Narrow search
Showing 1 - 10 of 393
Cover Image
Investment Under Uncertainty and Incomplete Markets
Hugonnier, Julien; Morellec, Erwan - Institut für Schweizerisches Bankwesen <Zürich> - 2004
In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or perfect capital markets. However in most situations, corporate executives face incomplete markets either because they receive compensation packages...
Persistent link: https://www.econbiz.de/10005858790
Cover Image
Wealth inequality and the optimal level of government debt
Röhrs, Sigrid; Winter, Christoph - 2011
In this paper, we quantitatively analyze to what extent a benevolent government should issue debt in a model where households are subject to idiosyncratic productivity shocks, insurance markets are missing and borrowing is restricted. In this environment, issuing government bonds facilitates...
Persistent link: https://www.econbiz.de/10010316936
Cover Image
Agency Conflicts and Risk Management
Morellec, Erwan; Smith Jr, Clifford W. - Institut für Schweizerisches Bankwesen <Zürich> - 2005
financing and hedging policies, shareholders generally have no incentives to engage in asset substitution once debt has been …
Persistent link: https://www.econbiz.de/10005858789
Cover Image
Real Options and Risk Aversion
Hugonnier, Julien; Morellec, Erwan - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or perfect capital markets. Although the assumptions of risk neutrality or market completeness are crucial to the implications of the approach, they...
Persistent link: https://www.econbiz.de/10005858791
Cover Image
Irreversible Investment in General Equilibrium
Hugonnier, Julien; Morellec, Erwan; Sundaresan, Suresh - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Theories of investment suggest that the option value of waiting to invest is significant in many branches of economics, where investment is irreversible. The existing literature has generally failed to account for the general equilibrium feedback effects of lumpy investments on optimal...
Persistent link: https://www.econbiz.de/10005858793
Cover Image
The Solvency II Process : Overview and Critical Analysis
Eling, Martin; Schmeiser, Hato; Schmit, Joan T. - Institut für Versicherungswirtschaft <Sankt Gallen> - 2005
As early as the 1970s, European Union (EU) member countries implemented rulesto coordinate insurance markets and regulation. However, with the more recentmovement toward a general single EU market, financial services regulation hastaken on new meaning and priority. Solvency I regulations went...
Persistent link: https://www.econbiz.de/10005861545
Cover Image
Hedging, financing, and investment decisions: A simultaneous equations framework
Lin, Chen-miao; Smith, Stephen D.; Lin, Chen-miao; … - 2005
The purpose of this paper is to empirically investigate the interaction between hedging, financing, and investment … two decisions are being made. We argue that the way in which hedging affects the firms’ financing and investing decisions …, but not their leverage, by hedging. However, we also find that firms with few investment opportunities use derivatives to …
Persistent link: https://www.econbiz.de/10010397691
Cover Image
Theory of demand in incomplete markets
Turner, Sergio - 2005
We develop the theory of demand for commodities and assets facing incompletely insurable uncertainty. First, a Slutsky matrix decomposes into substitution and income effects the derivative of demand with respect to prices and yield structure. Next, we identify the Slutsky matrix’s properties....
Persistent link: https://www.econbiz.de/10010318868
Cover Image
Evolutionary Stable Stock Markets
Hens, Thorsten; Schenk-Hoppe, Klaus Reiner; Evstigneev, Igor - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper shows that a stock market is evolutionary stable if andonly if stocks are evaluated by expected relative dividends. Any othermarket can be invaded by portfolio rules that will gain market wealthand hence change the valuation. In the model the valuation of assetsis given by the wealth...
Persistent link: https://www.econbiz.de/10005858757
Cover Image
Incomplete-Market Equilibria Solved Recursively on anEvent Tree
Dumas, Bernard; Lyasoff, Andrew - National Centre of Competence in ResearchFinancial … - 2008
We develop a method that allows one to compute incomplete-market equilibria routinely forMarkovian equilibria (when they exist). The main difficulty to be overcome arises from the setof state variables. There are, of course, exogenous state variables driving the economy but, in anincomplete...
Persistent link: https://www.econbiz.de/10005868691