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The banking firm under ambiguity aversion
Broll, Udo; Welzel, Peter; Kit, Pong Wong - 2016
We examine risk taking when the bank's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second-order probability distribution that captures the bank's uncertainty about which of the subjective beliefs govern the financial asset return risk. Ambiguity preferences are...
Persistent link: https://www.econbiz.de/10011541280
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Prospect Theory and Hedging Risks
Broll, Udo - 2010
The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …
Persistent link: https://www.econbiz.de/10013142328
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Prospect theory and hedging risks
Broll, Udo; Egozcue, Martín; Wong, Wing Keung; … - 2010
The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …
Persistent link: https://www.econbiz.de/10003980000
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Prospect theory and hedging risks
Broll, Udo; Egozcue, Martín; Wong, Wing-Keung; … - 2010
The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …
Persistent link: https://www.econbiz.de/10010301357
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Export production under exchange rate uncertainty
Broll, Udo (contributor);  … - 2008
Given that a multinational enterprise can react flexibly upon exchange rate movements, international trade flows may be interpreted as an option. An enterprise will opt to export if the profits obtained from exporting under given exchange rate developments are greater than if foreign subsidiary...
Persistent link: https://www.econbiz.de/10003796274
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Exchange rate volatility, international trade and labour demand
Broll, Udo; Hansen-Averlant, Sabine - In: International economics and economic policy : IEEP 7 (2010) 4, pp. 423-436
Persistent link: https://www.econbiz.de/10008695327
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Public-private joint ventures in transition economies
Broll, Udo; Marjit, Sugata; Mukherjee, Arijit - In: Dynamische Prozesse in der europäischen …, (pp. 62-73). 2010
Persistent link: https://www.econbiz.de/10003975722
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Barriers to diversification and regional allocation of capital
Broll, Udo (contributor); Roldán-Ponce, Antonio (contributor) - 2007
In order to evaluate the allocational effectiveness of regional policy when harmonizing regional economic conditions firms' preferences play a pivot role. If harmonization hinders risk diversification of the firm, then instead of regional diversification of capital agglomeration of capital...
Persistent link: https://www.econbiz.de/10003581746
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Information value, export and hedging
Broll, Udo; Eckwert, Bernhard - 2011
The paper analyzes the interactions between the precision of information, trade and welfare within a decision framework of an exporting firm. Information in a financial market is described in terms of a publicly observable signal. With higher transparency, the signal conveys more precise...
Persistent link: https://www.econbiz.de/10009228937
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International trade and the role of market transparency
Broll, Udo; Eckwert, Bernhard; Kit, Pong Wong - 2010
The paper examines the economic role of market transparency on the decision problems of an international firm. Transparency is described in terms of the informativeness of a publicly observable signal. With higher transparency, the signal conveys more precise information about the random foreign...
Persistent link: https://www.econbiz.de/10009229027