نتایج جستجو برای: certainty equivalent revenues
تعداد نتایج: 156229 فیلتر نتایج به سال:
Abstract: In choice under risk an individual decision making is typically described by an individual's utility function over monetary outcomes and an individual’s decision weight function over probabilities. A three-stage procedure is proposed for efficient robust nonparametric elicitation of these functions. First, a tradeoff method is used to elicit several probabilities with a known individu...
This paper generalizes the concept of best response to coalitions of players and offers epistemic definitions of coalitional rationalizability in normal form games. The (best) response of a coalition is defined to be an operator from sets of conjectures to sets of strategies. A strategy is epistemic coalitionally rationalizable if it is consistent with rationality and common certainty that ever...
The aim herein is to analyze utility-based prices and hedging strategies. The analysis is based on an explicitly solved example of a European claim written on a nontraded asset, in a model where risk preferences are exponential, and the traded and nontraded asset are diffusion processes with, respectively, lognormal and arbitrary dynamics. Our results show that a nonlinear pricing rule emerges ...
ABSTRKT The meaning of consistency of increased limit factors (ILF) is reconsidered and a new test of the consistency condition is proposed. It is shown that the three major measures of risk satisfy the new consistency test with no restrictions. The problems of specifying consistent risk-loaded rates for high limits are discussed and a revised subtraction formula is given for the case where ris...
Reportedly, standard identiication algorithms do not guarantee the controllability of the estimated system. In this paper, a penalized least squares (PLS) identiication criterion is proposed to overcome this diiculty. The criterion is shown to provide estimated systems which exhibit an uniform controllability property through time. Moreover, the Lai and Wei upper bound for the least squares est...
Data on certainty equivalent discount factors and discount rates for stochastic interest rates in Australia are provided in this paper. The data has been used for the analysis of investments into climate adaptation projects in ׳It׳s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events׳ (Truong and Trück, 2016) [3] and can be used for othe...
This note completes the main result of [Zimper A., (2010) Re-examining the law of iterated expectations for Choquet decision makers. Theory and decision, DOI 10.1007/s11238-010-9221-8], by showing that additional conditions are needed in order the law of iterated expectations to hold true for Choquet decision makers. Due to the comonotonic additivity of Choquet expectations, the equation E[f, ν...
Zeldes (1989), Carroll (1992; 1993), and others have shown that optimal consumption behavior for consumers facing income uncertainty can be remarkably di erent from the certainty-equivalent case. Carroll (1992; 1993) observes that many of the di erences can be attributed to the concavity of the consumption function under uncertainty, but he does not describe the conditions under which the consu...
Falsification of a universal statement such as “all swans are white” requires verification of a particular statement such as “this swan is black.” Verification is an inductive process because it consists in examining one feature of the bird after another. The color of the feathers is not sufficient (the bird with black feathers could be a crow); many other features have to be compared. The iden...
An old-timer physician of New York, who was forever questioning the methods and purpose of his colleagues, concluded a Grand Rounds in his department with the observation, “No patient is in real danger until all his doctors agree on his diagnosis.” Those of us at the session dutifully applauded and laughed, left the meeting, but never forgot his perceptive warning. We all crave certainty, yet s...
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