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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

Approximate results for a generalized secretary problem

Dietz, Chris; Laan, Dinard van der; Ridder, Ad - 2010

A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented one by one in a random order. It is assumed that b is bigger than or equal to 1 is a preassigned number. It is...

Persistent link: https://www.econbiz.de/10011381898

Optimal search with costly recall

Janssen, Maarten C. W.; Parakhonyak, Alexei - 2008

This paper builds a consumer search model where the cost of going back to stores already searched is explicitly taken into account. We show that the optimal search rule under costly recall is very different from the optimal search rule under perfect recall. Under costly recall, the optimal...

Persistent link: https://www.econbiz.de/10011373816

Solving penalised American options for jump diffusions using the POST algorithm

Hessing, Jean-Claude; Lange, Rutger-Jan; Ralph, Daniel - 2022

This article establishes the Poisson optional stopping times (POST) method by [22] as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the decision maker is permitted to "stop", i.e. exercise the...

Persistent link: https://www.econbiz.de/10012817150

Biodiversity prospecting over time and under uncertainty : a theory of sorts

Batabyal, Amitrajeet A.; Nijkamp, Peter - 2013

Biodiversity prospecting refers to the exploration of the commercial value of genetic and biochemical resources. In this chapter, we study a drug producing pharmaceutical firm (PF) that searches for potentially useful chemicals made by wild organisms in a conservation area. This PF is able to...

Persistent link: https://www.econbiz.de/10010224811

Voluntary participation and intergenerational risk sharing in a funded pension system

Beetsma, Roel; Romp, Ward E.; Vos, Siert J. - 2011 - This version: March 16, 2011

increases with risk aversion and financial market uncertainty. We find that it is likely that mandatory participation is …

Persistent link: https://www.econbiz.de/10011386164

Intergenerational sharing of unhedgeable inflation risk

Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2022 - This version: November 16, 2022

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...

Persistent link: https://www.econbiz.de/10013460026

Degree centrality, von Neumann-Morgenstern expected utility and externalities in networks

Brink, René van den; Rusinowska, Agnieszka - 2023

This paper aims to connect the social network literature on centrality measures with the economic literature on von Neumann-Morgenstern expected utility functions using cooperative game theory. The social network literature studies various concepts of network centrality, such as degree,...

Persistent link: https://www.econbiz.de/10014369587

Expected utility and catastrophic risk

Ikefuji, Masako; Laeven, Roger; Magnus, Jan R.; Muris, Chris - 2014

An expected utility based cost-benefit analysis is in general fragile to its distributional assumptions. We derive necessary and sufficient conditions on the utility function of the expected utility model to avoid this. The conditions ensure that expected (marginal) utility remains finite also...

Persistent link: https://www.econbiz.de/10010412466

Advances in financial risk management and economic policy uncertainty : an overview

Hammoudeh, Shawkat; McAleer, Michael - 2014

Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … Uncertainty" is to highlight some areas of research in which novel econometric, financial econometric and empirical finance … methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty …

Persistent link: https://www.econbiz.de/10010366930