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Debo, Laurens G.; Parlour, Christine; Rajan, Uday - In: Management Science 58 (2012) 5, pp. 876-891

below and above the hole, but not at the hole itself. We show that if the prior probability the product has high quality and …

Persistent link: https://www.econbiz.de/10010990527

Monte Carlo Algorithms for Default Timing Problems

Giesecke, Kay; Kim, Baeho; Zhu, Shilin - In: Management Science 57 (2011) 12, pp. 2115-2129

Dynamic, intensity-based point process models are widely used to measure and price the correlated default risk in portfolios of credit-sensitive assets such as loans and corporate bonds. Monte Carlo simulation is an important tool for performing computations in these models. This paper develops,...

Persistent link: https://www.econbiz.de/10010990537

A Case-Based Model of Probability and Pricing Judgments: Biases in Buying and Selling Uncertainty

Brenner, Lyle A.; Griffin, Dale W.; Koehler, Derek J. - In: Management Science 58 (2012) 1, pp. 159-178

We integrate a case-based model of probability judgment with prospect theory to explore asset pricing under uncertainty …. Research within the "heuristics and biases" tradition suggests that probability judgments respond primarily to case … framework's predictions, distinct patterns of miscalibration are found for buying prices, selling prices, and probability …

Persistent link: https://www.econbiz.de/10010990558

Contingent Capital with a Capital-Ratio Trigger

Glasserman, Paul; Nouri, Behzad - In: Management Science 58 (2012) 10, pp. 1816-1833

Contingent capital in the form of debt that converts to equity when a bank faces financial distress has been proposed as a mechanism to enhance financial stability and avoid costly government rescues. Specific proposals vary in their choice of conversion trigger and conversion mechanism. We...

Persistent link: https://www.econbiz.de/10010990568

Sequential Sampling with Economics of Selection Procedures

Chick, Stephen E.; Frazier, Peter - In: Management Science 58 (2012) 3, pp. 550-569

Sequential sampling problems arise in stochastic simulation and many other applications. Sampling is used to infer the unknown performance of several alternatives before one alternative is selected as best. This paper presents new economically motivated fully sequential sampling procedures to...

Persistent link: https://www.econbiz.de/10010990579

A Model for Predicting Frequencies of Random Events

Rosenfield, Donald - In: Management Science 33 (1987) 8, pp. 947-954

This paper presents a new technique for forecasting frequencies of events over time for individuals. The technique bases future occurrences on an estimation procedure based on historical data. The estimation procedure incorporates two types of uncertainty: population variation and individual...

Persistent link: https://www.econbiz.de/10009208983

A Multiplicative Formula for Aggregating Probability Assessments

Bordley, Robert F. - In: Management Science 28 (1982) 10, pp. 1137-1148

This paper presents an axiomatic approach to the problem of aggregating expert assessments of an event's probability … into some group probability assessment. A multiplicative formula is derived. …

Persistent link: https://www.econbiz.de/10009209252

State of the Art---Encoding Subjective Probabilities: A Psychological and Psychometric Review

Wallsten, Thomas S.; Budescu, David V. - In: Management Science 29 (1983) 2, pp. 151-173

In order to review the empirical literature on subjective probability encoding from a psychological and psychometric … psychometric theory can provide a general framework for evaluating and assessing subjective probability encoding. The actual review …

Persistent link: https://www.econbiz.de/10009214050

Note---On the Aggregation of Individual Probability Estimates

Bordley, Robert F.; Wolff, Ronald W. - In: Management Science 27 (1981) 8, pp. 959-964

This Note considers the problem of aggregating individual probability estimates of an event to obtain a group estimate …. Norman Dalkey has argued that no rigorous theory of probability aggregation is possible for the following reasons: (1) There … is no consistent way of aggregating individual probability estimates (Dalkey's Impossibility Theorem). But Dalkey …

Persistent link: https://www.econbiz.de/10009214490

A Belief-Based Account of Decision Under Uncertainty

Fox, Craig R.; Tversky, Amos - In: Management Science 44 (1998) 7, pp. 879-895

(i) judgments of probability, which are assumed to satisfy support theory; and (ii) decisions under risk, which are … assumed to satisfy prospect theory. In two experiments, subjects evaluated uncertain prospects and assessed the probability of …

Persistent link: https://www.econbiz.de/10009214756