Hara and Massey [1] have investigated the annihilation of positrons in Ar-CO mixtures while the present author studied the behaviour of positrons in the noble gas mixtures (Ne + Ar) [2] and (He-)-Ar) [3]. It has been found that the annihilation decay constant, A, depends quite sensitively on the nature of the gas mixture. Our calculations [3] indicate that it will be quite interesting to explor...

We present results from a highly powered online experiment with 937 participants on Amazon Mechanical Turk (MTurk) that examined whether MTurkers exhibit myopic loss aversion (MLA). The consisted of measuring MLA-compliant behavior in two between-subjects treatments differed only regarding the risk profile risky asset employed. found no statistically significant evidence for any profiles among ...

This paper is concerned with a dynamic trading strategy, which involves multiple synthetic spreads each of which involves long positions in a basket of underlying securities and short positions in another basket. We assume that the spreads can be modeled as mean-reverting Ornstein-Uhlenbeck (OU) processes. The dynamic trading strategy is implemented as the solution to a stochastic optimal contr...

We consider a two-period portfolio problem with predictable assets returns. First-order (second-order) predictability means that an increase in the first period return yields a first-order (second-order) stochastically dominated shift in the distribution of the second period state prices. Mean reversion in stock returns, Bayesian learning, stochastic volatilities and stochastic interest rates (...

Asset Allocation Advice: Reconciling Expected Utility and Shortfall Risk Researchers studying the asset allocation problem for long-term investors have employed di®erent investor criterion functions. Some analyses have been based on maximization of expected utility. The most commonly used utilities are quadratic utility, which yields the ubiquitous mean-variance utility function underlying \mod...

Agents with standard, time-separable preferences do not care about the temporal distribution of risk. This is a strong assumption. For example, it seems plausible that a consumer may …nd persistent shocks to consumption less desirable than uncorrelated ‡uctuations. Such a consumer is said to exhibit temporal risk aversion. This paper examines the implications of temporal risk aversion for asset...

This paper defines local aversion to a risk index. I show that the local aversion to the Aumann and Serrano [2008] index of riskiness coincides with absolute risk aversion, and that the same applies for the Foster and Hart [2009] measure of riskiness. Using this “local consistency” I offer a new approach for axiomatizing the Aumann and Serrano index of riskiness and present other applications o...

The usefulness of including a buffer between fishery management targets and limits has frequently been acknowledged. This paper shows how decision theory can be used to set both targets and limits. Decision theory uses expected utility as the objective function to be maximized, and thus requires specification of a utility function. The utility function assumed here exhibits constant absolute ri...

â â â â  reza roshan [1] â  department of economics, university of sistan and baluchestan , iran â  mosayeb pahlavani â  department of economics, university of sistan and baluchestan, iran â  mohammad nabi shahyaki tash â  department of economics, university of sistan and baluchestan, iran â  â â â  abstract â  consumption is the principal feature of iran’s gross national production. therefor...