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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

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

A comonotonic image of independence for additive risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A.; … - 2004

This paper presents a new axiomatic characterization of risk measures that are additive for independent random variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the axiom of additivity for independent random variables is...

Persistent link: https://www.econbiz.de/10011334834

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

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

Down-side risk metrics as portfolio diversification strategies across the GFC

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

This paper features an analysis of the effectiveness of a range of portfolio diversi cation strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a...

Persistent link: https://www.econbiz.de/10011376286

Analytic decision rules for financial stochastic programs

Siegmann, Adriaan Hendrik; Lucas, André - 2000 - This version: May 1, 2000

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

Persistent link: https://www.econbiz.de/10011303296

Solving discrete zero point problems

Laan, Gerard van der; Talman, Dolf; Yang, Zaifu - 2004

Persistent link: https://www.econbiz.de/10011337990

Solving discrete zero point problems with vector labeling

Laan, Gerard van der; Talman, Dolf; Yang, Zaifu - 2005

In this paper we present two general results on the existence of a discrete zero point of a function from the n-dimensional integer lattice Zn to the n-dimensional Euclidean space Rn. Under two different boundary conditions, we give a constructive proof using a combinatorial argument based on a...

Persistent link: https://www.econbiz.de/10011346458