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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

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

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

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

Damming trans-boundary rivers : a welfare analysis of conflict and cooperation

Zeng, Yuyu; Houba, Harold; Dinar, Ariel; Marence, Miroslav - 2016

Dams are essential for water storage and hydropower generation, but change river flow patterns and endanger local environments. Dam projects may further exacerbate already existing problems in trans-boundary rivers. We consider three scenarios of institutional factors: (1) each country pursues...

Persistent link: https://www.econbiz.de/10011556226

Solving discrete zero point problems

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

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

Errors in judicial decisions

Sonnemans, Joep; Dijk, Frans van - 2008

In criminal cases the task of the judge is to transform the uncertainty about the facts into the certainty of the …

Persistent link: https://www.econbiz.de/10011377092

A dynamic model of investor decision-making : how adaptation to losses affects future selling decisions

Lee, Carmen; Kräussl, Roman; Lucas, André; Paas, … - 2008

We conduct an experiment to test whether the size of a loss and the time in a losing position affect investors’ adaptation to the loss situation and, subsequently, whether this adaptation affects future investment decisions. As investors adapt to losses, their neutral reference point shifts...

Persistent link: https://www.econbiz.de/10011377365

The origin of prospect theory, or testing the intuitive statistician

Heukelom, Floris - 2005

The origin of prospect theory is the desire to test the intuitive statistician in the real world. The development of this theory by the cognitive psychologists Kahneman and Tversky can be traced to the former's work in cognitive psychophysics, in which deviations from average behavior are termed...

Persistent link: https://www.econbiz.de/10011346453