Prospect Theory and Hedging Risks
نویسندگان
چکیده
منابع مشابه
Habit , Long Run Risks , Prospect ?
We use Bayesian statistical methods to compare the habit persistence asset pricing model of Campbell and Cochrane, the long run risks model of Bansal and Yaron, and the prospect theory model of Barberis, Huang, and Santos. We undertake two types of comparisons, relative and absolute, over two sample periods, 1930–2008 and 1950–2008, using two series, univariate U.S. stock returns and bivariate ...
متن کاملProspect Theory
Prospect theory is a descriptive theory of how individuals choose among risky alternatives. The theory challenged the conventional wisdom that economic decision makers are rational expected utility maximizers. We present a number of empirical demonstrations that are inconsistent with the classical theory, expected utility, but can be explained by prospect theory. We then discuss the prospect th...
متن کاملProspect Theory
Prospect theory (Kahneman & Tversky, 1979) predictions were examined in light of ethnocentrism and intergroup conflict. An experiment conducted at the outset of the 2003 invasion of Iraq by the U.S., U. K. and their allies explored American and British participants’ preferences for certain versus uncertain gains and losses concerning Iraqi, American, and British lives. In four conditions, parti...
متن کاملAggregate Income Risks and Hedging Mechanisms
Estimates are made, from time series data on real gross domestic products, of the standard deoiation of returns in markets for perpetual claims on countries’ incomes. The results indicate that there is much fundamental uncertainty to be hedged. Evidence is shmun that there may be only minimal ability to cross hedge these returns in existing capital markets. Methods of establishing markets fm pe...
متن کاملHuman Capital and Employment Risks Hedging
Both educational expenditures and attainment have increased sharply over the last decades, despite rising prices of education, and stagnating income returns to human capital. This paper emphasizes conditional employment risks hedging as additional motivation for education demand. Job risk diversification through education is strongly evidenced in the data, yet is absent from the Human Capital (...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1623715