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Rational Decision-Making under Uncertainty : Observed Betting Patterns on a Biased Coin

Haghani, Victor - 2016

words of Ed Thorp, who gave us helpful feedback on our research: ‘This is a great experiment for many reasons. It ought to …

Persistent link: https://www.econbiz.de/10012980760

Historical VaR, CVaR and ES to Liquidation : 'A New Tool to Measure Risk by Regulators and Fund Managers'

Crousillat, Cesar - 2016

Historical VaR, CVaR and ES (Expected Shortfall) to LIQUIDATION Software is a model characterized by its straightforwardness, allowing regulators measure risk using a standard database of primitive factors and portfolio positions only, leaving little error margin in comparing market risk for...

Persistent link: https://www.econbiz.de/10013003836

Gold and Geopolitical Risk

Baur, Dirk G. - 2018

There is a growing empirical literature on gold's safe haven status with respect to financial risks but no study with respect to global geopolitical risks. This paper extends the common focus on extreme stock market movements and financial turmoil with an analysis of geopolitical risk. We find...

Persistent link: https://www.econbiz.de/10012929288

The Risks of Risk Parity

Institute, Brandes - 2015

Risk parity is an asset allocation strategy designed so each asset class contributes equally to overall portfolio risk (as measured by volatility). While risk parity offers potential advantages, its success hinges on key assumptions and a favorable environment for bonds. Like the traditional...

Persistent link: https://www.econbiz.de/10013015173

Risk Budgeting in Financial Firms and The Value of an Expert Opinion

Vega San Martin, Diego - 2020

We analyze the role of risk limits in the provision of incentives to acquire valuable information for efficient risk management. We study the optimal contract of a trader who (a) must privately exert costly effort in order to collect information and (b) may have access to a costly second opinion...

Persistent link: https://www.econbiz.de/10012853461

Subjective Risk and Return

Jensen, Theis Ingerslev - 2022

I use novel data on subjective risk and return expectations to infer investors' required returns. I find that the required compensation for risk is high while the realized compensation for risk is low. This difference arises because cash flow forecasts are systematically too high for risky...

Persistent link: https://www.econbiz.de/10014235719

Charitable Giving under Normative Uncertainty : Experimental Evidence on The Behavioral Impact of Normative Expert Advice

Costa-Gomes, Miguel; Schoenegger, Philipp - 2023

-subjects charitable-giving experiment which provides first data on normative uncertainty (n=1890). In our experiment, participants can bid …

Persistent link: https://www.econbiz.de/10014358479

Experts with a conflict of interest: a source of ambiguity?

Norton, Douglas A.; Isaac, R. Mark - In: Experimental economics : a journal of the Economic … 15 (2012) 2, pp. 260-277

Persistent link: https://www.econbiz.de/10009580030

Quantifying the effects of expert selection and elicitation design on experts' confidence in their judgments about future energy technologies

Nemet, Gregory F.; Anadon, Laura Diaz; Verdolini, Elena - 2016

experts’ estimates of the costs of future energy technologies. We harmonize data from 19 elicitations, involving 215 experts … that, on average, when experts respond to elicitations in person, they ascribe lower confidence (larger uncertainty) to …-and geography-US or EU-are also significant; academics and US experts have lower confidence than other types of experts. Higher R …

Persistent link: https://www.econbiz.de/10011548115

Uncertainty and reputation effects in credence goods markets

Schniter, Eric; Tracy, J. Dustin; Zíka, Vojtěch - 2021

Persistent link: https://www.econbiz.de/10012651631