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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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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10013233142
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Carbon Dioxide as a Risky Asset
Bauer, Adam Michael; Proistosescu, Christian; Wagner, Gernot - 2023
We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk and uncertainty that is consistent with the Intergovernmental Panel on Climate Change’s sixth assessment report. We find that this approach provides economic support for the...
Persistent link: https://www.econbiz.de/10014255593
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Disposed to Be Overconfident
Gödker, Katrin; Odean, Terrance; Smeets, Paul - 2023
We show that the disposition effect–the tendency of investors to hold losers and sell winners–can be a source of overconfidence. We find experimental evidence that individuals update beliefs about their own investment ability based on realized gains and losses rather than the overall...
Persistent link: https://www.econbiz.de/10014358104
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Dynamic Ic and Dynamic Programming
Kwon, Suehyun - 2019
This paper develops a dynamic programming method when the one-stage deviation principle in the sense of mechanism design literature doesn’t hold. The commonly used dynamic programming method is valid only if the one-stage deviation principle in the sense of mechanism design literature is...
Persistent link: https://www.econbiz.de/10012889686
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From Separate Accounting to Formula Apportionment : Analysis in a Dynamic Framework
Radulescu, Doina Maria - 2021
This paper analyzes the switch from Separate Accounting to Formula Apportionment in a dynamic framework. The model features both purely domestic corporations and a domestic multinational which invests at home and abroad as well as a purely foreign corporation and a foreign multinational which...
Persistent link: https://www.econbiz.de/10013316813
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Impatience and Uncertainty : Experimental Decisions Predict Adolescents' Field Behavior
Sutter, Matthias - 2011
We study risk attitudes, ambiguity attitudes, and time preferences of 661 children and adolescents, aged ten to eighteen years, in an incentivized experiment and relate experimental choices to field behavior. Experimental measures of impatience are found to be significant predictors of...
Persistent link: https://www.econbiz.de/10013118350
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The Optimal Amount of Attention to Capital Income Risk and Heterogeneous Precautionary Saving Behavior
Yin, Penghui - 2019
This paper studies attention allocation behavior of rationally inattentive consumers who have CRRA preferences, face uninsured capital income risk, and suffer from an information-processing capacity constraint. For given attention devoted to capital income risk, we solve for the optimal...
Persistent link: https://www.econbiz.de/10012892117
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The Invariant Distribution of Wealth and Employment Status in a Small Open Economy with Precautionary Savings
Bayer, Christian - 2019
We study optimal savings in continuous time with exogenous transitions between employment and unemployment as the only …
Persistent link: https://www.econbiz.de/10012892186
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Cash in Hand and Savings Decisions
Spantig, Lisa - 2019
study how cash in hand influences decisions in a different but very important domain: savings. Savings accounts are a … promising tool for reducing poverty, but the use of savings accounts is often puzzlingly low. Holding on to cash that needs to … be physically deposited into a savings account may increase the psychological costs of saving. This study experimentally …
Persistent link: https://www.econbiz.de/10012865170