Showing 91 - 100 of 718,060
We develop a theory of “risky utilities”, i.e. private firms that manage an infrastructure for public service, and that … may be tempted to engage in excessively risky activities, such as reducing maintenance expenditures (at the risk of … provoking a break-down of the system) or in speculation (at the risk of incurring massive losses it cannot bear). These risky …
Persistent link: https://www.econbiz.de/10013009975
Persistent link: https://www.econbiz.de/10012622403
Persistent link: https://www.econbiz.de/10011957311
Persistent link: https://www.econbiz.de/10013453847
Persistent link: https://www.econbiz.de/10011647697
Persistent link: https://www.econbiz.de/10009768100
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas … for prices and hedging strategies in terms of the security's cash gamma …
Persistent link: https://www.econbiz.de/10011410718
of the bears and the purchases of the bulls are balanced." We propose a descriptive theory of finance explicating Keynes … pessimism, defined as the composition of the investor's preferences for risk and her preferences for ambiguity. Bulls and bears …
Persistent link: https://www.econbiz.de/10013080387
Persistent link: https://www.econbiz.de/10012216637
This article reviews recent developments in revealed preference theory. It discusses the testable implications of …, subjected expected utility and maxmin expected utility in the presence of uncertainty, and exponentially discounted utility for … different qualifications depending on the functional forms in the theory under consideration …
Persistent link: https://www.econbiz.de/10012404579