The paper exammes the optimal behavior of a smgle dealer who 1s faced with a stochastic demand to trade (modeled by a continuous time Pmsson Jump process) and facmg return risk on his stock and on the rest of his portfolio (modeled by diffusion processes). Usmg stochastic dynamic programmmg, we dertve the optimal bid and ask prices that maxnmze the dealer’s expected utility of termmal wealth as...

CONTENTS Executive Summary........................................................

In random incentive mechanisms agents choose from multiple problems and a randomization device selects a single problem to determine payment. Agents are assumed to act as if they faced each problem on its own. While this approach is valid when agents are expected utility maximizers, ambiguity-averse agents may use the randomization device to hedge and thereby contaminate the data.

We develop awareness-dependent subjective expected utility by taking unawareness structures introduced in Heifetz, Meier, and Schipper (2006, 2008, 2009) as primitives in the Anscombe-Aumann approach to subjective expected utility. We observe that a decision maker is unaware of an event if and only if her choices reveal that the event is “null” and the negation of the event is “null”. Moreover,...

We investigate the impact of a non-financial background risk ε̃ on the preference rankings between two independent financial risks z̃1 and z̃2 for an expected-utility maximizer. More precisely, we provide necessary and sufficient conditions for the alternative (x0 + z̃1, y0 + ε̃) to be preferred to (x0 + z̃2, y0 + ε̃) whenever (x0 + z̃1, y0) is preferred to (x0 + z̃2, y0). Utility functions that preserv...

The European Space Agency decision to include the Hipparcos satellite into its Science Programme is placed in the context of the years 1965-1980 and in the historical perspective of the progress of astrometry. The motivation and ideas which lead to the Hipparcos design are reviewed as well as its characteristics and performance. The amount and variety of applications represent an impressive evo...

In this paper we address the problem of coalition formation in hedonic context. Our modelling tries to be as realistic as possible. In previous models, once an agent joins a coalition it would not be able to leave the coalition and join the new one; in this research we made it possible to leave a coalition but put some restrictions to control the behavior of agents. Leaving or staying of an age...

This research examined whether youth’s forecasted risk taking is best predicted by a compensatory (namely, subjective expected utility) or non-compensatory (e.g., single-factor) model. Ninety youth assessed the importance of perceived benefits, importance of perceived drawbacks, subjective probability of benefits, and subjective probability of drawbacks for 16 risky behaviors clustered evenly i...