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How Much Would You Pay to Resolve Long-Run Risk?

Epstein, Larry G. - 2013

Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full...

Persistent link: https://www.econbiz.de/10012459120

Rare Disasters and Risk Sharing with Heterogeneous Beliefs

Chen, Hui - 2010

Although the threat of rare economic disasters can have large effect on asset prices, difficulty in inference regarding both their likelihood and severity provides the potential for disagreements among investors. Such disagreements lead investors to insure each other against the types of...

Persistent link: https://www.econbiz.de/10012462617

Risk Based Explanations of the Equity Premium

Donaldson, John - 2007

This essay reviews the family of models that seek to provide aggregate risk based explanations for the empirically observed equity premium. Theories based on non-expected utility preference structures, limited financial market participation, model uncertainty and the small probability of...

Persistent link: https://www.econbiz.de/10012465434

The Loss Aversion / Narrow Framing Approach to the Equity Premium Puzzle

Barberis, Nicholas - 2006

aversion and narrow framing, two well-known features of decision-making under risk in experimental settings. In equilibrium …

Persistent link: https://www.econbiz.de/10012466287

Inducing Leaders to Take Risky Decisions : Dismissal, Tenure, and Term Limits

Aghion, Philippe - 2014

In this paper we analyze the problem of whether and/or when to replace a leader (agent) when no monetary rewards are available, and it is the leader's competence rather than effort that is being evaluated. The only decisions that the leader takes over time are whether to undertake risky but...

Persistent link: https://www.econbiz.de/10012458366

The Influence Of Probability on Risky Choice : A parametric Examination

Lattimore, Pamela K. - 1992

The appeal of expected utility theory as a basis for a descriptive model of risky decision making has diminished is a … parametric model of risky decision making. Our results suggest that models which provide for probability transformations are most …

Persistent link: https://www.econbiz.de/10012474843

An Empirical Assessment of Alternative Models of Risky Decision Making

Baker, Joanna R. - 1988

In this paper, we assess the degree to which four of the most commonly used models of risky decision making can explain … explain the decision-making behavior of the majority of our subjects. Surprisingly, we find that the choice behavior of the … of risky decision making …

Persistent link: https://www.econbiz.de/10012476344

Prediction, Judgment and Complexity : A Theory of Decision Making and Artificial Intelligence

Agrawal, Ajay K. - 2018

. In this paper, we explore the consequences of improved prediction in decision-making. To do so, we adapt existing models … of decision-making under uncertainty to account for the process of determining payoffs. We label this process of … on whether the improvements in prediction enable automated decision-making. We discuss the implications of improved …

Persistent link: https://www.econbiz.de/10012453471

Buyout Activity : The Impact of Aggregate Discount Rates

Haddad, Valentin - 2016

Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is the primary determinant of buyout activity rather than credit-specific conditions. We articulate a simple explanation for this phenomenon: a low risk premium increases the present...

Persistent link: https://www.econbiz.de/10012456263

Preference Parameters and Behavioral Heterogeneity : An Experimental Approach in the Health and Retirement Survey

Barsky, Robert B. - 1995

Individuals' preferences underlying most economic behavior are likely to display substantial heterogeneity. This paper reports on direct measures of preference parameters relating to risk tolerance, time preference, and intertemporal substitution. These experimental measures are based on survey...

Persistent link: https://www.econbiz.de/10012473664