This paper deals with the effects of tax rate uncertaity on risk-neutral and risk-averse investment behavior. We … analyse effects of stochastic tax rates on both real and financial investment. It emerges that under risk neutrality as well … as under risk aversion, increased tax rate uncertainty has an ambiguous impact on investment behavior, depending on the …

This paper deals with the effects of tax rate uncertainty on risk-neutral and risk-averse investment behavior. We … analyze effects of stochastic tax rates on both real and financial investment. It emerges that under risk neutrality as well … as under risk aversion, increased tax rate uncertainty has an ambiguous impact on investment behavior, depending on the …

This paper deals with the effects of tax rate uncertainty on risk-neutral and risk-averse investment behavior. We … analyze effects of stochastic tax rates on both real and financial investment. It emerges that under risk neutrality as well … as under risk aversion, increased tax rate uncertainty has an ambiguous impact on investment behavior, depending on the …

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from … Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that … risk neutral measure is the mixture of lognormal distributions. The parameters of the distributions are estimated by …