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Optimism and Portfolio Choice
Ayton, Peter; Muradoglu, Gulnur; Balasuriya, Jiayi - Université Paris-Dauphine (Paris IX) - 2010
posteriori optimism. This paper finds that financial optimism has a significant positive effect on risk taking behaviour …. Optimistic investors choose risky portfolios over risk-free portfolios for their investments and have higher personal debt …
Persistent link: https://www.econbiz.de/10010707593
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Managing the financial risks of electricity producers using options
Pineda, S.; Conejo, A.J. - In: Energy Economics 34 (2012) 6, pp. 2216-2227
. In this paper, we propose a multi-stage stochastic model to determine the optimal selling strategy of a risk …
Persistent link: https://www.econbiz.de/10010588010
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Default Option, Risk-Aversion and Household Borrowing Behaviour
Groessl, Ingrid; Fritsche, Ulrich - Fachbereich Sozialökonomie, Universität Hamburg - 2007
Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …
Persistent link: https://www.econbiz.de/10005138875
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Some Comments on Two Approximations Used for the Pricing of Reinstatements.
Walhin, J.F. - Catholique de Louvain - Institut de statistique - 2000
The aim of this paper if to give some comments on two approximations used to price reinstatements related to excess of loss reinsurance. For the pro rate capita clause, we will study the rate on line method. For the pro rate temporis clause, we will study the use of a trivial approximation. The...
Persistent link: https://www.econbiz.de/10005776107
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Stochastic Analysis of Duplicates in Life Insurance Portfolios.
Denuit, M. - Catholique de Louvain - Institut de statistique - 2000
The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.
Persistent link: https://www.econbiz.de/10005776108
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The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio.
Walhin, J.F.; Paris, J. - Catholique de Louvain - Institut de statistique - 2000
The adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated …
Persistent link: https://www.econbiz.de/10005776112
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Stochastic Analysis of Duplicates in Life Insurance Portfolios.
Denuit, M. - Catholique de Louvain - Institut de statistique - 2000
The aim of this short note is to investigate the impact of duplicates in a life insurance portfolio by means of the supermodular order. Most classical results involving the variances are generalized using the stop-less order.
Persistent link: https://www.econbiz.de/10005475070
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Stable Modeling of Value at Risk.
Khindanova, I.N.; Rachev, S.T.; Schwartz, E. - 2000
The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional …
Persistent link: https://www.econbiz.de/10005245539
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Value at Risk: Recent Advances.
Khindanova, I.N.; Rachev, S.T. - 2000
The Value-at-Risk (VAR) measurements are widely applied to estimate exposure to market risks. The traditional …
Persistent link: https://www.econbiz.de/10005245562
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The Effect of an Early Resolution of Uncertainty on Savings.
Gollier, C.; Treich, N. - Groupe de Recherche en Économie Mathématique et … - 1996
We examine in this paper the effect of an early resolution of uncertainty on savings. We show that this effect is in general ambiguous. We provide necessary and sufficient conditions on the utility function which guarantee that an early resolution of uncertainty reduces current savings for...
Persistent link: https://www.econbiz.de/10005639379