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expected utility (GEU) to the diversification of agents who maximize the conventional expected utility (EU). Specifically, we … derive the patterns of diversification for agents who maximize a rank-dependent' expected utility, attaching more weight to … bad' than to good' outcomes, in contrast to the probability weights used in a conventional expected utility maximization …
Persistent link: https://www.econbiz.de/10012774958
We present a theory of choice among lotteries in which the decision maker's attention is drawn to (precisely defined … distinguish it from Prospect Theory, which we test. We also use the model to modify the standard asset pricing framework, and use …
Persistent link: https://www.econbiz.de/10013038557
-driven equilibria under general utility functions within an OLG structure. Our paper further shows that the existence of sentiment …
Persistent link: https://www.econbiz.de/10014237591
approximation to the expected utility of the representative household in a model of this kind is related inversely to the expected …
Persistent link: https://www.econbiz.de/10013247421
Persistent link: https://www.econbiz.de/10011326677
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This paper considers a representative agent model of asset prices based on a recursive utility specification. A … constant elasticity of intertemporal substitution is assumed but the risk-preference component of utility is restricted only by … semiparametric recursive utility model for the one-step ahead joint probability distribution for consumption growth and asset returns …
Persistent link: https://www.econbiz.de/10012783882
The appeal of expected utility theory as a basis for a descriptive model of risky decision making has diminished is a …-range probability than is proposed by the expected utility model and risk-seeking behavior over quot;long-shotquot; odds is common …
Persistent link: https://www.econbiz.de/10012760030
The outcome of any important macroeconomic policy change is the net effect of forces operating on different parts of the economy. A central challenge facing policy makers is how to assess the relative strength of those forces. Dynamic Stochastic General Equilibrium (DSGE) models are the leading...
Persistent link: https://www.econbiz.de/10012914719