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Jewitt, Ian; Mukerji, Sujoy - 2017

ambiguity averse relation. First, we define two notions of more ambiguous with respect to such a class. A more ambiguous (I) act … makes an ambiguity averse decision maker (DM) worse off but does not affect the welfare of an ambiguity neutral DM. A more … ambiguous (II) act adversely affects a more ambiguity averse DM more, as measured by the compensation they require to switch …

Persistent link: https://www.econbiz.de/10011694759

Foundations of ambiguity models under symmetry : α-MEU and smooth ambiguity

Klibanoff, Peter; Mukerji, Sujoy; Seo, Kyoungwon; … - 2021 - This Version: January 13, 2021

The α-MEU model and the smooth ambiguity model are two popular models in decision making under ambiguity. However, the …

Persistent link: https://www.econbiz.de/10012422419

Symmetry axioms and perceived ambiguity

Klibanoff, Peter; Mukerji, Sujoy; Seo, Kyoungwon - 2017

between the set of relevant measures, shown by KMS [21] to reflect only perceived ambiguity, and the set of measures (which we … perceived ambiguity. Regarding symmetry assumptions, we show that, under relatively mild conditions, a variety of preference … stringent. Only when it is satisfied may the Bewley set be interpreted as reflecting only perceived ambiguity and not also taste …

Persistent link: https://www.econbiz.de/10011694779

Institutional investors and home bias in Europ's capital markets union

Darvas, Zsolt M.; Schoenmaker, Dirk - 2017

Integrated capital markets facilitate risk sharing across countries. Lower home bias in financial investments is an indicator of risk sharing. We highlight that existing indicators of equity home bias in the literature suffer from incomplete coverage because they consider only listed equities....

Persistent link: https://www.econbiz.de/10011613999

Uncertainty aversion, robust control and asset holdings

Vardas, Giannis; Xepapadeas, Anastasios - 2004

or less ambiguity, and reduce the holding of the asset for which there is more ambiguity, a result that might provide an …

Persistent link: https://www.econbiz.de/10011602543

Mortgage debt, consumption, and llliquid housing markets in the Great Recession

Garriga, Carlos; Hedlund, Aaron - 2017

Using a model with housing search, endogenous credit constraints, and mortgage default, this paper accounts for the housing crash from 2006 to 2011 and its implications for aggregate and cross-sectional consumption during the Great Recession. Left tail shocks to labor market uncertainty and...

Persistent link: https://www.econbiz.de/10011782612

Risk management with thinly traded securities : methodology and implementation

Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...

Persistent link: https://www.econbiz.de/10011303812

Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models

Nguyen, Hoang; Virbickaite, Audrone - 2022

Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...

Persistent link: https://www.econbiz.de/10013258038

Difference in Beliefs and Currency Options Markets

Beber, Alessandro; Breedon, Francis; Buraschi, Andrea - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper investigates the impact of heterogeneous beliefs of professional investors on the currency options market. Using a unique data set with detailed information on the foreign-exchange forecasts of about 50 market participants over more than ten years, we construct an empirical proxy for...

Persistent link: https://www.econbiz.de/10005858023

Learning frames

Daskalova, Vessela; Vriend, Nicolaas J. - 2021

suggests a trade-off of using coarser versus finer representations of the strategy set when it comes to learning. …

Persistent link: https://www.econbiz.de/10012608716

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