz.de/10010832967

Warm-Glow Giving and Freedom to Be Selfish

Evren, Ozgur; Minardi, Stefania - HEC Paris (École des Hautes Études Commerciales) - 2013

Warm-glow refers to other-serving behavior that is valuable for the actor per se, apart from its social implications. We provide axiomatic foundations for warm-glow by viewing it as a form of preference for larger choice sets driven by one's desire for freedom to act selfishly. Specifically, an...

Persistent link: https://www.econbiz.de/10010832969

Point de référence et aversion aux pertes : quel intérêt pour les gestionnaires ?

Paraschiv, Corina; L’Haridon, Olivier - HEC Paris (École des Hautes Études Commerciales) - 2009

Les notions de point de référence et d’aversion aux pertes sont deux éléments essentiels de la prospect theory, qui constitue à ce jour la théorie la plus reconnue concernant la représentation de la prise de décision individuelle dans le risque. L’objectif de cet article est de...

Persistent link: https://www.econbiz.de/10004997495