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Incomplete-Market Equilibria Solved Recursively on anEvent Tree
Dumas, Bernard; Lyasoff, Andrew - National Centre of Competence in ResearchFinancial … - 2008
We develop a method that allows one to compute incomplete-market equilibria routinely forMarkovian equilibria (when they exist). The main difficulty to be overcome arises from the setof state variables. There are, of course, exogenous state variables driving the economy but, in anincomplete...
Persistent link: https://www.econbiz.de/10005868691
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The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model
Niehaus, Frank - Universität <Hannover> / Fachbereich … - 2001
In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.
Persistent link: https://www.econbiz.de/10005840945
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Heterogeneous Life-Cycle Profiles, Income Riskand Consumption Inequality
Primiceri, Giorgio E.; Rens, Thijs van - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007
Was the increase in income inequality in the US due to permanent shocks or merely to anincrease in the variance of transitory shocks? The implications for consumption and welfaredepend crucially on the answer to this question. We use CEX repeated cross-section data onconsumption and income to...
Persistent link: https://www.econbiz.de/10005861079
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Risk Attitudes of Bond Investors
Kellerhals, B. Philipp; Schöbel, Rainer - 2001
In this paper the authors measure the risk attitudes of bond investors which can be revealed from settled market prices …
Persistent link: https://www.econbiz.de/10005846139
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Two Paradigms And Nobel Prizes In Economics : A contradiction Or Coexistence?
De Giorgi, Enrico; Hens, Thorsten; Levy, Haim - 2003
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 …
Persistent link: https://www.econbiz.de/10005846387
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Valuation in Over-the-Counter Markets
Duffie, Darrell; Gârleanu, Nicolae; Pedersen, Lasse Heje - 2004
bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are …
Persistent link: https://www.econbiz.de/10005846988
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Limits to Arbitrage when Market Participation Is Restricted
Hens, Thorsten; Heringsy, Jean-Jacques; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
There is an extensive literature claiming that it is often difficultto make use of arbitrage opportunities in financial markets. Thispaper provides a new reason why existing arbitrage opportunitiesmight not be seized. We consider a world with short-lived securities,no short-selling constraints...
Persistent link: https://www.econbiz.de/10005858363
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Two Paradigms and Nobel Prizes in Economics : A Contradiction or Coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
and risk aversion. Kahneman & Tversky suggest Prospect Theory (PT) and Cumulative Prospect Theory (CPT) as an alternative … development of Prospect Theory. Can these two apparently contradictory paradigms coexist? In deriving the CAPM, Sharpe, Lintner … paradigm to EU theory. They show that investors distort probabilities, make decisions based on change of wealth, exhibit loss …
Persistent link: https://www.econbiz.de/10005858578
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An Evolutionary Explanation of the Value Premium Puzzle
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Woehrmann, … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
As early as 1934 Graham and Dodd conjectured that excess returns from value investment originate from a tendency of markets to converge towards fundamental values. This paper confirms their insights theoretically within the evolutionary finance model of Evstigneev, Hens, and Schenk-Hopp (2006)...
Persistent link: https://www.econbiz.de/10005858582