Narrow search
Showing 1 - 10 of 47,254
Cover Image
Consumption of durable goods under ambiguity
Moreno, Othón M. - 2014
The focus of this paper is to analyze the effect that ambiguity will have on the buyer's reservation price and the … neutral and ambiguity averse. The problem is formulated as an optimal stopping problem with multiple priors in continuous time … ambiguity. …
Persistent link: https://www.econbiz.de/10010243419
Cover Image
Consumption of Durable Goods under Ambiguity
Moreno, Othón M. - Banco de México - 2014
The focus of this paper is to analyze the effect that ambiguity will have on the buyer's reservation price and the … neutral and ambiguity averse. The problem is formulated as an optimal stopping problem with multiple priors in continuous time … ambiguity. …
Persistent link: https://www.econbiz.de/10010784784
Cover Image
A theory of endogenous time preference, and discounted utility anomalies
Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005
We explain essentially all known discounted utility anomalies as artefacts of the optimizing behavior of an individual with a time- separable utility function, who perceives a good as a source of a stochastic consumption stream, and believes that she can wait for an optimal moment to buy or sell...
Persistent link: https://www.econbiz.de/10005135046
Cover Image
Optimal stopping under ambiguity in continuous time
Riedel, Frank - 2010
We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward … from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options. …
Persistent link: https://www.econbiz.de/10010272549
Cover Image
Optimal stopping under ambiguity
Riedel, Frank - 2007
We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward …
Persistent link: https://www.econbiz.de/10010272620
Cover Image
Ambiguous Jump-Diffusions and Optimal Stopping
Boyarchenko, Svetlana; Levendorskii, Sergei - Department of Economics, University of Texas-Austin - 2014
An ambiguity averse decision-maker contemplates investment of a fixed size capital into a project with a stochastic …
Persistent link: https://www.econbiz.de/10010944717
Cover Image
Optimal Stopping Under Ambiguity in Continuous Time
Cheng, Xue; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2010
We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward … from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options. …
Persistent link: https://www.econbiz.de/10008498363
Cover Image
Exercise Strategies for American Exotic Options under Ambiguity
Chudjakow, Tatjana; Vorbrink, Jörg - Institut für Mathematische Wirtschaftsforschung, … - 2009
from the perspective of an ambiguity averse buyer in a discrete time model of Cox–Ross–Rubinstein style. The multiple prior … maker needs to solve a stopping problem. Unlike the classical approach ambiguity averse decision maker uses a class of …
Persistent link: https://www.econbiz.de/10008528580
Cover Image
Optimal stopping under ambiguity
Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2007
We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward …
Persistent link: https://www.econbiz.de/10005687745
Cover Image
Optimal portfolio choice with predictability in house prices and transaction costs
Corradin, Stefano; Fillat, José L.; Vergara-Alert, Carles - 2012
We generalize the classic Grossman and Laroque (1990) (GL) model of optimal portfolio choice with housing and transaction costs by introducing predictability in house prices. As in the GL model, agents only move to more expensive (cheaper) houses when their wealth-to-housing ratios reach an...
Persistent link: https://www.econbiz.de/10011605515