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On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition

Schweizer, Martin - University of Bonn, Germany - 1994

We provide three characterizations of the minimal martingale measure P associated to a given d- dimensional semimartingale X. In each case, P is shown to be the unique solution of an optimization problem where one minimizes a certain functional over a suitable class of signed local martingale...

Persistent link: https://www.econbiz.de/10004968216

Moment characterization of higher-order risk preferences

Ebert, Sebastian - University of Bonn, Germany - 2010

It is often said that prudence and temperance play key roles in aversion to negative skewness and kurtosis, respectively. This paper puts a new perspective on these relationships and presents a characterization of higher-order risk preferences in terms of statistical moments. An implication is,...

Persistent link: https://www.econbiz.de/10008676564

Joint measurement of risk aversion, prudence and temperance

Ebert, Sebastian; Wiesen, Daniel - University of Bonn, Germany - 2010

We propose a method to measure the intensity of risk aversion, prudence (downside risk aversion) and temperance (outer risk aversion) in experiments. Higher-order risk compensations are defined within the proper risk apportionment model of Eeckhoudt and Schlesinger [American Economic Review, 96...

Persistent link: https://www.econbiz.de/10008725919

Social Reference Points and Risk Taking

Schwerter, Frederik - University of Bonn, Germany - 2013

This study test whether social reference points impact individual risk taking. In a laboratory experiment, decision makers observe the earnings of a peer subject before making a risky choice. We exogenously manipulate the peer earnings across two treatments. We find a signicant treatment effect...

Persistent link: https://www.econbiz.de/10010747863

Nominalist Heuristics and Economic Theory

Pope, Robin; Selten, Reinhard; Kube, Sebastian - University of Bonn, Germany - 2009

This paper introduces a new theoretic entity, a nominalist heuristic, defined as a focus on prominent numbers, indices or ratios. Abstractions used in the evaluation stage of decision making typically involve nominalist heuristics that are incompatible with expected utility theory which excludes...

Persistent link: https://www.econbiz.de/10004964146

Prominent Numbers, Indices and Ratios in Exchange Rate Determination and Financial Crashes: in Economists’ Models, in the Field and in the Laboratory

Pope, Robin; Selten, Reinhard; Kube, Sebastian; Hagen, … - University of Bonn, Germany - 2009

The prior paper in this sequel, Pope (2009) introduced the concept of a nominalist heuristic, defined as a focus on prominent numbers, indices or ratios. In this paper the concept is used to show three things in how scientists and practitioners analyse and evaluate to decide (conclude). First,...

Persistent link: https://www.econbiz.de/10004964148

Optimal Stopping with Dynamic Variational Preferences

Engelage, Daniel - University of Bonn, Germany - 2009

We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences or, equivalently, assessing risk by dynamic convex risk measures. The solution is achieved by generalizing the approach in terms of multiple priors...

Persistent link: https://www.econbiz.de/10004967156

Judged knowledge and ambiguity aversion

Keppe, Hans-Juergen; Weber, Martin - University of Bonn, Germany - 1991

Persistent link: https://www.econbiz.de/10004968143

Local Manufacturing Hurt by Depreciations in a Theoretical Model Reflecting the Australian Experience

Pope, Robin - University of Bonn, Germany - 1999

. The model aims at capturing short-to-medium run exchange rate effects in an economy with goods and services aggregated … into four commodities: Rural goods (agricultural, pastoral, forestry, fishing and mining products), imports, local … manufactures and services. The latter three are directly consumed. Rural goods enter consumption only indirectly after processing …

Persistent link: https://www.econbiz.de/10004968213

Risk Aversion in International Relations Theory

O'Neill, Barry - University of Bonn, Germany - 1998

|When international relations theorists use the concept of risk aversion, they usually cite the economics conception involving concave utility functions. However, concavity is meaningful only when the goal is measurable on an interval scale. International decisions are usually not of this type,...

Persistent link: https://www.econbiz.de/10004968215