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Machine learning for continuous-time finance
Duarte, Victor; Duarte, Diogo; Silva, Dejanir H. - 2024
We develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito's lemma allows for the computation of exact...
Persistent link: https://www.econbiz.de/10014464166
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Financial frictions and the wealth distribution
Fernández-Villaverde, Jesús; Hurtado, Samuel; Nuño, Galo - 2020
We postulate a nonlinear DSGE model with a financial sector and heterogeneous households. In our model, the interaction between the supply of bonds by the financial sector and the precautionary demand for bonds by households produces significant endogenous aggregate risk. This risk induces an...
Persistent link: https://www.econbiz.de/10012260513
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Rank dependent utility, tax evasion and labor supply
Eide, Erling; Simson, Kristine von; Strøm, Steinar - 2010
payers act according to some non-expected utility theory, and (2) Individual ethical norms and social stigma induce people … subjective probabilities of being penalised according to the rank dependent utility theory, and (2) Tax payers' beliefs about … utility theory. The model explains data 53% better than pure random choices and predicts hours worked in the regular economy …
Persistent link: https://www.econbiz.de/10008697806
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A hands-on machine learning primer for social scientists : math, algorithms and code
Askitas, Nikos - 2024
This paper addresses the steep learning curve in Machine Learning faced by non-computer scientists, particularly social scientists, stemming from the absence of a primer on its fundamental principles. I adopt a pedagogical strategy inspired by the adage ”once you understand OLS, you can work...
Persistent link: https://www.econbiz.de/10015070152
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Beliefs and utility : experimental evidence on preferences for information
Falk, Armin; Zimmermann, Florian - 2016
Beliefs are a central determinant of behavior. Recent models assume that beliefs about or the anticipation of future consumption have direct utilityconsequences. This gives rise to informational preferences, i.e., preferences over the timing and structure of information. Using a novel and...
Persistent link: https://www.econbiz.de/10011523747
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The quasilinear quadratic utility model : an overview
Choné, Philippe; Linnemer, Laurent - 2019
The quasi-linear quadratic utility model is widely used in economics. The knowledge of its exact origin is less …
Persistent link: https://www.econbiz.de/10012016062
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Axiom preferences and choice mistakes under risk
Herweg, Fabian; Hippel, Svenja; Müller, Daniel; … - 2024
almost half of our subjects. Among those, roughly 24%are rational expected utility maximizers, 24% make occasional mistakes …
Persistent link: https://www.econbiz.de/10014556632
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Quantum decision theory and the Ellsberg paradox
Al-Nowaihi, Ali; Dhami, Sanjit S.; Wei, Mengxing - 2018
We formulate a simple quantum decision model of the Ellsberg paradox. We report the results of an experiment we performed to test the matching probabilities predicted by this model using an incentive compatible method. We find that the theoretical predictions of the model are in conformity with...
Persistent link: https://www.econbiz.de/10011877824
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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/10014292798
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Risk aversion and the subjective time discount rate : a joint approach
Praag, Bernard M. S. van; Booij, Adam S. - 2003
In this paper we analyze a large sample of individual responses to six lottery questions. We derive a simultaneous estimate of risk aversion and the time preference discount rate per individual. This can be done because the consumption of a large prize is smoothed over a larger time period. It...
Persistent link: https://www.econbiz.de/10011507761