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Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition

Zhao, Lin; Wijnbergen, Sweder van - 2014

We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by...

Persistent link: https://www.econbiz.de/10010465169

Contracts and uncertainty

Olszewski, Wojciech; Sandroni, Alvaro - In: Theoretical economics : TE ; an open access journal in … 2 (2007) 1, pp. 1-13

. Hence, both Alice and the uninformed expert face uncertainty: they do not know the payoff-relevant probability. Alice offers …

Persistent link: https://www.econbiz.de/10011702645

Starting an R&D project under uncertainty

Dobbelaere, Sabien; Luttens, Roland Iwan; Peters, Bettina - 2010

We study a two-stage R&D project with an abandonment option. Two types of uncertainty influence the decision to start R …&D. Demand uncertainty is modelled as a lottery between a proportional increase and decrease in demand. Technical uncertainty is … modelled as a lottery between a decrease and increase in the cost to continue R&D. We relate differences in uncertainty to …

Persistent link: https://www.econbiz.de/10011378299

Risk aversion under preference uncertainty

Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010

their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

Persistent link: https://www.econbiz.de/10011382430

Educational choice, initial wage and wage growth

Mazza, Jacopo; Ophem, Hans van - 2020

We investigate the major choice of college graduates where we make choice dependent on expected initial wages and expected wage growth per major. We build a model that allows us to estimate these factors semiparametrically and that corrects for selection bias. We estimate the model on the...

Persistent link: https://www.econbiz.de/10012228687

Coarse contingencies and ambiguity

Epstein, Larry G.; Marinacci, Massimo; Seo, Kyoungwon - In: Theoretical economics : TE ; an open access journal in … 2 (2007) 4, pp. 355-394

The paper considers an agent who must choose an action today under uncertainty about the consequence of any chosen …

Persistent link: https://www.econbiz.de/10011702297

Optimal auctions with ambiguity

Bose, Subir; Ozdenoren, Emre; Pape, Andreas D. - In: Theoretical economics : TE ; an open access journal in … 1 (2006) 4, pp. 411-438

A crucial assumption in the optimal auction literature is that each bidder's valuation is known to be drawn from a unique distribution. In this paper we study the optimal auction problem allowing for ambiguity about the distribution of valuations. Agents may be ambiguity averse (modeled using...

Persistent link: https://www.econbiz.de/10011702781

The ex-ante aggregation of opinions under uncertainty

Nascimento, Leandro Gonçalves do - In: Theoretical economics : TE ; an open access journal in … 7 (2012) 3, pp. 535-570

This paper presents an analysis of the problem of aggregating preference orderings under subjective uncertainty …

Persistent link: https://www.econbiz.de/10011689307

Robust contracting under common value uncertainty

Auster, Sarah - In: Theoretical economics : TE ; an open access journal in … 13 (2018) 1, pp. 175-204

A buyer makes an offer to a privately informed seller for a good of uncertain quality. Quality determines both the seller's valuation and the buyer's valuation, and the buyer evaluates each contract according to its worst-case performance over a set of probability distributions. This paper...

Persistent link: https://www.econbiz.de/10011855861

Poverty and uncertainty attitudes

Gonzalez Jimenez, Victor H. - 2024

This paper demonstrates that well-established biases in decision making under uncertainty can generate poverty traps. A …

Persistent link: https://www.econbiz.de/10015062969