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Loss aversion and mental accounting : the favorite-longshot bias in parimutuel betting
Qiu, Jianying - 2009
In this paper it is shown that the combination of mental accounting and loss aversion can fundamentally changes people's way of evaluating risky alternatives. The observation is applied in a market setting: Parimutuel betting markets. In parimutuel betting markets it has been found that for...
Persistent link: https://www.econbiz.de/10009734683
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First-Order (Conditional) Risk Aversion, Background Risk and Risk Diversification
Dionne, Georges - 2011
Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent...
Persistent link: https://www.econbiz.de/10013127810
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A Reconsideration of Arrow-Lind : Risk Aversion, Risk Sharing, and Agent Choice
Fesselmeyer, Eric - 2013
We consider the original Arrow-Lind framework in which a government undertakes a risky project to be shared among many taxpayers. In our model, the taxpayers decide the level of participation in the risky project. Moreover, the amount of taxes collected by the government fully finances the...
Persistent link: https://www.econbiz.de/10013091829
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How the Risk Premium Factor Model and Loss Aversion Solve the Equity Premium Puzzle
Hassett, Stephen D. - 2019
The term “equity premium puzzle” was coined in 1985 by economists Rajnish Mehra and Edward C. Prescott. The equity premium puzzle in considered one of the most significant questions in finance. A number of papers have explored the fundamental questions of why the premium exists and has not...
Persistent link: https://www.econbiz.de/10012906021
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A Reconsideration of Arrow-Lind : Risk Aversion, Risk Sharing, and Agent Choice
Fesselmeyer, Eric - 2014
We consider the original Arrow-Lind framework in which a government undertakes a risky project to be shared among many taxpayers. In our model, the taxpayers decide the level of participation in the risky project. Moreover, the amount of taxes collected by the government fully finances the...
Persistent link: https://www.econbiz.de/10013060166
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Stochastic Dominance and Risk Measure : A Decision-Theoretic Foundation for VAR and C-Var
Wong, Wing-Keung; Ma, Chenghu - 2010
This paper is on decision theoretical foundations for various types of VaR models, including VaR and conditional-VaR, as objective measures of downside risk for financial prospects. We establish the connections of the VaRs with the first- and the second-order stochastic dominance investment...
Persistent link: https://www.econbiz.de/10014057675
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Optimal Hedge for Value-Maximizing Firms and Risk-Averse Agents, A General Model
Yuan, Yiyong - 2015
A stochastic solution is proposed for a general problem of demand for risks with both value-maximizing firms and risk averse agents. Explicit solutions are possible for both models when the interesting risk is perceived to be fairly-priced by the two decision makers
Persistent link: https://www.econbiz.de/10013028600
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Loss aversion and mental accounting : the favorite-longshot bias in parimutuel betting
Qiu, Jianying - 2009
Persistent link: https://www.econbiz.de/10008655972
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Higher-order risk preferences in social settings : an experimental analysis
Heinrich, Timo; Mayrhofer, Thomas - 2014
We study higher-order risk preferences, i.e. prudence and temperance, next to risk aversion in social settings … decision maker. However, we do not observe an influence of social settings on prudence and temperance. Our results reveal that …Wir untersuchen neben Risikoaversion auch Risikopräferenzen höherer Ordnung, d.h. "Prudence" und "Temperance" in …
Persistent link: https://www.econbiz.de/10010417190
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Spatial allocation of capital: The role of risk preferences
Broll, Udo; Roldán-Ponce, Antonio; Wahl, Jack E. - 2010
of so-called relative prudence unambiguously decides whether or not the diversi cation of income risk favours the …
Persistent link: https://www.econbiz.de/10010301356