Narrow search
Showing 1 - 10 of 6,552
Cover Image
Self-Fulfilling Risk Panics : An Expected Utility Framework
Benhabib, Jess; Liu, Xuewen; Wang, Pengfei - 2022
Even if an asset has no fundamental uncertainty with a constant dividend process, a stochastic sentiment-driven equilibrium for the asset price exists besides the well-known fundamental equilibrium. Our paper constructs such sentiment-driven equilibria under general utility functions within an...
Persistent link: https://www.econbiz.de/10014237591
Cover Image
Salience Theory of Choice Under Risk
Bordalo, Pedro - 2015
We present a theory of choice among lotteries in which the decision maker's attention is drawn to (precisely defined … payoffs, our model provides a novel and unified account of many empirical phenomena, including frequent risk-seeking behavior … 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
Cover Image
A New Method of Estimating Risk Aversion
Chetty, Raj - 2003
This paper develops a method of estimating the coefficient of relative risk aversion (g) from data on labor supply. The … beyond those of expected utility theory. It is shown that the curvature of the utility function is directly related to the …
Persistent link: https://www.econbiz.de/10012786381
Cover Image
Variable Selection for Portfolio Choice
Ait-Sahalia, Yacine - 2010
-expected utility (ambiguity aversion and prospect theory) objectives and characterize their market-timing, horizon effects, and hedging …
Persistent link: https://www.econbiz.de/10012763209
Cover Image
Delays in Claiming Social Security Benefits
Coile, Courtney; Diamond, Peter A.; Gruber, Jonathan; … - 2021
This paper focuses on Social Security benefit claiming behavior, a take-up decision that has been ignored in the previous literature. Using financial calculations and simulations based on an expected utility maximization model, we show that delaying benefit claim for a period of time after...
Persistent link: https://www.econbiz.de/10013221087
Cover Image
Negative Expected Value Suits
Bebchuk, Lucian A. - 2021
When the cost of a suit exceeds the expected judgment, will a potential plaintiff be able to extract any amount in settlement from the defendant? If so, what is the source of the plaintiff's ability to extract a settlement? This essay discusses existing theories as to why (and when) plaintiffs...
Persistent link: https://www.econbiz.de/10013240952
Cover Image
Inflation Stabilization and Welfare : The Case of a Distorted Steady State
Benigno, Pierpaolo; Woodford, Michael - 2021
This paper considers the appropriate stabilization objectives for monetary policy in a microfounded model with staggered price-setting. Rotemberg and Woodford (1997) and Woodford (2002) have shown that under certain conditions, a local approximation to the expected utility of the representative...
Persistent link: https://www.econbiz.de/10013247421
Cover Image
Welfare Dynamics Under Time Limits
Grogger, Jeffrey; Michalopoulos, Charles - 2021
Among the most important changes brought about by the Personal Responsibility and Work Opportunity Reconciliation Act of 1996 (PRWORA) is the imposition of time limits. In this paper, we analyze a simple model in which a potential welfare recipient chooses how to allocate her time-limited...
Persistent link: https://www.econbiz.de/10013248681
Cover Image
Survival Ambiguity and Welfare
Caliendo, Frank - 2017
, survival ambiguity is welfare improving because it allows competitive insurance companies to pool risk across survival types …
Persistent link: https://www.econbiz.de/10012950059
Cover Image
Ambiguity and Asset Markets
Epstein, Larry G. - 2010
inconsistent with subjective expected utility theory (SEU), the standard model of choice under uncertainty in financial economics …
Persistent link: https://www.econbiz.de/10013141267