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Changing in Risk and Risk Taking: A Survey.
Eeckhoudt, L.; Gollier, C. - Groupe de Recherche en Économie Mathématique et … - 1997
the demand for coinsurance. The agent faces a controllable risk -his demand for a risky asset for example- and a … background risk. We determine how a change in the distribution in one of these two risks affects the optimal exposure to … thecontrollable risk. Restrictions to first order and scond order stochastic dominant orders are in general necessary to yield an …
Persistent link: https://www.econbiz.de/10005207726
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On the Irrelevance of Trade Timing.
Smith, L. - Economics Department, Massachusetts Institute of … - 1996
that for an Arrow security, a 'small' risk-neutral trader with private information that is conditionally independent of the …
Persistent link: https://www.econbiz.de/10005587252
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The Empirical Measure of Information Problems with Emphasis on Insurance Fraud.
Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2000
We discuss the difficult question of measuring the effects of asymmetric information problems on resource allocation. Two of them are retained: moral hazard and adverse selection.
Persistent link: https://www.econbiz.de/10005618705
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Choix d'investissement dans un modele a generations imbriquees avec incertitude et pollution
Etner, J.; Jouvet, P.-A. - Groupement de Recherche en Économie Quantitative … - 1995
En considerant que l'une des caracteristiques des problemes environnementaux est le niveau d'incertitudequi les accompagne, nous proposons d'etudier les effets de ces incertitudes sur les comportements de choix de portefeuille et d'epargne des agents. Nous montrons alors qu'a l'equilibre...
Persistent link: https://www.econbiz.de/10005634357
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A Theory of Rational Decision with Incomplete Information.
Nehring, K. - California Davis - Institute of Governmental Affairs - 1995
Persistent link: https://www.econbiz.de/10005774086
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Portfolio Response to a Shift in a Return Distribution: Comment
Dachraoui, K.; Dionne, G. - Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. - 1998
In this paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of themutual fund. We also show that the separating conditions...
Persistent link: https://www.econbiz.de/10005775621
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A Theory of Rational Decision with Incomplete Information.
Nehring, K. - Economics Department, University of California-Davis - 1995
Persistent link: https://www.econbiz.de/10005776924
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Asset Pricing Lessons for Modeling Business Cycles.
Boldrin, M.; Christiano, L.J.; Fischer, J.D.M. - Banca d'Italia - 1996
We develop a model which accounts for the observed equity premium and average risk free rate, without implying … counterfactually high risk aversion. The model also does well in accounting for business cycle phenomena. …
Persistent link: https://www.econbiz.de/10005640901
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Sequential Auctions with Supply Uncertainty.
Pezanis-Christou, P. - School of Economics, UNSW Business School - 1996
The purpose of this paper is to analyse the impact of supply uncertainty on the formation of prices and on the seller's expected revenue in sequential first- and second-price sealed bid auctions.
Persistent link: https://www.econbiz.de/10005631379
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Preference for Information.
Grant, S.; Polak, B.; Kajii, A. - Research School of Pacific and Asian Studies, College … - 1996
What is the relationship between an agent's attitude towards information, and her attitude towards risk? if an agent …
Persistent link: https://www.econbiz.de/10005663675