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Endogenous Cycles with Long Lived Agents.
Reichlin, P. - Center for Operations Research and Econometrics (CORE), … - 1990
Persistent link: https://www.econbiz.de/10005634173
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Public Versus Private Insurance: a Political Economy Argument.
Hindriks, J. - Center for Operations Research and Econometrics (CORE), … - 2000
market can lead a majority of individuals to prefer public insurance over private insurance, even if the median risk is below … the average risk (so that the median ends up subsidizing high-risk individuals). …
Persistent link: https://www.econbiz.de/10005634201
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Economic and Social Security in the Twenty-First Century, with Attention to Europe.
Dreze, J.H. - Center for Operations Research and Econometrics (CORE), … - 2000
A partly heuristic attempt at exploring long-run policies aimed at a second-best compromis between ex ante risk … advocated, together with imposed risk sharing between capital and labour, between generations and between countries belonging to …
Persistent link: https://www.econbiz.de/10005634224
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A Simple Measure of Risk Aversion in the Large and an Application.
Chander, P. - Center for Operations Research and Econometrics (CORE), … - 2000
We introduce a simple measure of risk aversion in the large. Besides satisfying properties which are conceptually … analogous to the usual properties of the Arrow-Pratt measure, the index of risk aversion in the large leads to a stronger … concept of decreasing risk aversion, which necessarily imp lies decreasing absolute risk aversion but not necessarily non …
Persistent link: https://www.econbiz.de/10005634228
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Optimal Diversification Within Multi-Asset Portfolio Using a Conditional Heteroscedasticity Approach: Evidence from the US and the UK.
Giliberto, M.; Hamelink, F.; Hoesli, M.; Macgregor, B. - Geneva School of Economics and Management, Université … - 1996
In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.
Persistent link: https://www.econbiz.de/10005634275
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A FOUNDATION OF BAYESIAN STATISTICS (HOW TO DEAL WITH FEARS?).
KAST, R. - Groupement de Recherche en Économie Quantitative … - 1990
Persistent link: https://www.econbiz.de/10005634326
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THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE.
EECKHOUDT, L.; BAUWENS, L.; BRIYS, E.; SCARMURE, P. - Groupement de Recherche en Économie Quantitative … - 1990
Persistent link: https://www.econbiz.de/10005634352
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Generalizing Arrow Pricing to Understand Financial Markets.
Ami, D.; Kast, R. - Groupement de Recherche en Économie Quantitative … - 1991
Persistent link: https://www.econbiz.de/10005634409
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Deposit Insurance and Moral Hazard: Does the Counterfactual Matter?
Gropp, R.; Vesala, J. - Quebec a Montreal - Recherche en gestion - 2001
The paper analyses the relationship between deposit insurance, debt-holder monitoring, bank charter, and risk taking …
Persistent link: https://www.econbiz.de/10005634481
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Asset Market Linkages in Crisis Periods.
Hartmann, P.; Straetmans, S.; De Vries, C.G. - Quebec a Montreal - Recherche en gestion - 2001
We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this non-parametric measure is not predisposed towards the normal distribution and can account for non-linear relationships. Our estimates for the G-5 countries...
Persistent link: https://www.econbiz.de/10005634482