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Empirical Tests of Intransitivity Predicted by Models of Risky Choice

Birnbaum, Michael H.; Schmidt, Ulrich - 2006

Recently proposed models of risky choice imply systematic violations of transitivity of preference. Five studies explored whether people show patterns of intransitivity predicted by four descriptive models. To distinguish ?true? violations from those produced by ?error,? a model was fit in which...

Persistent link: https://www.econbiz.de/10010296263

Unternehmensleitung und Innovationserfolg

Czarnitzki, Dirk; Kraft, Kornelius - 2001

In dieser Arbeit werden die verschiedenen Anreize für Manager im Vergleich zu Unternehmenseignern untersucht, Innovationen durchzuführen. Bei den Anreizen treten gegenläufige Effekte der Innovationsanstrengungen auf. Unsere Untersuchung über die Determinanten des Innovationserfolges liefert...

Persistent link: https://www.econbiz.de/10010297807

Optimal choice and beliefs with ex ante savoring and ex post disappointment

Gollier, Christian; Muermann, Alexander - 2006

We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante … and disutility from disappointment ex post. The decision maker chooses his degree of optimism, given that more optimism … the decision maker takes on less risk compared to an expected utility maximizer. This speaks to the equity premium puzzle …

Persistent link: https://www.econbiz.de/10010298342

Hedging Price Risk When Real Wealth Matters

Adam-Müller, Axel F. A. - 1999

This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts in the presence of untradable inflation risk. Utility is defined over real wealth. Optimal forward positions are derived relative to a given initial exposure in the tradable...

Persistent link: https://www.econbiz.de/10010324032

Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Franke, Günter; Weber, Martin - 2001

Persistent link: https://www.econbiz.de/10010324093

Portfolio Selection with Heavy Tails

Hyung, Namwon; de Vries, Casper G. - 2005

Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the safety first criterion therefore often select corner...

Persistent link: https://www.econbiz.de/10010325558

A behavioral portfolio analysis of retirement portfolios

Singer, Nico - 2009

With regard to retirement savings individual investors tend to hold large positions of their wealth in riskless assets, although equity products offer higher returns. In this article we study a behavioral portfolio model which captures this phenomenon by considering two behavioral aspects: fear...

Persistent link: https://www.econbiz.de/10010270866

Portfolio and consumption decisions under ambiguity for regime switching mean returns

Liu, Hening - 2009

This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an ambiguity-averse investor with multiple priors when the expected return of a risky asset is unobservable and follows a hidden Markov chain. The investor's beliefs over investment opportunities are...

Persistent link: https://www.econbiz.de/10010277894

A behavioral portfolio analysis of retirement portfolios

Singer, Nico - 2011

To most individuals saving for retirement is the number one financial goal. However, it reveals a complex task and induces serious behavioral problems which cannot be explained by traditional economic theory. This paper investigates the role of behavioral asset selection on retirement portfolios...

Persistent link: https://www.econbiz.de/10010319295

Implications of asymmetry risk for portfolio analysis and asset pricing

Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - 2007

Asymmetric shocks are common in markets; securities'; payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...

Persistent link: https://www.econbiz.de/10010279908