Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Irreversible Investments And Ambiguity Aversion
Download Irreversible Investments And Ambiguity Aversion full books in PDF, epub, and Kindle. Read online Irreversible Investments And Ambiguity Aversion ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Irreversible Investments and Ambiguity Aversion by : Álvaro Cartea
Download or read book Irreversible Investments and Ambiguity Aversion written by Álvaro Cartea and published by . This book was released on 2017 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real option valuation has traditionally been concerned with investment under project value uncertainty while assuming the agent has perfect confidence in a specific model. However, agents do not generally have perfect confidence in their model and this { it ambiguity} affects their decisions. Moreover, real investments are not typically fully spanned by tradable assets--hence markets are inherently incomplete. In this work, we account for the agent's aversion to model ambiguity and address market incompleteness through the notation of { it robust indifference prices}. We derive analytical results for the perpetual option to invest and the linear complementarity problem that the finite time problem satisfies. Ambiguity aversion is found to have dual effects that are similar, but distinct from risk aversion. Agent's are found to exercise options both earlier and later than their ambiguity neutral counterparts, depending on whether ambiguity stems from uncertainty in the investment or a hedging asset.
Book Synopsis Ambiguity in Dynamic Contexts by : Quentin Couanau
Download or read book Ambiguity in Dynamic Contexts written by Quentin Couanau and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis focuses on the consequences of ambiguity aversion in dynamic contexts in economics. In particular, we focus on the consequences of ambiguity aversion in irreversible investment problems, and in dynamic moral hazard problems in continuous-time. The first chapter reviews the literature on ambiguity in dynamic contexts, and reviews existing models as well as their applications in economics and finance. The second chapter deals with irreversible investment in the monopoly case and under perfect competition, under ambiguous volatility. The notion of ambiguous volatility requires the use of recent tools in non linear expectation theory. We show that the optimal entry strategy of a monopoly under ambiguous volatility implies investing sooner than the perfectly competitive equilibrium under volatility ambiguity. The third chapter builds on the results of the second chapter and treats a special case of imperfect competition. The last chapter deals with a dynamic principal-agent problem under moral in continuous-time, in which agents perceive ambiguity about the drift of the relevant process. We show that under certain conditions, the optimal contract is linear in final output. We then use this result to discuss the effect of ambiguity aversion on the incentive power of the optimal contract and the informativeness principle.
Book Synopsis Risk Aversion, Price Uncertainty, and Irreversible Investments by : Rob Willem Jean van den Goorbergh
Download or read book Risk Aversion, Price Uncertainty, and Irreversible Investments written by Rob Willem Jean van den Goorbergh and published by . This book was released on 2003 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper generalizes the theory of irreversible investment under uncertainty by allowing for risk averse investors in the absence of complete markets. Until now, this theory has only been developed in the cases of risk neutrality or risk aversion in combination with complete markets. Within a general setting, we prove the existence of a unique critical output price that distinguishes price regions in which it is optimal for a risk averse investor to invest and price regions in which one should refrain from investing. We use a class of utility functions that exhibit non-increasing absolute risk aversion to examine the effects of risk aversion, price uncertainty, and other parameters on the optimal investment decision. We find that risk aversion reduces investment, particularly if the investment size is large. Moreover, we find that a rise in price uncertainty increases the value of deferring irreversible investments. This effect is stronger for high levels of risk aversion. In addition, we provide, for the first time, closed-form comparative statics formulas for the risk neutral investor.
Book Synopsis Risk Aversion, Price Uncertainty, and Irreversibility of Investments by : Rob W. J. van den Goorbergh
Download or read book Risk Aversion, Price Uncertainty, and Irreversibility of Investments written by Rob W. J. van den Goorbergh and published by . This book was released on 2002 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper generalizes the theory of irreversible investment under uncertainty by allowing for risk averse investors in the absence of complete markets. Until now this theory has only been developed in the cases of risk neutrality, or risk aversion in combination with complete markets. We introduce the class of logistic absolute risk aversion (LARA) utility functions to examine the effects of risk aversion, investment size, and other parameters on the optimal investment decision. We find that risk aversion reduces investment, particularly if the investment size is large. Moreover, we find that a rise in uncertainty increases the value of deferring irreversible investments. This effect is stronger for high levels of risk aversion. In addition, we provide, to the best of our knowlegde for the first time, analytical comparative statics formulas for the risk neutral investor.
Book Synopsis Irreversibility, Uncertainty, and Investment by : Robert S. Pindyck
Download or read book Irreversibility, Uncertainty, and Investment written by Robert S. Pindyck and published by World Bank Publications. This book was released on 1989 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Irreversible investment is especially sensitive to such risk factors as volatile exchange rates and uncertainty about tariff structures and future cash flows. If the goal of macroeconomic policy is to stimulate investment, stability and credibility may be more important than tax incentives or interest rates.
Book Synopsis Risk Aversion, Price Uncertainty, and Irreversible Investments by : R W J van den Goorbergh
Download or read book Risk Aversion, Price Uncertainty, and Irreversible Investments written by R W J van den Goorbergh and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Irreversible Investment, Ambiguity, and Equity Default Swaps by : Xiaolin Tang
Download or read book Irreversible Investment, Ambiguity, and Equity Default Swaps written by Xiaolin Tang and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the impact of ambiguity on the pricing and timing of the option to invest. There is a funding gap to undertake the investment, which is covered by entering into an equity-for-guarantee swap (EGS). Our model predicts that the more ambiguity-averse the agents, the less the option value, the later the investment, the higher the guarantee cost and the leverage. If the entrepreneur is more ambiguity-averse than the insurer, the investment threshold slightly rises as the perceived ambiguity increases and if the entrepreneur is less ambiguity-averse than the insurer, the investment threshold increases sharply as the perceived ambiguity rises.
Book Synopsis Reference-dependent Ambiguity Aversion by : Maximilian Alexander Mihm
Download or read book Reference-dependent Ambiguity Aversion written by Maximilian Alexander Mihm and published by . This book was released on 2011 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contributes to the growing literature in economics on ambiguity aversion. I identify an implicit reference-point assumption in the multiple priors model of Gilboa and Schmeidler (1989), generalize their decision theory to allow for stochastic reference-points, and study the market implications of endowment-dependent ambiguity aversion. Chapter 2 identifies the implicit reference-point assumption in the multiple priors model and provides an axiomatic characterization of a reference-dependent multiple priors model. I also provide an axiomatic characterization of a reference-dependent version of the Choquet Expected Utility model of Schmeidler (1989), which can accommodate different attitudes towards ambiguity. Chapter 3 studies the implications of reference-dependent ambiguity aversion when reference points are given by the endowment in an Arrow-Debreu exchange economy. I illustrate that no-trade and underinsurance are robust implications of ambiguity aversion when investors view ambiguity from the perspective of their endowments. Chapter 4 extends the decision model to intertemporal choice problems and studies the effects of reference-dependent ambiguity aversion in the context of a dynamic asset pricing model.
Book Synopsis Dynamic Asset Pricing Theory by : Darrell Duffie
Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.
Book Synopsis Economics of Pessimism and Optimism by : Kiyohiko G. Nishimura
Download or read book Economics of Pessimism and Optimism written by Kiyohiko G. Nishimura and published by Springer. This book was released on 2017-11-13 with total page 341 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the first book to investigate individual’s pessimistic and optimistic prospects for the future and their economic consequences based on sound mathematical foundations. The book focuses on fundamental uncertainty called Knightian uncertainty, where the probability distribution governing uncertainty is unknown, and it provides the reader with methods to formulate how pessimism and optimism act in an economy in a strict and unified way. After presenting decision-theoretic foundations for prudent behaviors under Knightian uncertainty, the book applies these ideas to economic models that include portfolio inertia, indeterminacy of equilibria in the Arrow-Debreu economy and in a stochastic overlapping-generations economy, learning, dynamic asset-pricing models, search, real options, and liquidity preferences. The book then proceeds to characterizations of pessimistic (ε-contaminated) and optimistic (ε-exuberant) behaviors under Knightian uncertainty and people’s inherent pessimism (surprise aversion) and optimism (surprise loving). Those characterizations are shown to be useful in understanding several observed behaviors in the global financial crisis and in its aftermath. The book is highly recommended not only to researchers who wish to understand the mechanism of how pessimism and optimism affect economic phenomena, but also to policy makers contemplating effective economic policies whose success delicately hinges upon people’s mindsets in the market. Kiyohiko Nishimura is Professor at the National Graduate Institute for Policy Studies (GRIPS) and Professor Emeritus and Distinguished Project Research Fellow of the Center for Advanced Research in Finance at The University of Tokyo. Hiroyuki Ozaki is Professor of Economics at Keio University.
Book Synopsis A Theory of Case-Based Decisions by : Itzhak Gilboa
Download or read book A Theory of Case-Based Decisions written by Itzhak Gilboa and published by Cambridge University Press. This book was released on 2001-07-26 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work, a paradigm for modelling decision-making under uncertainty, describes the general theory and its relationship to planning, repeated choice problems, inductive inference, and learning; and highlights its mathematical and philosophical foundations.
Book Synopsis Financial Economics by : Antonio Mele
Download or read book Financial Economics written by Antonio Mele and published by MIT Press. This book was released on 2022-11-22 with total page 1147 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference for financial economics, balancing theoretical explanations, empirical evidence, and the practical relevance of knowledge in the field. This volume offers a comprehensive, integrated treatment of financial economics, tracking the major milestones in the field and providing methodological tools. Doing so, it balances theoretical explanations, empirical evidence, and practical relevance. It illustrates nearly a century of theoretical advances with a vast array of models, showing how real phenomena (and, at times, market practice) have helped economists reformulate existing theories. Throughout, the book offers examples and solved problems that help readers understand the main lessons conveyed by the models analyzed. The book provides a unique and authoritative reference for the field of financial economics. Part I offers the foundations of the field, introducing asset evaluation, information problems in asset markets and corporate finance, and methods of statistical inference. Part II explains the main empirical facts and the challenges these pose for financial economists, which include excess price volatility, market liquidity, market dysfunctionalities, and the countercyclical behavior of market volatility. Part III covers the main instruments that protect institutions against the volatilities and uncertainties of capital markets described in part II. Doing so, it relies on models that have become the market standard, and incorporates practices that emerged from the 2007–2008 financial crisis.
Download or read book Rational Decisions written by Ken Binmore and published by Princeton University Press. This book was released on 2008-12-29 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is widely held that Bayesian decision theory is the final word on how a rational person should make decisions. However, Leonard Savage--the inventor of Bayesian decision theory--argued that it would be ridiculous to use his theory outside the kind of small world in which it is always possible to "look before you leap." If taken seriously, this view makes Bayesian decision theory inappropriate for the large worlds of scientific discovery and macroeconomic enterprise. When is it correct to use Bayesian decision theory--and when does it need to be modified? Using a minimum of mathematics, Rational Decisions clearly explains the foundations of Bayesian decision theory and shows why Savage restricted the theory's application to small worlds. The book is a wide-ranging exploration of standard theories of choice and belief under risk and uncertainty. Ken Binmore discusses the various philosophical attitudes related to the nature of probability and offers resolutions to paradoxes believed to hinder further progress. In arguing that the Bayesian approach to knowledge is inadequate in a large world, Binmore proposes an extension to Bayesian decision theory--allowing the idea of a mixed strategy in game theory to be expanded to a larger set of what Binmore refers to as "muddled" strategies. Written by one of the world's leading game theorists, Rational Decisions is the touchstone for anyone needing a concise, accessible, and expert view on Bayesian decision making.
Book Synopsis Readings in Formal Epistemology by : Horacio Arló-Costa
Download or read book Readings in Formal Epistemology written by Horacio Arló-Costa and published by Springer. This book was released on 2016-06-07 with total page 930 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume presents 38 classic texts in formal epistemology, and strengthens the ties between research into this area of philosophy and its neighbouring intellectual disciplines. The editors provide introductions to five subsections: Bayesian Epistemology, Belief Change, Decision Theory, Interactive Epistemology and Epistemic Logic. 'Formal epistemology' is a term coined in the late 1990s for a new constellation of interests in philosophy, the origins of which are found in earlier works of epistemologists, philosophers of science and logicians. It addresses a growing agenda of problems concerning knowledge, belief, certainty, rationality, deliberation, decision, strategy, action and agent interaction – and it does so using methods from logic, probability, computability, decision and game theory. The volume also includes a thorough index and suggestions for further reading, and thus offers a complete teaching and research package for students as well as research scholars of formal epistemology, philosophy, logic, computer science, theoretical economics and cognitive psychology.
Book Synopsis Economics—Advances in Research and Application: 2012 Edition by :
Download or read book Economics—Advances in Research and Application: 2012 Edition written by and published by ScholarlyEditions. This book was released on 2012-12-26 with total page 1468 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economics—Advances in Research and Application: 2012 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Economics. The editors have built Economics—Advances in Research and Application: 2012 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Economics in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Economics—Advances in Research and Application: 2012 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Book Synopsis Everything is Obvious by : Duncan J. Watts
Download or read book Everything is Obvious written by Duncan J. Watts and published by Atlantic Books. This book was released on 2011-07-01 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Why is the Mona Lisa the most famous painting in the world? Why did Facebook succeed when other social networking sites failed? Did the surge in Iraq really lead to less violence? And does higher pay incentivize people to work harder? If you think the answers to these questions are a matter of common sense, think again. As sociologist and network science pioneer Duncan Watts explains in this provocative book, the explanations that we give for the outcomes that we observe in life-explanations that seem obvious once we know the answer-are less useful than they seem. Watts shows how commonsense reasoning and history conspire to mislead us into thinking that we understand more about the world of human behavior than we do; and in turn, why attempts to predict, manage, or manipulate social and economic systems so often go awry. Only by understanding how and when common sense fails can we improve how we plan for the future, as well as understand the present-an argument that has important implications in politics, business, marketing, and even everyday life.
Author :Econometric Society. World Congress Publisher :Cambridge University Press ISBN 13 :1107016045 Total Pages :511 pages Book Rating :4.1/5 (7 download)
Book Synopsis Advances in Economics and Econometrics by : Econometric Society. World Congress
Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2013-05-27 with total page 511 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first volume of edited papers from the Tenth World Congress of the Econometric Society 2010.
