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Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10011928002

A complementary micro Coronavirus model under uncertainty and utility

Gander, James P. - 2020

A micro decision-making utility model under uncertainty is presented as a complementary foundation for macro … coronavirus models. The micro model consists of two functions, a risk averse utility function depending on wellness and a wellness …, washing hands, wearing a face mask, and others. The decision maker selects a level of treatment that maximizes her …

Persistent link: https://www.econbiz.de/10013269247

Methodology and change : problems of applied social science research techniques in the Commonwealth Caribbean

Lindsay, Louis (contributor) - 1978

Persistent link: https://www.econbiz.de/10002354993

Detecting Informed Trading Activities in the OptionsMarkets

Chesney, Marc; Crameri, Remo; Mancini, Loriano - Institut für Schweizerisches Bankwesen <Zürich> - 2009

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...

Persistent link: https://www.econbiz.de/10005868704

Pricing of Corporate and Portfolio Securities in Buyer-Supplier Networks

Brumen, Gorazd; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich> - 2006

The paper investigates how buyer-supplier firm-specific relationships affect security prices. Starting from the empirical inconsistencies associated with some standard structural models we propose a structural model of firm dependence in a vertically connected network of firms based on cash flow...

Persistent link: https://www.econbiz.de/10005858385

American Parisian Options

Chesney, Marc; Gauthier, Laurent - Institut für Schweizerisches Bankwesen <Zürich> - 2006

In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non perpetual case, we have been able to reformulate their price as a function of the exercise frontier. In the...

Persistent link: https://www.econbiz.de/10005858581

Technical Analysis Compared to Mathematical Models Based Methods Under Misspecification

Blanchet-Scaillet, Christophe; Diop, Awa; Gibson, Rajna; … - Institut für Schweizerisches Bankwesen <Zürich> - 2005

We aim to compare financial technical analysis techniques to strategies which depend on a mathematical model. In this paper, we consider the moving average indicator and an investor using a risky asset whose instantaneous rate of return changes at an unknown random time. We construct...

Persistent link: https://www.econbiz.de/10005858764

Distributional comparative statics with heterogeneous agents

Hefti, Andreas - 2016

We propose a formal way to systematically study the differential effects of exogenous shocks in economic models with heterogeneous agents. Our setting applies to models that can be rephrased as "competition for market shares" in a broad sense. We show that even in presence of any number of...

Persistent link: https://www.econbiz.de/10011663196

Inequality in models with a competition for market shares

Hefti, Andreas; Teichgräber, Julian - 2021

This paper develops a framework to systematically study how changes in market conditions affect the equilibrium inequality between heterogeneous agents. By stating our setting as a "competition for market shares", we can derive inequality predictions for vastly different competition models. This...

Persistent link: https://www.econbiz.de/10012420689

A Fixed Point Theorem for Monotone Functions equivalent to Browers theorem

Persson, Håkan - 2005

A Fixed Point Theorem for Monotone Functions equivalent to Browers theorem

Persistent link: https://www.econbiz.de/10012654309