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Optimal Stopping with Dynamic Variational Preferences

Engelage, Daniel - University of Bonn, Germany - 2009

theory. To illustrate results, we consider prominent examples: dynamic entropic risk measures and a dynamic version of …

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

On Irreversible Investment

Su, Xia; Riedel, Frank - University of Bonn, Germany - 2006

This paper develops a general theory of irreversible investment of a single firm that chooses a dynamic capacity …

Persistent link: https://www.econbiz.de/10005032213

Merging of Opinions under Uncertainty

Bier, Monika; Engelage, Daniel - University of Bonn, Germany - 2010

We consider long-run behavior of agents assessing risk in terms of dynamic convex risk measures or, equivalently, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a robust representation, we show that all uncertainty is revealed in the limit and agents...

Persistent link: https://www.econbiz.de/10008464926

Taking a shower in Youth Hostels: risks and delights of heterogeneity

Matzke, Christina; Challet, Damien - University of Bonn, Germany - 2008

Tuning one's shower in some hotels may turn into a challenging coordination game with imperfect information. The temperature sensitivity increases with the number of agents, making the problem possibly unlearnable. Because there is in practice a finite number of possible tap positions, identical...

Persistent link: https://www.econbiz.de/10005032219

Learning Direction Theory and the Winner’s Curse

Selten, Reinhard; Abbink, Klaus; Cox, Ricarda - University of Bonn, Germany - 2001

unknown value. A winner’s curse phenomenon arises when subjects bid too high and make losses. Learning direction theory can … account for this. However, other influences on behaviour can also be identified. We introduce impulse balance theory to make … quantitative predictions on the basis of learning direction theory. We also look at monotonic ladder processes. It is shown that …

Persistent link: https://www.econbiz.de/10004989615

Quasimonotone Individual Demand

John, R. - University of Bonn, Germany - 1998

Quasimonotone individual demand correspondences are characterized as those which can be rationalized (in a weak sense) by a complete, upper continuous, monotone, and convex preference relation. Moreover, it is shown that an arbitrary set of demand observations can be rationalized by a reflexive,...

Persistent link: https://www.econbiz.de/10004968139

A non-standard approach to a market with boundedly rational consumers and strategic firms. Part I: A microfoundation for the evolution of sales

Matzke, Christina; Wirth, Benedikt - University of Bonn, Germany - 2008

In our model, individual consumers follow simple behavioral decision rules based on imitation and habit as suggested in consumer research, social learning, and related fields. Demand can be viewed as the outcome of a population game whose revision protocol is determined by the consumers'...

Persistent link: https://www.econbiz.de/10004968348

Product Pricing when Demand Follows a Rule of Thumb

Matzke, Christina; Wirth, Benedikt - University of Bonn, Germany - 2009

We analyze the strategic behavior of firms when demand is determined by a rule of thumb behavior of consumers. We assume consumer dynamics where individual consumers follow simple behavioral decision rules governed by imitation and habit as suggested in consumer research. On this basis, we...

Persistent link: https://www.econbiz.de/10004968453

On the Solution of Markov-switching Rational Expectations Models

Carravetta, Francesco; Sorge, Marco M. - University of Bonn, Germany - 2011

observable states of the system, to be determined optimally via stochastic control and filtering theory. Solution existence is …

Persistent link: https://www.econbiz.de/10009023796

The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts

Li, Jing; Szimayer, Alexander - University of Bonn, Germany - 2010

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...

Persistent link: https://www.econbiz.de/10008455622