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A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models
Huang, Ji - 2023
This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...
Persistent link: https://www.econbiz.de/10014345557
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Loss Aversion, Risk Aversion, and the Shape of the Probability Weighting Function
Rablen, Matthew D. - 2023
extend to distinct PWFs in the gain and loss domains, as under prospect theory …
Persistent link: https://www.econbiz.de/10014350127
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Are Groups More Rational than Individuals? A Review of Interactive Decision Making in Groups
Kugler, Tamar - 2012
also on the decisions of others. In the present article, we review the literature on decision making made by groups of the …
Persistent link: https://www.econbiz.de/10013111990
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Bank Bonus Pay as a Risk Sharing Contract
Efing, Matthias - 2019
We argue that risk sharing motivates the bank-wide structure of bonus pay. In the presence of financial frictions that make external financing costly, the optimal contract between shareholders and employees involves some degree of risk sharing whereby bonus pay partially absorbs earnings shocks....
Persistent link: https://www.econbiz.de/10012892088
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Tenure Choice, Portfolio Structure and Long-Term Care - Optimal Risk Management in Retirement
Fehr, Hans - 2019
We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...
Persistent link: https://www.econbiz.de/10012864931
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Voluntary Equity, Project Risk, and Capital Requirements
Haufler, Andreas; Lülfesmann, Christoph - 2022
We introduce a model of the banking sector that formally incorporate a buffer function of capital. Heterogeneous banks choose their portfolio risk, bank size, and capital holdings. Banks voluntarily hold equity when the buffer effect against the risk of default outweighs the cost advantages of...
Persistent link: https://www.econbiz.de/10013308111
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Multicollinearity in the Presence of Errors-in-Variables Can Increase the Probability of Type-I Error
Komlos, John - 2019
Multicollinearity, especially in combination with errors-in-variables, can increase the likelihood of a Type-I error by inflating the value of the estimated coefficients by more than it magnifies their standard errors, thereby increasing the likelihood of obtaining statistically significant...
Persistent link: https://www.econbiz.de/10012892129
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Ideological Motives and Group Decision-Making
Engl, Florian - 2021
This paper studies experimentally when and how ideological motives shape group decision-making outcomes. Groups …
Persistent link: https://www.econbiz.de/10013243248
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Speed, Quality, and the Optimal Timing of Complex Decisions : Field Evidence
Sunde, Uwe; Zegners, Dainis; Strittmatter, Anthony - 2022
This paper presents an empirical investigation of the relation between decision speed and decision quality for a real …-by-move data provide exceptionally detailed and precise information about decision times and decision quality, based on a … with the predictions of procedural decision models like drift-diffusion-models in which decision makers sequentially …
Persistent link: https://www.econbiz.de/10013306854
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Cognitive Uncertainty in Intertemporal Choice
Enke, Benjamin; Graeber, Thomas - 2021
when a decision is complex, they implicitly treat different time delays to some degree alike. By experimentally measuring … when the decision environment is more complex. Third, cognitive uncertainty matters for choice architecture: people who are …
Persistent link: https://www.econbiz.de/10013311701