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Eisenbach, Thomas M.; Phelan, Gregory - 2022

We model a safe asset market with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and liquidity investors can interact symbiotically with offsetting trades in times of stress, we show that liquidity investors’ strategic interaction harbors...

Persistent link: https://www.econbiz.de/10013404549

Time-varying risk aversion and its macroeconomic and financial determinants : a comparative analysis in the U.S. and French financial markets

Ceylan, Özcan - In: Finance research letters 41 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10013335968

Fragility of Safe Asset Markets

Eisenbach, Thomas M.; Phelan, Gregory - 2023

In March 2020, safe asset markets experienced surprising and unprecedented price crashes. We explain how strategic investor behavior can create such market fragility in a model with investors valuing safety, investors valuing liquidity, and constrained dealers. While safety investors and...

Persistent link: https://www.econbiz.de/10014355145

Volatility and the pricing kernel

Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022

Persistent link: https://www.econbiz.de/10012816005

Fairness in risky environments : theory and evidence

Van Koten, Silvester; Ortmann, Andreas; Babicky, Vitezslav - In: Games 4 (2013) 2, pp. 208-242

The relationship between risk in the environment, risk aversion and inequality aversion is not well understood … with varying degrees of risk (“endowment risk”) influence individual behavior. We derive theoretical predictions for these … games using utility functions that capture additively separable constant relative risk aversion and inequity aversion. We …

Persistent link: https://www.econbiz.de/10009754742

Estimating risk preferences in the presence of bifrucated wealth dynamics : can we identify static risk aversion amidst dynamic risk responses?

Lybbert, Travis J.; Just, David; Barrett, Christopher B. - In: European review of agricultural economics : ERAE 40 (2013) 2, pp. 361-377

Persistent link: https://www.econbiz.de/10009734026

Alternative measures for modeling risk and expected utility theory : (risk adjustment, measurement and attitude)

Seber, Akin - In: International journal of economics and finance 6 (2014) 9, pp. 151-157

Persistent link: https://www.econbiz.de/10010417168

Tradeoffs for downside risk-averse decision-makers and the self-protection decision

Denuit, Michel; Eeckhoudt, Louis R.; Liu, Liqun; Meyer, Jack - In: The Geneva risk and insurance review 41 (2016) 1, pp. 19-47

Persistent link: https://www.econbiz.de/10011447270

Comparing local risks by acceptance and rejection

Schreiber, Amnon - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 412-430

Persistent link: https://www.econbiz.de/10011577169

Optimal portfolio allocation among REITs, stocks, and long-term bonds : an empirical analysis of US financial markets

Bhuyan, Rafiqul; Kuhle, James L.; Ikromov, Nuriddin; … - In: Journal of mathematical finance 4 (2014) 2, pp. 104-112

Persistent link: https://www.econbiz.de/10010380907