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Convexity Bounds for BSDE Solutions, WithApplications to Indifference Valuation
Frei, Christoph; Malamud, Semyon; Schweizer, Martin - National Centre of Competence in ResearchFinancial … - 2009
We consider backward stochastic dierential equations (BSDEs) witha particular quadratic generator and study the behaviour of their solu-tions when the probability measure is changed, the ltration is shrunk,or the underlying probability space is transformed.[...]
Persistent link: https://www.econbiz.de/10005868718
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Indifference Pricing for Power Utilities
Malamud, Semyon; Trubowitz, Eugene; Wüthrich, Mario V. - National Centre of Competence in ResearchFinancial … - 2008
We study utility indifference pricing of claim streams with intertemporalconsumption and power (CRRA) utilities. We derive explicit formulasfor the derivatives of the utility indifference price with respect toclaims and wealth. The simple structure of these formulas is a reflectionof surprising...
Persistent link: https://www.econbiz.de/10005868988
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Coordination and Critical Mass in a Network Market - An Experimental Evaluation
Etziony, Amir; Weiss, Avi - 2002
In this paper we present the results of an experiment aimed at testing the ability of consumers to coordinate actions … our experiment, subjects were asked offered the option of buying a good at a certain price. Subjects were told the value … of the product, but this value depended on how many other subjects bought. The experiment was run under two treatments …
Persistent link: https://www.econbiz.de/10013204718
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The two faces of independence: Betweenness and homotheticity
Burghart, Daniel R.; Epper, Thomas; Fehr, Ernst - 2014
revealed preference experiment, and without making any parametric assumptions, we show that 1/3 of participants belong in the …
Persistent link: https://www.econbiz.de/10011282512
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An investigation of individual preferences: Consistency across incentives and stability over time
Mentzakis, Emmanouil; Zhang, Jingjing - 2012
.e. elicitation at two different points in time) in a choice experiment involving charitable donating decisions. We provide evidence …
Persistent link: https://www.econbiz.de/10010316916
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A variation on Ellsberg
Eliaz, Kfir; Ortoleva, Pietro - 2011
Ellsberg's experiment involved a gamble with no ambiguity (N) and a gamble where the prize that could be won is …
Persistent link: https://www.econbiz.de/10010284066
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Risky curves: From unobservable utility to observable opportunity sets
Friedman, Daniel; Sunder, Shyam - 2011
Most theories of risky choice postulate that a decision maker maximizes the expectation of a Bernoulli (or utility or similar) function. We tour 60 years of empirical search and conclude that no such functions have yet been found that are useful for out-of-sample prediction. Nor do we find...
Persistent link: https://www.econbiz.de/10010288161
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Uncertain demand, consumer loss aversion, and flat-rate tariffs
Herweg, Fabian; Mierendorff, Konrad - 2011
We consider a model of firm pricing and consumer choice, where consumers are loss averse and uncertain about their future demand. Possibly, consumers in our model prefer a flat rate to a measured tariff, even though this choice does not minimize their expected billing amount - a behavior in line...
Persistent link: https://www.econbiz.de/10010316924
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Loss Aversion with a State-dependent Reference Point
De Giorgi, Enrico; Post, Thierry - Institut für Schweizerisches Bankwesen <Zürich> - 2008
This study investigates loss aversion when the reference point is state-dependent.Using a state-dependent structure, prospects are more attractive if they depend positively on the reference point and are less attractive in case of negative dependence. In addition, the structure is neutral in the...
Persistent link: https://www.econbiz.de/10005858208
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Gender preference gaps and voting for redistribution
Ranehill, Eva; Weber, Roberto A. - 2021
preferences requires an improved understanding. We conduct an experiment in which individuals in small laboratory "societies …
Persistent link: https://www.econbiz.de/10013164121