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Additional logarithmic utility of an insider

Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin - 1998

expected logarithmic utility from terminal wealth. While the ordinary investor's portfolio decisions are based on a public … expected logarithmic utility in terms of a relative entropy. This allows us to provide simple conditions on G for the … finiteness of this additional utility and to show that it is basically given by the entropy of G. -- insider trading ; entropy …

Persistent link: https://www.econbiz.de/10009577457

Malliavin's calculus in insider models : additional utility and free lunches

Imkeller, Peter - 2002

we focus on are the calculation of the additional utility of the insider and a study of his free lunch possibilities. The … examples are given to illustrate additional utility and free lunch possibilities. In particular, if the insider has advance …

Persistent link: https://www.econbiz.de/10009620768

Compensating the cooperators : is sorting in the prisoner’s dilemma possible?

Bohnet, Iris; Kübler, Dorothea - 2000

Choice between different versions of a game may provide a means of sorting, allowing players with different preferences to self-select into groups of similar types. We experimentally investigate whether auctioning off the right to play a prisoner’s dilemma game in which the cost of unilateral...

Persistent link: https://www.econbiz.de/10009612572

Heuristics as decision rules : Part I: the single consumer

Güth, Werner; Neuefeind, Wilhelm - 2001

commodities as food items. Using utility functions we can measure the welfare loss, caused by such heuristics, and to what extent …-Douglas utility function. General utility functions will also be considered. Part II will study exchange economies. …

Persistent link: https://www.econbiz.de/10009612561

Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes

Jaschke, Stefan R. - 2001

Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...

Persistent link: https://www.econbiz.de/10009614286

The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations

Jaschke, Stefan R. - 2001

Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as...

Persistent link: https://www.econbiz.de/10009614287

The great demand depression

Weder, Mark - 2001

This paper entertains the notion that disturbances on the demand side play a central role in our understanding of the Great Depression. In fact, from Euler equation residuals we are able to identify a series of unusually large negative demand shocks that appeared to have hit the U. S. economy...

Persistent link: https://www.econbiz.de/10009614288

Semiparametric estimation in single index poisson regression : a practical approach

Climov, Daniela; Delecroix, Michel; Simar, Léopold - 2001

In a single index Poisson regression model with unknown link function, the index parameter can be root-n consistently estimated by the method of pseudo maximumum likelihood. In this paper, we study, by simulation arguments, the practical validity of the asymptotic behavior of the pseudo maximum...

Persistent link: https://www.econbiz.de/10009614290

Fractional integration and business cycle features

Candelon, Bertrand; Gil-Alaña, Luis A. - 2001

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

Persistent link: https://www.econbiz.de/10009614295

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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