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Risk Aversion under Preference Uncertainty

Kraeussl, Roman; Lucas, Andre; Siegmann, Arjen - Tinbergen Instituut - 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/10011256400

HIV/AIDS, Risk Aversion and Intertemporal Choice

Lammers, Judith; Wijnbergen, Sweder van - Tinbergen Instituut - 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/10011255821

Starting Wages Respond To Employer's Risk

Berkhout, Peter; Hartog, Joop; Ophem, Hans van - Tinbergen Instituut - 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/10011256326

Stock Selection, Style Rotation, and Risk

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

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

Persistent link: https://www.econbiz.de/10011257058

Continuous Beliefs Dynamics

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

We propose a general framework for studying the evolution ofheterogeneous beliefs in a dynamic feedback setting …

Persistent link: https://www.econbiz.de/10011249542

More Hedging Instruments may destablize Markets

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

This discussion paper resulted in a publication in the Journal of Economic Dynamics & Control. Volume 33(11), pp. 1912-1928. This paper formalizes the idea that more hedging instruments may destabilize markets when traders are heterogeneous and adapt their behavior according to experience based...

Persistent link: https://www.econbiz.de/10011255525

Heterogeneity as a Natural Source of Randomness

Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 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/10011255553

Interest Rate Rules and Macroeconomic Stability under Heterogeneous Expectations

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

agents have heterogeneous expectations and update their beliefs based on past performance as in Brock and Hommes (1997). The …

Persistent link: https://www.econbiz.de/10011255558

Overreporting vs. Overreacting: Commuters' Perceptions of Travel Times

Peer, Stefanie; Knockaert, Jasper; Koster, Paul; … - Tinbergen Instituut - 2013

We asked participants of a large-scale, real-life peak avoidance experiment to provide estimates of their average in-vehicle travel time for their morning commute. Comparing these reported travel times to the corresponding actual travel times, we find that travel times are overstated by a factor...

Persistent link: https://www.econbiz.de/10011255638

Memory, Expectation Formation and Scheduling Choices

Koster, Paul; Peer, Stefanie; Dekker, Thijs - Tinbergen Instituut - 2014

Limited memory capacity, retrieval constraints and anchoring are central to expectation formation processes. We develop a model of adaptive expectations where individuals are able to store only a finite number of past experiences of a stochastic state variable. Retrieval of these experiences is...

Persistent link: https://www.econbiz.de/10011255773

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