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Which measures predict risk taking in a multi-stage controlled decision process?
Bachmann, Kremena; Hens, Thorsten; Stössel, Remo - 2017
We assess the ability of different risk profiling measures to predict risk taking along a multi-stage decision process …. The latter involves decisions under ambiguity, decisions under risk, decisions after gaining experience and decisions … after receiving outcome information on previous decisions. We find that in all decisions risk taking can be predicted by …
Persistent link: https://www.econbiz.de/10011874728
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Stability of general equilibria with incomplete markets : the case of a mutual fund
Hens, Thorsten - 1992
Persistent link: https://www.econbiz.de/10000834121
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Patience is a virtue - in value investing
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2018
This note illustrates a simple but important insight for financial investment. In a heterogeneous agent-based evolutionary finance market model with long-lived assets, markets are stable if clients of fundamental ('value') investment funds are more patient than clients of other funds
Persistent link: https://www.econbiz.de/10011899600
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Risk Aversion in the Large and in the Small
Haug, Jørgen; Hens, Thorsten; Wöhrmann, Peter - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2011
Estimates of agents' risk aversion differ between market studies and experimental studies. We demonstrate that the … background wealth as well as across risky outcomes: Risk aversion is similar whenever similar degrees of narrow framing is …
Persistent link: https://www.econbiz.de/10009320815
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Risk aversion in the large and in the small
Haug, Jørgen; Hens, Thorsten; Woehrmann, Peter - In: Economics Letters 118 (2013) 2, pp. 310-313
Estimates of agents’ risk aversion differ between market studies and experimental studies. We demonstrate that these …
Persistent link: https://www.econbiz.de/10011041715
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International Evidence on the Equity Premium Puzzle and Time Discounting
Rieger, Marc Oliver; Hens, Thorsten; Wang, Mei - In: Multinational Finance Journal 17 (2013) 3-4, pp. 149-163
risk premiums are observed in countries where survey participants tend to be more short-term oriented. This finding is …
Persistent link: https://www.econbiz.de/10011103236
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Two Paradigms And Nobel Prizes In Economics : A contradiction Or Coexistence?
De Giorgi, Enrico; Hens, Thorsten; Levy, Haim - 2003
Markowitz and Sharpe won the Nobel Prize in Economics more than a decade ago for the development of Mean-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year2002, Kahneman won the Nobel Prize in Economics for the development of Prospect Theory....
Persistent link: https://www.econbiz.de/10005846386
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Prospect Theory and the CAPM - a contradiction or coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - 2003
Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds....
Persistent link: https://www.econbiz.de/10005846387
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The dark side of the moon: structured products from the customer's perspective
Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2008
Structured financial products have gained more and more popularity in recent years, but nevertheless has their success so far notthoroughly been analyzed. In this article we develop a theoreticalframework for the design of optimal structured products and analyzethe maximal utility gain for an...
Persistent link: https://www.econbiz.de/10005857733
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Financial Market Equilibria With Cumulative Prospect Therory
De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2007
The paper shows that financial market equilibria need not exist if agents possess cumulative prospect theory preferences with piecewise-power value functions. The reason is an infiniteshort-selling problem. But even when a short-sell constraint is added, non-existence can occur due to...
Persistent link: https://www.econbiz.de/10005857777