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Optimal output for the regret-averse competitive frim under price uncertainty
Egozcue, Martín; Guo, Xu; Wong, Wing Keung - In: Eurasian economic review : a journal in applied … 5 (2015) 2, pp. 279-295
Persistent link: https://www.econbiz.de/10011441080
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Banks' expected equity-to-asset ratio bounds under foreign exchange risk
Egozcue, Martín; García, Luis Fuentes - In: The journal of risk model validation 10 (2016) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10011485149
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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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Integration-segregation decisions under general value functions : "create your own bundle - choose 1, 2 or all 3!"
Egozcue, Martín; Massoni, Sébastien; Wong, Wing Keung; … - In: IMA journal of management mathematics 25 (2014) 1, pp. 57-72
Persistent link: https://www.econbiz.de/10010242802
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The covariance sign of transformed random variables with applications to economics and finance
Egozcue, Martín; García, Luis Fuentes; Wong, Wing Keung; … - In: IMA journal of management mathematics 22 (2011) 3, pp. 291-300
Persistent link: https://www.econbiz.de/10009297123
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The slicing method : determining insensitivity regions of probability weighting functions
Egozcue, Martín; García, Luis Fuentes; Zitikis, Ričardas - In: Computational economics 61 (2023) 4, pp. 1369-1402
Persistent link: https://www.econbiz.de/10014327061
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Revisiting Grüss’s Inequality : Covariance Bounds, QDE but not QD Copulas, and Central Moments
Egozcue, Martín; García, Luis Fuentes; Wong, Wing-Keung; … - 2010
Since the pioneering work of Gerhard Grüss dating back to 1935, Grüss’s inequality and, more generally, Grüss-type bounds for covariances have fascinated researchers and found numerous applications in areas such as economics, insurance, reliability, and, more generally, decision making...
Persistent link: https://www.econbiz.de/10014189759
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Exchange rate risk management for contractors within a hybrid payment scheme : a case study in Punta del Este, Uruguay
Egozcue, Martín - In: The journal of risk model validation 17 (2023) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10014485778
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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