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Decision Making in Incomplete Markets with Ambiguity -- A Case Study of a Gas Field Acquisition
Zhao, Lin; Wijnbergen, Sweder van - Tinbergen Instituut - 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/10011256690
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Hedge Fund Portfolio Diversification Strategies across the GFC
Allen, David E.; McAleer, Michael; Peiris, Shelton; … - Tinbergen Instituut - 2014
This paper features an analysis of the effectiveness of a range of portfolio diversication strategies as applied to a … a challenging one for the application of diversication and portfolio investment strategies. The analysis features an …
Persistent link: https://www.econbiz.de/10011268660
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European Market Portfolio Diversification Strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert J.; … - Tinbergen Instituut - 2014
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a … portfolio investment strategies. The analysis is undertaken via the examination of multiple investment strategies and a variety … mean variance analysis with positive weights. Markowitz optimisation is then compared with various down-side investment …
Persistent link: https://www.econbiz.de/10011272588
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Analytic Decision Rules for Financial Stochastic Programs
Siegmann, Arjen H.; Lucas, André - Tinbergen Institute - 2000
Contemporary financial stochastic programs typically involve a trade-off between return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10005450807
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Analytic Decision Rules for Financial Stochastic Programs
Siegmann, Arjen H.; Lucas, André - Tinbergen Instituut - 2000
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10011256489
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Investment under Risk with Discrete and Continuous Assets
Elbers, Chris; Gunning, Jan Willem; Vigh, Melinda - Tinbergen Instituut - 2009
This paper considers a general class of stochastic dynamic choice models with discrete and continuous decision variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk. Our examples are drawn from the field of development...
Persistent link: https://www.econbiz.de/10011256814
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Investment, Resolution of Risk, and the Role of Affect
Winden, Frans van; Krawczyk, Michal; Hopfensitz, Astrid - Tinbergen Institute - 2008
This experimental study is concerned with the impact of the timing of the resolution of risk on people’s willingness to take risks, with a special focus on the role of affect. While the importance of anticipatory emotions has so far been only inferred from decisions regarding hypothetical...
Persistent link: https://www.econbiz.de/10005144438
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Inherent Efficiency, Security Markets, and the Pricing of Investment Strategies
Zou, Liang - Tinbergen Institute - 2000
This paper applies the dichotomous theory of choice by Zou (2000a) to the analysis of investment strategies and …
Persistent link: https://www.econbiz.de/10005137030
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Risk Aversion under Preference Uncertainty
Kraeussl, Roman; Lucas, Andre; Siegmann, Arjen - Tinbergen Institute - 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/10008752910
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Risk Aversion under Preference Uncertainty
Kraeussl, Roman; Lucas, Andre; Siegmann, Arjen - Tinbergen Instituut - 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/10011256400