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Riedel, Frank (contributor) - 2007

induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of … optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super …

Persistent link: https://www.econbiz.de/10003731193

On freedom, lack of information and the preference for easy choices

Arlegi, Ritxar (contributor); Dimitrov, Dinko (contributor) - 2005

This paper is devoted to the study of opportunity sets comparisons when the sets may contain options whose characteristics are not completely known. We propose a suitable environment in which this problem can be approached, and provide axiomatic characterizations of several rules for ranking...

Persistent link: https://www.econbiz.de/10003731617

Aging, probability weighting, and reference point adoption : an experimental study

Suzuki, Ayako (contributor); Kume, Koichi (contributor) - 2008

incentives. We estimate the parameterized models in the framework of cumulative prospect theory and examine the risk aversion … elderly group’s behavior departs more from the traditional expected utility theory than does the young group’s behavior …. -- age ; cumulative prospect theory ; risk aversion ; probability weights ; reference point …

Persistent link: https://www.econbiz.de/10003757815

Portfolio inertia under ambiguity

Asano, Takao (contributor) - 2004 - [Elektronische Ressource]

We consider individual’s portfolio selection problems. Introducing the concept of ambiguity, we show the existence of portfolio inertia under the assumptions that decision maker’s beliefs are captured by an inner measure, and that her preferences are represented by the Choquet integral with...

Persistent link: https://www.econbiz.de/10002117590

Apportioning of risks via stochastic dominance

Eeckhoudt, Louis R. (contributor); … - 2008

Consider a simple two-state risk with equal probabilities for the two states. In particular, assume that the random wealth variable Xi dominates Yi via ith-order stochastic dominance for i = M,N. We show that the 50-50 lottery [XN + YM, YN + XM] dominates the lottery [XN + XM, YN + YM] via (N +...

Persistent link: https://www.econbiz.de/10003790970

The effect of uncertainty on decision making about climate change mitigation : a numerical approach of stochastic control

Lontzek, Thomas; Narita, Daiju - 2009

We apply standardized numerical techniques of stochastic optimization (Judd [1998]) to the climate change issue. The model captures the feature that the effects of uncertainty are different with different levels of agent's risk aversion. A major finding is that the effects of stochasticity...

Persistent link: https://www.econbiz.de/10003864491

Prominent numbers, indices and ratios in exchange rate determination and financial crashes : in Economists' models, in the field and in the laboratory

Pope, Robin; Selten, Reinhard; Kube, Sebastian; Hagen, … - 2009

laboratory. Third, nominalist heuristics are incompatible with expected utility theory which excludes the evaluation stage, and … are also incompatible with prospect theory which assumes that, while the evaluation stage can involve systematic mistakes … model and identify what is a mistake, and b) decision makers can maximise. However, contrary to prospect theory, in the …

Persistent link: https://www.econbiz.de/10003867227

Efficiency wages and negotiated profit-sharing under uncertainty

Göcke, Matthias - 2009

Efficiency wage effects of profit sharing are combined with option values related to stochastic future profit variations. These option effects occur if the workers' profit share is fixed by long-term contracts. The Pareto-improving optimal level of the sharing ratio is calculated for two...

Persistent link: https://www.econbiz.de/10003852227

Fundamental uncertainty, portfolio choice, and liquidity preference theory

Pasche, Markus - 2009

One of Keynes' core issues in his liquidity preference theory is how fundamental uncertainty affects the propensity to …

Persistent link: https://www.econbiz.de/10003886826

Neo-additive capacities and updating

Eichberger, Jürgen; Grant, Simon; Lefort, Jean-Philippe - 2009 - This version: October 19, 2009

This paper shows that, for CEU preferences, the axioms consquentialism, state independence and conditional certainty equivalent consistency under updating characterise a family of capacities, called Genralised Neo-Additive Capacities (GNAC). This family contains as special cases among others...

Persistent link: https://www.econbiz.de/10003893438