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High dimensionality in finance: a graph-theory analysis

Raynaud, Franck; Lautier, Delphine - Université Paris-Dauphine (Paris IX) - 2012

Persistent link: https://www.econbiz.de/10010960549

Systemic Risk and Complex Systems: A Graph-Theory Analysis

Lautier, Delphine; Raynaud, Franck - Université Paris-Dauphine (Paris IX) - 2013

This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In these studies, we built graphs in order to investigate integration and systemic risk in derivative markets. Several classes of underlying assets (i.e. energy products, metals,...

Persistent link: https://www.econbiz.de/10010960550

L'immobilier, support d'investissement

Charpentier, Ludovic; Dubois, Cécile; Heno, Gérard; … - Université Paris-Dauphine (Paris IX) - 2014

Persistent link: https://www.econbiz.de/10010960586

Central banks and ambiguity

Spanjers, Willy - School of Economics, Kingston University - 2004

In referring to the ‘animal spirits’ of investors, Keynes had already pointed to a basic distinction between ‘calculable’ and ‘non-calculable’ risk or ‘ambiguity’. The purpose of this paper is to discuss the effects of ambiguity on the public’s expectations about inflation and...

Persistent link: https://www.econbiz.de/10010961067

The Capital Asset Pricing Model in Economic Perspective

Dawson, Peter C - Department of Economics, University of Connecticut - 2013

The Capital Asset Pricing Model (CAPM) is theoretically incomplete in its demandside focus, risk-averse investors, and internally inconsistent homogeneous beliefs; is not conclusively supported empirically; and yet it legitimizes a notion that investors can earn higher returns by bearing...

Persistent link: https://www.econbiz.de/10010961318

DEMAND UNCERTAINTY, R&D LEADERSHIP AND RESEARCH JOINT VENTUREs

O'Sullivan, Paul - Department of Economics, National University of Ireland - 2014

This paper analyses the desirability of RJV formation when firms may choose their R&D investment before or after any demand uncertainty is resolved. If a R&D leader accommodates a follower, multiple Nash equilibria are possible under both R&D competition and RJV formation. If a R&D leader...

Persistent link: https://www.econbiz.de/10010961599

Multiplicative background risk

Franke, Günter; Schlesinger, Harris; Stapleton, Richard C. - Wissenschaftszentrum Berlin für Sozialforschung (WZB) - 2002

We consider random wealth of the multiplicative form xy, where x and y are statistically independent random variables. We assume that x is endogenous to the economic agent, but that y is an exogenous and uninsurable background risk. Our main focus is on how the randomness of y affects...

Persistent link: https://www.econbiz.de/10009370657

Is Sex Like Driving? Risk Compensation Associated with Randomized Male Circumcision in Kisumu, Kenya

Wilson, Nicholas Logan; Xiong, Wentao; Mattson, Christine - Center for Development Economics, Williams College - 2011

, concern remains about risk compensation associated with the reduction in the probability of HIV transmission per risky act … compensation, we find that the response due to the perceived reduction in HIV transmission appears to have been a reduction in … what appears to be a competing effect that does not operate through the circumcision recipient's belief about the reduction …

Persistent link: https://www.econbiz.de/10009370950

Is Sex Like Driving? Risk Compensation Associated with Male Circumcision in Kisumu, Kenya

Wilson, Nicholas Logan; Xiong, Wentao; Mattson, Christine - Economics Department, Williams College - 2011

Persistent link: https://www.econbiz.de/10009370953

Hedging one’s happiness – Should a sports fan bet on the opponent?

Stemmet, Bart - Department of Economics, Fakulteit Ekonomiese en … - 2011

This paper sets out to show that a risk-averse sport fanatic could hedge his happiness by betting on the opposition. The literature surrounding happiness, risk- and loss aversion is explored and a model is developed to explain the happiness a fan derives from a match. It is shown that...

Persistent link: https://www.econbiz.de/10009370961