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Capital Budgeting with Taxes under Uncertainty and Irreversibility / Investitionsplanung mit Steuern bei Unsicherheit und Irreversibilität

Niemann, Rainer; Sureth, Caren - In: Jahrbücher für Nationalökonomie und Statistik 225 (2005) 1, pp. 77-95

irreversiblen Investitionen unter Risikoneutralität und Risikoaversion. Durch Integration der Besteuerung in realoptionsbasierte … Risikoneutralität zu identischen Investitionsentscheidungen führen. Unter Risikoaversion dagegen benötigt contingent claims analysis ein … Programmierung als Individualkalkül auch unter Risikoaversion zumindest im steuerfreien Fall explizite Lösungen. Nach Steuern liefern …

Persistent link: https://www.econbiz.de/10014609028

Time consistency for scalar multivariate risk measures

Feinstein, Zachary; Rudloff, Birgit - In: Statistics & Risk Modeling 38 (2022) 3-4, pp. 71-90

Abstract In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented. These are then used to obtain the main results of this paper on time consistency;...

Persistent link: https://www.econbiz.de/10014621279

The Role of Government Commitment for Environmental Policy and Capital Movements

Marsiliani, Laura; Renström, Thomas I - In: The B.E. Journal of Macroeconomics 6 (2007) 3

This paper explores the relationship between environmental protection and international capital movements, when tax policy is endogenous (through voting). A two-period general equilibrium model of a small open economy is specified to compare the effects of two different constitutions (commitment...

Persistent link: https://www.econbiz.de/10014588387

Denial of Death and Economic Behavior

Kopczuk, Wojciech; Slemrod, Joel - In: The B.E. Journal of Theoretical Economics 5 (2005) 1

We model denial of death and its effect on economic behavior. Attempts to reduce death anxiety and the possibility of denial of mortality-relevant information interact with intertemporal choices and may lead to time-inconsistent behavior and other behavioral phenomena. In the model,...

Persistent link: https://www.econbiz.de/10014588996

The Formation of Inflation Expectations under Changing Inflation Regimes

Dahl, Christian M.; Hansen, Niels L. - In: Studies in Nonlinear Dynamics & Econometrics 4 (2001) 4

The present article offers a careful description of empirical identification of possible multiple changes in regime. We apply recently developed tools designed to select among regime-switching models among a broad class of linear and nonlinear regression models and provide a discussion of the...

Persistent link: https://www.econbiz.de/10014620835

Risk measurement with equivalent utility principles

Denuit, Michel; Dhaene, Jan; Goovaerts, Marc; Kaas, Rob; … - In: Statistics & Risk Modeling 24 (2006) 1, pp. 1-25

SUMMARY Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial...

Persistent link: https://www.econbiz.de/10014621319

Risk Aversion and Social Networks

Kovářík, Jaromír; van der Leij, Marco J. - In: Review of Network Economics 13 (2014) 2, pp. 121-155

Abstract This paper first investigates empirically the relationship between risk aversion and social network structure in a large group of undergraduate students. We find that risk aversion is strongly correlated to local network clustering, that is, the probability that one has a social tie to...

Persistent link: https://www.econbiz.de/10014618856

Reluctant to Reform? A Note on Risk-Loving Politicians and Bureaucrats

Thomas, Tobias; Heß, Moritz; Wagner, Gert G. - In: Review of Economics 68 (2017) 3, pp. 167-179

Abstract From a political economy perspective, politicians often fail to implement structural reforms. In this contribution we investigate if the resistance to reform is based on the differences in the risk preferences of voters, politicians, and bureaucrats. Based on three surveys among the...

Persistent link: https://www.econbiz.de/10014619353

A Simple Metric for Gauging Risk Aversion

Eisenhauer, Joseph G. - In: Asia-Pacific Journal of Risk and Insurance 4 (2010) 2

The underlying rationale for insurance purchases and other forms of risk management is aversion to risk, yet the measurement of risk aversion has been inappropriately focused on risks of little or no consequence. The present paper demonstrates that a quantitative measure of large-scale risk...

Persistent link: https://www.econbiz.de/10014585476

On the Effect of Risk Aversion in Two-Person, Two-State Finance Economies

Berden, Caroline; Peters, Hans - In: The B.E. Journal of Theoretical Economics 7 (2008) 1

The effect of replacing an agent in a two-person two-state finance economy by a more risk averse agent is studied. It is established under which conditions the other agent benefits or looses in equilibrium from dealing with a more risk averse agent. If one agent becomes more risk averse, then...

Persistent link: https://www.econbiz.de/10014589146