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Using Neural Data to Test a Theory of Investor Behavior : An Application to Realization Utility

Frydman, Cary - 2012

utility" theory of investor behavior, which posits that people derive utility directly from the act of realizing gains and … exhibit a strong disposition effect in their trading, even though it is suboptimal. Consistent with the realization utility … options during choices, correlates with the capital gains of potential trades; that the neural measures of realization utility …

Persistent link: https://www.econbiz.de/10012460098

Welfare Dynamics Under Time Limits

Grogger, Jeff - 1999

recipient chooses how to allocate her time-limited endowment of benefits so as to maximize her expected lifetime utility. Not …

Persistent link: https://www.econbiz.de/10012471431

Delays in Claiming Social Security Benefits

Coile, Courtney - 1999

previous literature. Using financial calculations and simulations based on an expected utility maximization model, we show that …

Persistent link: https://www.econbiz.de/10012471466

Self-Fulfilling Risk Panics : An Expected Utility Framework

Benhabib, Jess - 2020

-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/10012482502

Inflation Stabilization and Welfare : The Case of a Distorted Steady State

Benigno, Pierpaolo - 2004

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/10012467851

Individual Subjective Survival Curves

Gan, Li - 2003

Testing life-cycle models and other economic models of saving and consumption at micro level requires knowledge of individuals' subjective believes of their mortality risk. Previous studies have shown that individual responses on subjective survival probabilities are generally consistent with...

Persistent link: https://www.econbiz.de/10012469223

Machine-Learning the Skill of Mutual Fund Managers

Kaniel, Ron; Lin, Zihan; Pelger, Markus; Nieuwerburgh, … - National Bureau of Economic Research - 2022

We show, using machine learning, that fund characteristics can consistently differentiate high from low-performing mutual funds, as well as identify funds with net-of-fees abnormal returns. Fund momentum and fund flow are the most important predictors of future risk-adjusted fund performance,...

Persistent link: https://www.econbiz.de/10012938692

Inequality and the Zero Lower Bound

Fernández-Villaverde, Jesús; Marbet, Joël; Nuño, Galo; … - National Bureau of Economic Research - 2023

This paper studies how household inequality shapes the effects of the zero lower bound (ZLB) on nominal interest rates on aggregate dynamics. To do so, we consider a heterogeneous agent New Keynesian (HANK) model with an occasionally binding ZLB and solve for its fully non-linear stochastic...

Persistent link: https://www.econbiz.de/10014287383

New Directions for Stochastic Open Economy Models

Obstfeld, Maurice - 1999

The paper develops a simple stochastic new open economy macroeconomic model based on sticky nominal wages. Explicit solution of the wage-setting problem under uncertainty allows one to analyze the effects of the monetary regime on welfare, expected output, and the expected terms of trade....

Persistent link: https://www.econbiz.de/10012471471

Implications of Stochastic Transmission Rates for Managing Pandemic Risks

Hong, Harrison - 2020

We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an epidemic model and link valuations to infections via an asset-pricing framework with vaccines. Infections lower earnings growth but firms can mitigate damages. We estimate a...

Persistent link: https://www.econbiz.de/10012481801

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