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Risk Aversion under Preference Uncertainty

Kraeussl, Roman; Lucas, Andre; Siegmann, Arjen - Tinbergen Institute - 2010

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...

Persistent link: https://www.econbiz.de/10008752910

HIV/AIDS, Risk Aversion and Intertemporal Choice

Lammers, Judith; Wijnbergen, Sweder van - Tinbergen Institute - 2007

This study analyses the relation between perceived health status and intertemporal choice. We use data from experiments with real monetary rewards conduEted among students in South Africa to estimate risk and time preferences. These experimental data, based on muitiple price lists developed by...

Persistent link: https://www.econbiz.de/10005137299

Starting Wages Respond To Employer's Risk

Berkhout, Peter; Hartog, Joop; Ophem, Hans van - Tinbergen Institute - 2009

Firms hiring fresh graduates face uncertainty on the future productivity of workers. Theory suggests that starting wages reflect this, with lower pay for greater uncertainty. We use the dispersion of exam grades within a field of education as an indicator of the unobserved heterogeneity that...

Persistent link: https://www.econbiz.de/10004987443

Stock Selection, Style Rotation, and Risk

Lucas, André; Dijk, Ronald van; Kloek, Teun - Tinbergen Institute - 2001

Using US data from June 1984 to July 1999, we show that the impact of firm-specific characteristics like size and book-to-price on future excess stock returns varies considerably over time. The impact can be either positive or negative at different times. This time variation is partially...

Persistent link: https://www.econbiz.de/10005281862

Interacting Agents in Finance

Hommes, Cars - Tinbergen Institute - 2006

Interacting agents in finance represent a behavioral, agent-based approach in which financial markets are viewed as complex adaptive systems consisting of many boundedly rational agents interacting through simple heterogeneous investment strategies, constantly adapting their behavior in response...

Persistent link: https://www.econbiz.de/10005209457

Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations

Anufriev, Mikhail; Assenza, Tiziana; Hommes, Cars; … - Tinbergen Institute

interest rate rules when agents have heterogeneous expectations and update their beliefs based on past performance as in Brock …

Persistent link: https://www.econbiz.de/10005016263

More Hedging Instruments may destablize Markets

Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Institute - 2006

This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based reinforcement learning. We investigate three different economic settings, a simple mean-variance asset pricing model, a...

Persistent link: https://www.econbiz.de/10005795568

Complex Evolutionary Systems in Behavioral Finance

Hommes, Cars; Wagener, Florian - Tinbergen Institute - 2008

investment decisions upon market forecasting heuristics. Prices and beliefs about future prices co-evolve over time with mutual …

Persistent link: https://www.econbiz.de/10005795577

Heterogeneous Agent Models in Economics and Finance

Hommes, Cars H. - Tinbergen Institute - 2005

This paper surveys work on dynamic heterogeneous agent models (HAMs) in economics and finance. Emphasis is given to simple models that, at least to some extent, are tractable by analytic methods in combination with computational tools. Most of these models are behavioral models with boundedly...

Persistent link: https://www.econbiz.de/10005136868

Heterogeneity as a Natural Source of Randomness

Diks, Cees; Weide, Roy van der - Tinbergen Institute - 2003

We propose a new framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs … distributions are defined on a beliefs space representing a continuum of possible strategies agents can choose from. Agents base … beliefs among agents is updated using a continuous choice model. This leads to price dynamics in which the beliefs …

Persistent link: https://www.econbiz.de/10005136904