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risk and typically need to assume stability of these characteristics over time and across decision domains. We test the … reliability of two choice tasks for eliciting discount rates, risk aversion, and probability weighting and assess the stability of … largely uncorrelated with decisions in other important life domains involving intertemporal trade-offs and risk. …
Persistent link: https://www.econbiz.de/10010681226
their work by first recommending an existing stochastic dominance test to handle the issue and thereafter developing a new … test for the ASD which could detect dominance for any pre-determined small value. We also provide two approaches to obtain … the critical values for our proposed test. …
Persistent link: https://www.econbiz.de/10011107819
criteria, adapted to investment circumstances: alternative investments, return forecasts, and risk attitude. We explain the …The majority of risk adjusted performance measures (RAPM) currently in use – e.g., Treynor ratio, (?/?)) ratio, Omega … of structured products, and explanation of the credit risk premium puzzle. …
Persistent link: https://www.econbiz.de/10010938095
are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions. They are … investment choice. That is not the case for many other popular preference criteria (e.g., Omega index, Sortino ratio, expected …
Persistent link: https://www.econbiz.de/10008542356
Risk exposure can be efficiently optimized in practical situations, using a new apporach to identification of investor …'s risk aversion. …
Persistent link: https://www.econbiz.de/10005134885
We investigate the influence of overconfidence and risk aversion on individual financial decision making in the … five “rational” markets and most overconfident subjects formed five “overconfident” markets. The asset market experiment … was followed by post hoc risk aversion measurement. Our results revealed that in the suggested setting, performance and …
Persistent link: https://www.econbiz.de/10011266111
We conduct a controlled laboratory experiment where subjects dynamically choose their portfolio allocation between a … utility function. We then fit the experimental choices to this model to assess the risk attitude of our subjects. Despite the … substantial heterogeneity across subjects, decreasing absolute risk aversion and increasing relative risk aversion are the most …
Persistent link: https://www.econbiz.de/10011145479
Many tests of asset pricing models address only the pricing predictions — but these pricing predictions rest on portfolio choice predictions which seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices, based on unobserved heterogeneity. This approach...
Persistent link: https://www.econbiz.de/10005162941
Ideal economics? A “non-ideal” economics approach has been proposed, which considers the possibility of arrangement infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields of research. The approach application in...
Persistent link: https://www.econbiz.de/10005124942
Our society faces many risks that affect human life. Cost-benefit analysis is a very popular project-evaluation tool for reducing these social risks. The government has to set projects or regulations whose benefits will outweigh costs. It is quite easy to evaluate costs but how to evaluate the...
Persistent link: https://www.econbiz.de/10011111759