Narrow search
Showing 1 - 10 of 3,898
Cover Image
Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10003807893
Cover Image
Risk-taking-neutral background risk
Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - 2013
We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a decision made with and without some exogenous background...
Persistent link: https://www.econbiz.de/10009690709
Cover Image
Overconfidence in investment decisions : an experimental approach
Dittrich, Dennis; Güth, Werner; Maciejovsky, Boris - 2001
We experimentally test overconfidence in investment decisions by offering participants the possibility to substitute their own for alternative investment choices. Overall, 149 subjects participated in two experiments, one with just one risky asset, the other with two risky assets. Overconfidence...
Persistent link: https://www.econbiz.de/10011408444
Cover Image
Assets returns volatility and investment horizon : the french case
Bec, Frédérique; Gollier, Christian - 2009
This paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The...
Persistent link: https://www.econbiz.de/10003833321
Cover Image
Discounting in an uncertain world : disentangling the debate on the Weitzman-Gollier puzzle
Buchholz, Wolfgang - 2014
Under conditions of risk it makes a difference whether the discount rate is determined as an expected present or as an expected future value. This difference which is dubbed as the Weitzman-Gollier puzzle has stimulated an intensive discussion which, however, is somewhat confusing. In this paper...
Persistent link: https://www.econbiz.de/10010412052
Cover Image
Diverse risk preferences and heterogeneous expectations in an asset pricing model
Gomez, Thomas; Piccillo, Giulia - 2019
We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion,...
Persistent link: https://www.econbiz.de/10012157926
Cover Image
How accurate are modern value-at-risk estimators derived from extreme value theory?
Auer, Benjamin R.; Mögel, Benjamin - 2016
derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …
Persistent link: https://www.econbiz.de/10011587888
Cover Image
Mean univariate-GARCH VaR portfolio optimization : actual portfolio approach
Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - 2016
In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle...
Persistent link: https://www.econbiz.de/10011420698
Cover Image
Illusion of expertise in portfolio decisions : an experimental approach
Fellner, Gerlinde; Güth, Werner; Maciejovsky, Boris - 2001
Overall, 72 subjects invest their endowment in four risky assets. Each com-bination of assets yields the same expected return and variance of returns. Illusion of expertise prevails when one prefers nevertheless the self-selected portfolio. After being randomly assigned to groups of four...
Persistent link: https://www.econbiz.de/10011408429
Cover Image
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