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Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor

Dubois, Mathieu - 2015

We consider an investor who faces parameter uncertainty in a continuous-time financial market. We model the investor's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is large when using a simple plug-in strategy for...

Persistent link: https://www.econbiz.de/10013033022

Ambiguity Aversion and Under-diversification

Guidolin, Massimo - 2014

We examine asset allocation decisions under smooth ambiguity aversion when an investor has a prior degree of belief in an asset pricing model (e.g., the domestic CAPM). Different from a Bayesian approach, the investor separately relies on the conditional distribution of returns and on the...

Persistent link: https://www.econbiz.de/10013060281

Spite vs. risk : explaining overbidding

Kirchkamp, Oliver; Mill, Wladislaw - 2019

overbidding in auctions. As a workhorse we use the second-price all-pay and the first-price winner-pay auction. Both risk and …. Indeed, we find that spite is a more convincing explanation for bidding behavior for the second-price all-pay auction. Not …

Persistent link: https://www.econbiz.de/10012002983

Rent seeking and precautionary bidding in conservation auctions

Wichmann, Bruno - In: Canadian journal of agricultural economics : CJAE 72 (2024) 3, pp. 235-249

Persistent link: https://www.econbiz.de/10015121042

Auctioning long-term projects under financial constraints

Arve, Malin; Martimort, David - 2023

Persistent link: https://www.econbiz.de/10014364181

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