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Do Firms sell forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas

van Eijkel, Remco; Moraga, Jose Luis - 2010

empirical strategy to test whether oligopolistic frms use forward contracts for strategic motives, for risk-hedging, or for both …. An increase in the number of players weakens the incentives to sell forward for risk-hedging reasons.However, if …Building on a model of the interaction of risk-averse frms that compete in forward and spot markets, we develop an …

Persistent link: https://www.econbiz.de/10010325991

Stochastic Dominance: Convexity and Some Efficiency Tests

Lizyayev, Andrey M. - 2009

Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

Persistent link: https://www.econbiz.de/10010325820

Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10010325987

Benefit incidence analysis, needs and demography. Measurement issues and an empirical study for Kenya

Gaddis, Isis; Demery, Lionel - 2012

Benefit incidence analysis is an extremely popular tool to assess the distribution of benefits from government expenditure in developing countries, particularly in the social sectors. The analysis describes the welfare impact of public spending on groups of people or households, typically along...

Persistent link: https://www.econbiz.de/10010329888

Apportioning of risks via stochastic dominance

Eeckhoudt, Louis; Schlesinger, Harris; Tsetlin, Ilia - 2008

Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random … way, we can extend and generalize existing results about risk attitudes. This lottery preference includes behavior … exhibiting higher order risk effects, such as precautionary effects and tempering effects. …

Persistent link: https://www.econbiz.de/10010264492

Evaluating dominance ranking of PSID incomes by various household attributes

Maasoumi, Esfandiar; Heshmati, Almas - 2005

We examine the dynamic evolution of incomes, both disposable and gross, for several groups in the PSID panel data at several points from 1968 to 1997. We employ the extended Kolmogorov-Smirnov tests of First and Second Order Stochastic Dominance (SD) as implemented by Maasoumi and Heshmati...

Persistent link: https://www.econbiz.de/10010267644

Putting risk in its proper place

Eeckhoudt, Louis; Schlesinger, Harris - 2005

This paper examines preferences towards particular classes of lottery pairs. We show how concepts such as prudence and temperance can be fully characterized by a preference relation over these lotteries. If preferences are defined in an expected-utility framework with differentiable utility, the...

Persistent link: https://www.econbiz.de/10010271070

Measuring Changes in Multidimensional Inequality - An Empirical Application

Nilsson, Therese - 2007

During the past decade there has been a growing opinion of including more than an income perspective in the examination of inequality. As a result a broad theoretical literature on the subject of multidimensional inequality is present. This can mainly be divided into three different parts:...

Persistent link: https://www.econbiz.de/10013208517

Export production under exchange rate uncertainty

Broll, Udo; Gilroy, B. Michael; Lukas, Elmar - 2008

risk aversion aspects of enterprises, it is demonstrated that situations characterized by enhanced exchange rate volatility …

Persistent link: https://www.econbiz.de/10010300614

Explaining Hedge Fund Investment Styles by Loss Aversion

Siegmann, Arjen; Lucas, André - 2002

Recent research reveals that hedge fund returns exhibit a range of different,possibly non-linear pay-off patterns. It is difficult to qualify all these patternssimultaneously as being rational in a traditional framework for optimal financial decisionmaking. In this paper we present a simple...

Persistent link: https://www.econbiz.de/10010324945