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Persistent link: https://www.econbiz.de/10008655972
Generalizations of traditional preference criteria such as the Sharpe ratio, the information ratio and the Jensen alpha are obtained by maximizing a certain equivalent excess return (CER) under relevant investment conditions. They are increasing functions of CERs and therefore equivalent...
Persistent link: https://www.econbiz.de/10008542356
Risk exposure can be efficiently optimized in practical situations, using a new apporach to identification of investor's risk aversion.
Persistent link: https://www.econbiz.de/10005134885
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10005094473
We study the optimal insurance demand in the μ,σ space when the decision-maker faces a first-order risk increase. In particular, we investigate the effect of an increase in the expected damage when the variance is held constant. An unambiguous result is derived on insurance demand that differs...
Persistent link: https://www.econbiz.de/10011065850
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
We use a novel method to elicit and measure higher order risk preferences (prudence and temperance) in an experiment … prudence - are strongly related to adolescents' field behavior, including their financial decision making, eco …-friendly behavior, and health status, including addictive behavior. Most importantly, we show that dropping prudence and temperance from …
Persistent link: https://www.econbiz.de/10012285580
We use a novel method to elicit and measure higher order risk preferences (prudence and temperance) in an experiment … prudence are strongly related to adolescents' field behavior, including their financial decision making, eco-friendly behavior …, and health status, including addictive behavior. Most importantly, we show that dropping prudence and temperance from the …
Persistent link: https://www.econbiz.de/10012270596
We use a novel method to elicit and measure higher order risk preferences (prudence and temperance) in an experiment … prudence - are strongly related to adolescents' field behavior, including their financial decision making, eco …-friendly behavior, and health status, including addictive behavior. Most importantly, we show that dropping prudence and temperance from …
Persistent link: https://www.econbiz.de/10012270691
We use a novel method to elicit and measure higher order risk preferences (prudence and temperance) in an experiment … prudence - are strongly related to adolescents' field behavior, including their financial decision making, eco …-friendly behavior, and health status, including addictive behavior. Most importantly, we show that dropping prudence and temperance from …
Persistent link: https://www.econbiz.de/10012271496