Showing 1 - 10 of 78
This paper examines a continuous-time intertemporal consumption and portfoliochoice problem for an investor with Duffie and Epstein (1992a)’s recursive preferenceswho worries about model misspecification (model uncertainty) and wants toseek robust decision rules. The expected excess return of...
Persistent link: https://www.econbiz.de/10005870703
change. As companies arenow forced to value their stock options at grant date for accounting purposes,the robustness of … issueby first analyzing certain building blocks of existing stock option plans withregard to their robustness properties …. Based on our analysis, we then showhow robustness of stock option plans can be achieved. The resulting stockoption plans are …
Persistent link: https://www.econbiz.de/10008911535
We consider two semiparametric models for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of...
Persistent link: https://www.econbiz.de/10005861031
This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for three market regimes. Aconsistent parametric framework of stochastic volatility is used. All empiricalmarket utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10005861046
In an open-shop model of trade union membership with heterogeneity in risk attitudes, a worker's relative risk aversion can affect the decision to join a trade union. Furthermore, a shift in risk attitudes can alter collective bargaining outcomes. Using German panel data (GSOEP) and three novel...
Persistent link: https://www.econbiz.de/10005861128
This study examines the relationship between individual risk aversion and reservation wagesusing a novel set of direct measures of individual risk attitudes from the German Socio-Economic Panel (SOEP). We find that risk aversion has a significantly negative impact on thelevel of reservation wages...
Persistent link: https://www.econbiz.de/10005862881
dann gilt, wenn die Investoren μ-σ-Nutzenfunktionen mit konstanter absoluter Risikoaversion aufweisen. …. This assumption is not at all consistent with the actual behaviour of the tax man.From the theory of general equilibrium we …
Persistent link: https://www.econbiz.de/10005865362
Theorie der Finanzwirtschaft dar. In dieser Arbeit wird untersucht,wie risikoaverse Investoren unter Annahme des Capital Asset …
Persistent link: https://www.econbiz.de/10005866068
We propose an experimental design allowing a behavioral test of the axiom ofcompleteness of individual preferences. The central feature of our design consistsin enabling subjects to postpone commitment at a small cost. Our main result isthat preferences are significantly incomplete. We use...
Persistent link: https://www.econbiz.de/10005866755
Experimental sealed bid first price auctions with private values in which feedback onthe losing bids is provided yield lower revenues than auctions where this feedback isnot given. Furthermore, bids tend to be above the equilibrium predictions for riskneutral bidders. While the latter...
Persistent link: https://www.econbiz.de/10005867077