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Strategies, heuristics and the relevance of risk aversion in a dynamic decision problem
Müller, Wieland - 1999
In this paper I consider a complex decision problem where subjects have to cope with a time horizon of uncertain … economic theory suggests to solve the decision problem. But since real decision makers can hardly be expected to behave …
Persistent link: https://www.econbiz.de/10009581111
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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
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Efficient hedging for a complete jump-diffusion model
Kirch, Michael; Krutchenko, R. N.; Melʹnikov, Aleksandr V. - 2002
This paper is devoted to the problem of hedging contingent claims in the framework of a complete two-factor jump-diffusion model. In this context, it is well understood that every contingent claim can be hedged perfectly if one invests the unique arbitrage-free price. Based on the results of H....
Persistent link: https://www.econbiz.de/10009621417
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Efficient hedging : cost versus shortfall risk
Föllmer, Hans; Leukert, Peter - 1999
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal...
Persistent link: https://www.econbiz.de/10009579176
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Stationary equilibria in discounted stochastic games with weakly interacting players
Horst, Ulrich - 2002
We give sufficient conditions for a non-zero sum discounted stochastic game with compact and convex action spaces and with norm-continuous transition probabilities, but with possibly unbounded state space to have a N ash equilibrium in homogeneous Markov strategies that depends in a Lipsehitz...
Persistent link: https://www.econbiz.de/10009627284
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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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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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Mental accounting and the impact of tax penalty and audit frequency on the declaration of income : an experimental analysis
Maciejovsky, Boris; Kirchler, Erich; Schwarzenberger, … - 2001
We investigate (i) whether traders on an experimental asset market form different and separate mental accounts for sale revenues and for dividend earnings and whether (ii) an increase in tax penalty or (iii) an increase in audit frequency increases tax compliance. The results indicate that...
Persistent link: https://www.econbiz.de/10009613619
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Intuitive optimizing for time allocation decisions in newly formed ventures
Lévesque, Moren; Schade, Christian D. - 2002
This article investigates whether decision makers intuitively optimize close to the normative prediction in … entrepreneurial decision situations where their time must be allocated between a wage job and a newly formed venture. We offer an … with systematic deviations that are consistent with well-known decision anomalies. Risk propensity is found to have an …
Persistent link: https://www.econbiz.de/10009621420