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Arrow-Debreu equilibria with asymptotically heterogeneous expectations exist
Riedel, Frank - 2001
In infinite horizon economies only local equivalence of beliefs is needed to ensure the existence of an Arrow-Debreu equilibrium. In fact, agents can even disagree completely in the long run in the sense that asymptotically, their beliefs are singular. -- Heterogeneous expectations ;...
Persistent link: https://www.econbiz.de/10009613607
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Optimal consumption choice under uncertainty with intertemporal substitution
Bank, Peter; Riedel, Frank - 1999
We extend the analysis of the intertemporal utility maximization problem for Hindy-Huang-Kreps utilities reported in Bank and Riedel (1998) to the stochastic case. Existence and uniqueness of optimal consumption plans are established under arbitrary convex portfolio constraints, including both...
Persistent link: https://www.econbiz.de/10009581101
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Existence and structure of stochastic equilibria with intertemporal substitution
Bank, Peter; Riedel, Frank - 2000
We prove existence of an Arrow-Debreu equilibrium when agents' preferences exhibit local substitution in the sense of Hindy, Huang, and Kreps (1992). Efficient allocations and supporting price functionals are identified and characterized. Under Hindy Huang Kreps preferences, equilibrium price...
Persistent link: https://www.econbiz.de/10009612019
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The influence of inventory effects and reference points on the rate of consumption
Bell, David R.; Boztuğ, Yasemin - 2001 - Rev.
The authors develop and test a model to study the influence of inventory-on-hand and price-based reference points on the consumption rate of consumers. The model is motivated by recent theoretical and empirical research which suggests inventory pressure can cause consumers to increase...
Persistent link: https://www.econbiz.de/10009615422
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Framing effects on asset markets : an experimental analysis
Kirchler, Erich; Maciejovsky, Boris; Weber, Martin - 2001
In this paper we investigate four hypotheses which are inconsistent with expected utility theory, but may well be explained by prospect theory. It deals with framing, the non-linearity of subjective probabilities, the disposition effect, and the correspondence of different experimental risk...
Persistent link: https://www.econbiz.de/10009613618
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Experimental "beauty contests" with homogeneous and heterogeneous players and with interior and boundary equilibria
Güth, Werner; Kocher, Martin; Sutter, Matthias - 2001
We study behavior in experimental beauty contests with, first, boundary and interior equilibria, and, second, homogeneous and heterogenous types of players. We find quicker and better convergence to the game-theoretic equilibrium with interior equilibria and homogeneous players. -- beauty...
Persistent link: https://www.econbiz.de/10009614296
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A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds
Riedel, Frank - 1997
The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...
Persistent link: https://www.econbiz.de/10009632605
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Self-rated and changes in self-rated health as predictors of mortality : first evidence from german panel data
Schwarze, Johannes; Andersen, Hanfried H.; Anger, Silke - 2002
Background: Studies from several countries have shown that self-rated health is an independent predictor of mortality … individuals and (ii) changes in self-rated health, as predictors of mortality for Germany. Methods: A sub-sample of 3 … in self-rated health on predictions of mortality. Results: We find that, while currently self-rated health is shown to be …
Persistent link: https://www.econbiz.de/10009626677
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Reappraising medfly longevity : a quantile regression survival analysis
Koenker, Roger; Geling, Olga - 1999
-specific mortality in a population of roughly 1.2 million Mediterranean fruit flies (Ceratitis Capitata). The quantile regression … mortality rates at advanced ages, and the gender cross-over effect in survival functions for medflies. …
Persistent link: https://www.econbiz.de/10009580464
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Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...
Persistent link: https://www.econbiz.de/10009574876