Showing 1 - 10 of 156
models. This Monte Carlo analysis is, in essence, an averaged sensitivity analyses. The approach resolves all uncertainty … acknowledges the full set of possible future trajectories in every period. Our analysis uses a stochastic dynamic programming …
Persistent link: https://www.econbiz.de/10010681751
We observe that identification of the discount rate from experimental data requires an assumption about the consumption period, the length of time over which a payment will be turned into utility-providing consumption. We show that the optimal consumption period is substantially longer than...
Persistent link: https://www.econbiz.de/10010906364
We show that risk-averse hyperbolic-discounting agents can benefit from positive exposure to risk and thus behave as if risk-loving. When the benefits of costly effort are delayed, selecting some risk concerning the outcome of one’s own effort can serve as an intrapersonal commitment device...
Persistent link: https://www.econbiz.de/10010594148
In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean–variance approach that can control portfolio skewness and...
Persistent link: https://www.econbiz.de/10010743694
In this note we show the following result of Dybvig (1995) is valid for a general von Neumann–Morgenstern utility function: for an agent who does not tolerate a decline in consumption, the optimal investment out of discretionary wealth (in excess of the perpetuity value of current consumption)...
Persistent link: https://www.econbiz.de/10010594097
We identify the conditions where robust mean–variance preferences, which capture ambiguity aversion, are observationally nonequivalent to subjective mean–variance preferences. Conversely, we also provide an example showing that observational equivalence holds regardless of the degree of...
Persistent link: https://www.econbiz.de/10010933288
This study establishes necessary conditions for Almost Stochastic Dominance criteria of various orders. These conditions take the form of restrictions on algebraic combinations of moments of the probability distributions in question. The relevant set of conditions depends on the relevant order...
Persistent link: https://www.econbiz.de/10010933305
Both the expected-utility maximization and the hierarchy property are very important properties in stochastic dominance. For almost stochastic dominance, Leshno and Levy (2002) propose a definition and Tzeng et al. (2013) modified it to give another definition. This note provides more...
Persistent link: https://www.econbiz.de/10011041684
Estimates of agents’ risk aversion differ between market studies and experimental studies. We demonstrate that these estimates can be reconciled through consistent treatment of agents’ propensity for narrow framing.
Persistent link: https://www.econbiz.de/10011041715
This paper analyzes gender differences in the disposition effect in an experiment based on Weber and Camerer (1998). The results emphasize that female investors realize less capital losses, have significantly higher disposition effects and are more loss averse than men.
Persistent link: https://www.econbiz.de/10010743733