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How risk sharing may enhance efficiency in English auctions

Hu, Audrey; Offerman, Theo; Zou, Liang - 2014

auction - in a setting that extends Maskin and Riley (1984, Econometrica 52: 1473-1518) in three aspects: (i) the seller can … be risk averse, (ii) the bidders can have heterogeneous risk preferences, and (iii) the auction can have a binding … verifiable by deduction prior to the auction - the premium also benefits the seller and therefore leads to a Pareto improvement …

Persistent link: https://www.econbiz.de/10010234599

Uncertainty and speculators in an auction for emissions permits

Haita-Falah, Corina - In: Journal of regulatory economics 49 (2016) 3, pp. 315-343

Persistent link: https://www.econbiz.de/10011669922

Auctioning risky conservation contracts

Wichmann, Bruno; Boxall, Peter C.; Wilson, Scott; … - In: Environmental & resource economics : the official … 68 (2017) 4, pp. 1111-1144

Persistent link: https://www.econbiz.de/10011803874

Auctions under payoff uncertainty : the case with heterogeneous bidder-aversion to downside risk

Hu, Audrey Xianhua; Zou, Liang - 2008

This paper characterizes the optimal first-price auction (FPA) and second-price auction (SPA) for selling rights …

Persistent link: https://www.econbiz.de/10011374400

Experimental development of sealed-bid auction theory, calibrating controls for risk aversion

Cox, James C.; Smith, Vernon L.; Walker, James M. - In: The American economic review 75 (1985) 2, pp. 160-165

Persistent link: https://www.econbiz.de/10002033885

Global warming and a potential tipping point in the Atlantic thermohaline circulation : the role of risk aversion

Belaia, Mariia; Funke, Michael; Glanemann, Nicole - 2014

Common integrated assessment models produce the counterintuitive result that higher risk aversion does not lead to stronger near-term abatement. This paper re-examines this result with a DICE model that is fully coupled with a thermohaline circulation model. It also features Epstein-Zin utility...

Persistent link: https://www.econbiz.de/10010388571

Optimal climate policy with fat-tailed uncertainty : what the models can tell us

De Bruin, Kelly C.; Krishnamurthy, Chandra Kiran - 2021

We present a modification of the most commonly used integrated assessment model (IAM) of climate change (DICE-2016), AD-DICE2016, which is designed to address three key aspects of climateeconomy models: treatment of uncertainty, the use of more appropriate utility functions, and including...

Persistent link: https://www.econbiz.de/10012510301

The social cost of carbon with intragenerational inequality under economic uncertainty

Ploeg, Frederick van der; Emmerling, Johannes; Groom, … - 2022

A formula is derived for the social cost of carbon (SCC) that takes account of intragenerational income inequality and its evolution with economic growth. The social discount rate (SDR) should be adjusted to account for intragenerational and intergenerational inequality aversion and for risk...

Persistent link: https://www.econbiz.de/10013206181

Model uncertainty, recalibration, and the emergence of delta-vega hedging

Herrmann, Sebastian; Muhle-Karbe, Johannes - 2016

We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option. For dynamic trading in the underlying asset and this vanilla option, delta-vega hedging is asymptotically optimal...

Persistent link: https://www.econbiz.de/10011506357

Hedging with small uncertainty aversion

Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - 2016

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their "distance" to a reference local volatility model. In...

Persistent link: https://www.econbiz.de/10011410718

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