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Risk aversion and the subjective time discount rate : a joint approach
Praag, Bernard M. S. van; Booij, Adam S. - 2003
In this paper we analyze a large sample of individual responses to six lottery questions. Wederive a simultaneous estimate of risk aversion ? and the time preference discount rate ? perindividual. This can be done because the consumption of a large prize is smoothed over a largertime period. It...
Persistent link: https://www.econbiz.de/10011333268
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HIV/AIDS, risk aversion and intertemporal choice
Lammers, Judith; Wijnbergen, Sweder van - 2008 - Rev.
This study analyses the relation between perceived health status and intertemporal choice. We use data from experiments with real monetary rewards conduEted among students in South Africa to estimate risk and time preferences. These experimental data, based on muitiple price lists developed by...
Persistent link: https://www.econbiz.de/10011373818
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HIV/AIDS, risk aversion and intertemporal choice
Lammers, Judith; Wijnbergen, Sweder van - 2007
Persistent link: https://www.econbiz.de/10003645039
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Risk aversion and the subjective time discount rate : a joint approach
Praag, Bernard M. S. van; Booij, Adam S. - 2003
Persistent link: https://www.econbiz.de/10001791857
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Auctions under payoff uncertainty : the case with heterogeneous bidder-aversion to downside risk
Hu, Audrey Xianhua; Zou, Liang - 2008
This paper characterizes the optimal first-price auction (FPA) and second-price auction (SPA) for selling rights, contracts, or licenses that involve ensuing payoff uncertainty for the winning bidder. The distribution of the random payoff is common knowledge, except that bidders have private...
Persistent link: https://www.econbiz.de/10011374400
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Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey M. - 2009
This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...
Persistent link: https://www.econbiz.de/10011379506
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …
Persistent link: https://www.econbiz.de/10011382430
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Measuring tastes for equity and aggregate wealth behind the veil of ignorance
Heufer, Jan; Shachat, Jason M.; Xu, Yan - 2018
ignorance. We pair portfolio and wealth distribution choice problems which have a common budget set. For a given bundle, the … distribution over an individual's wealth is the same for both problems. The portfolio choice serves as a benchmark to evaluate … whether the wealth distribution choice exhibits equity or efficiency preferring tastes. We report experiments using a within …
Persistent link: https://www.econbiz.de/10011928322
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Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements
Lizyayev, Andrey - 2010
Persistent link: https://www.econbiz.de/10008655195
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Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements
Lizyayev, Andrey - 2010
For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...
Persistent link: https://www.econbiz.de/10011381581