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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...
Persistent link: https://www.econbiz.de/10011382430
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
Persistent link: https://www.econbiz.de/10008771804
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Explaining hedge fund investment styles by loss aversion
Siegmann, Adriaan Hendrik; Lucas, André - 2002 - This version: May 7, 2002
Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...
Persistent link: https://www.econbiz.de/10011326964
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Explaining hedge fund investment styles by loss aversion: a rational alternative
Siegmann, Arjen; Lucas, André - 2002
Persistent link: https://www.econbiz.de/10001689199
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Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.; Weide, Roy van der - 2003
This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...
Persistent link: https://www.econbiz.de/10011334332
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …
Persistent link: https://www.econbiz.de/10011441491
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Simple market timing with moving averages
Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018
average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …
Persistent link: https://www.econbiz.de/10011848115
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The degree measure as utility function over positions in networks
Brink, René van den; Rusinowska, Agnieszka - 2017
In this paper, we connect the social network theory on centrality measures to the economic theory of preferences and utility. Using the fact that networks form a special class of cooperative TU-games, we provide a foundation for the degree measure as a von Neumann-Morgenstern expected utility...
Persistent link: https://www.econbiz.de/10011688772
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Management science, economics and finance : a connection
Chang, Chia-Lin; McAleer, Michael; Wong, Wing Keung - 2016
This paper provides a brief review of the connecting literature in management science, economics and finance, and discusses some research that is related to the three disciplines. Academics could develop theoretical models and subsequent econometric models to estimate the parameters in the...
Persistent link: https://www.econbiz.de/10011479822
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The Nash- and Kalai-Smorodinsky bargaining solution for decision weight utility functions
Houba, Harold; Tieman, Alexander F.; Brinksma, René - 1996
Persistent link: https://www.econbiz.de/10000941220