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Asset pricing under rational learning about rare disasters

Koulovatianos, Christos; Wieland, Volker - 2011

This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors’ information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...

Persistent link: https://www.econbiz.de/10010368587

Increasing taxes after a financial crisis: Not a bad idea after all ...

Koulovatianos, Christos; Mavridis, Dimitris - 2018

Based on OECD evidence, equity/housing-price busts and credit crunches are followed by substantial increases in public consumption. These increases in unproductive public spending lead to increases in distortionary marginal taxes, a policy in sharp contrast with presumably optimal Keynesian...

Persistent link: https://www.econbiz.de/10011936366

How to take an exam if you must: Decision under Deadline

Huynh, Hsueh-Ling; Majumdar, Sumon - 2006

This paper uses the example of an exam to model multi-dimensional search under a deadline. When the dimension is two, an order-invariance property allows simple characterization of the optimal search policy. Behavior is shown to be highly sensitive to changes in the deadline, and a wide variety...

Persistent link: https://www.econbiz.de/10011940733

A new application for the goal programming: The target decision rule for uncertain problems

Gaspars-Wieloch, Helena - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-14

The goal programming (GP) is a well-known approach applied to multi-criteria decision making (M-DM). It has been used in many domains and the literature offers diverse extensions of this procedure. On the other hand, so far, some evident analogies between M-DM under certainty and scenario-based...

Persistent link: https://www.econbiz.de/10012611488

Prolonged learning and hasty stopping: The Wald problem with ambiguity

Auster, Sarah; Che, Yeon-Koo; Mierendorff, Konrad - 2022

This paper studies sequential information acquisition by an ambiguity-averse decision maker (DM), who decides how long to collect information before taking an irreversible action. The agent optimizes against the worst-case belief and updates prior by prior. We show that the consideration of...

Persistent link: https://www.econbiz.de/10013480172

Timing decisions under model uncertainty

Auster, Sarah; Kellner, Christian - 2023

We study the effect of ambiguity on timing decisions. An agent faces a stopping problem with an uncertain stopping payoff and a stochastic time limit. The agent is unsure about the correct model quantifying the uncertainty and seeks to maximize her payoff guarantee over a set of plausible...

Persistent link: https://www.econbiz.de/10014374788

Indifference, indecisiveness, experimentation and stochastic choice

Ok, Efe A.; Tserenjigmid, Gerelt - In: Theoretical Economics 17 (2022) 2, pp. 651-686

Among the reasons behind the choice behavior of an individual taking a stochastic form are her potential indifference or indecisiveness between certain alternatives, and/or her willingness to experiment in the sense of occasionally deviating from choosing a best alternative in order to give a...

Persistent link: https://www.econbiz.de/10014536935

Entry and experimentation in oligopolistic markets for experience goods

Krähmer, Daniel - 2002

product. While consumers can learn their valuation by actual consumption (experimentation), sellers cannot observe … experimentation outcomes. Thus, asymmetric information arises if the buyer experiments. As a result, the equilibrium is inefficient … ausprobiert (Experimentation). Die Verkäufer hingegen können nicht beobachten, ob der Käufer zufrieden war, wenn er das neue Gut …

Persistent link: https://www.econbiz.de/10010307048

Trial and Error? Reelection Concerns and Policy Experimentation during the U.S. Welfare Reform

Bernecker, Andreas; Boyer, Pierre C.; Gathmann, Christina - 2015

We study the political economy of policy innovations during the U.S. welfare reform in 1996. Specifically, we investigate how reputation concerns among governors influence the decision to experiment with welfare policies. In line with a political agency model, our empirical results suggest that...

Persistent link: https://www.econbiz.de/10011307323

A tenure-clock problem

Chen, Chia-Hui; Ishida, Junichiro - 2015

We consider a "tenure-clock problem" in which a principal may set a deadline by which she needs to evaluate an agent's ability and decides whether to promote him or not. We embed this problem in a continuous-time model with both hidden action and hidden information, where the principal must...

Persistent link: https://www.econbiz.de/10011421482

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