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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011756113
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Adapting and mitigating to climate change : balancing the choice under uncertainty
Bosello, Francesco; Chen, Chen - 2010
Nowadays, as stressed by important strategic documents like for instance the 2009 EU White Paper on Adaptation or the recent 2009 "Copenhagen Accord", it is amply recognized that both mitigation and adaptation strategies are necessary to combat climate change. This paper enriches the rapidly...
Persistent link: https://www.econbiz.de/10008780413
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Adapting to climate change : an analysis under uncertainty
García-León, David - 2016
composition of the optimal mix as both persuade the risk-averse social planner to invest more in mitigation. Overall, we identify …
Persistent link: https://www.econbiz.de/10011451547
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The day after tomorrow: mitigation and adaptation policies to deal with uncertainty
Bazzana, Davide; Menoncin, Francesco; Vergalli, Sergio - 2021
The catastrophic events are characterized by "low frequency and high severity". Nevertheless, during the last decades, both the frequency and the magnitude of these events have been significantly rising worldwide. In 2021, the European Commission adopted a new Strategy on Adaptation to Climate...
Persistent link: https://www.econbiz.de/10012609390
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Finding common ground when experts disagree : belief dominance over portfolios of alternatives
Baker, Erin; Bosetti, Valentina; Salo, Ahti A. - 2016
We address the problem of choosing a portfolio of policies under "deep uncertainty." We introduce the idea of belief dominance as a way to derive a set of non-dominated portfolios and robust individual alternatives. Our approach departs from the tradition of providing a single recommended...
Persistent link: https://www.econbiz.de/10011504367
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Heterogeneous beliefs, regret, and uncertainty : the role of speculation in energy price dynamics
Joe͏̈ts, Marc - 2013
This paper proposes to investigate the impact of financialization on energy markets (oil, gas, coal and electricity European forward prices) during both normal times and extreme fluctuation periods through an original behavioral and emotional approach. To this aim, we propose a new theoretical...
Persistent link: https://www.econbiz.de/10009737191
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A simple framework for climate-change policy under model uncertainty
Athanasoglou, Stergios; Bosetti, Valentina; Drouet, Laurent - 2016
We propose a novel framework for the economic assessment of climate-change policy. Our main point of departure from existing work is the adoption of a "satisficing", as opposed to optimizing, modeling approach. Along these lines, we place primary emphasis on the extent to which different...
Persistent link: https://www.econbiz.de/10011614242
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Uncertainty and risk-aversion in a dynamic oligopoly with sticky prices
Valentini, Edilio; Vitale, Paolo - 2019
In this paper we present a dynamic discrete-time model that allows to investigate the impact of risk-aversion in an …-time limit of our model with no uncertainty and no risk-aversion. Focusing on the continuous-time limit of the infinite horizon … inversely related to the degrees of uncertainty and risk-aversion. However, the effect of uncertainty and risk …
Persistent link: https://www.econbiz.de/10011980689
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Market allocations under ambiguity : a survey
Billot, Antoine; Mukerji, Sujoy; Tallon, Jean-Marc - 2019
We review some of the (theoretical) economic implications of David Schmeidler's models of decision under uncertainty (Choquet expected utility and maxmin expected utility) in competitive market settings. We start with the portfolio inertia result of Dow and Werlang (1992), show how it does or...
Persistent link: https://www.econbiz.de/10012121980
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Accounting for different uncertainties : implications for climate investments?
Hector, Svenja - 2013
The paper clarifies the link between changes in risk aversion and the effect on the consumption discount rate. In a … rate to a change in risk aversion depends on some fundamental properties of the considered uncertainties. The application … of this general result to specific forms of uncertainty extends existing results to more general forms of risk and yields …
Persistent link: https://www.econbiz.de/10010231715