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Author : D. Kelsey
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (599 download)
Download or read book Risk and Risk Aversion for State-dependent Utility written by D. Kelsey and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : W. Henry Chiu
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Risk Aversion with State-Dependent Preferences in the Rank-Dependent Expected Utility Theory written by W. Henry Chiu and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend the analysis of risk aversion with state-dependent preferences to the Rank-dependent Expected Utility theory. We find that in this extended theory, for two preference relations to be comparable in risk aversion, not only do their reference sets need to coincide (a condition first introduced by Karni (1983, 85) in the original Expected Utility framework), but they must also rank the prospective state-dependent outcomes in the same manner. We formalize this additional condition by introducing the concept of certainty sets. Under our condition of comparability, various results and characterizations of interpersonal comparison of risk aversion are obtained. The implications for a specific insurance problem are also discussed.
Author : Edi Karni
Publisher :
ISBN 13 :
Total Pages : 46 pages
Book Rating : 4.:/5 (636 download)
Download or read book Risk Aversion for State-dependent Utility Functions written by Edi Karni and published by . This book was released on 1980 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David Kelsey
Publisher :
ISBN 13 : 9780868311777
Total Pages : 34 pages
Book Rating : 4.3/5 (117 download)
Download or read book A More General Measure of Risk Aversion when Utility is State-dependent written by David Kelsey and published by . This book was released on 1989 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edi Karni
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (636 download)
Download or read book Generalized Expected Utility Analysis of Risk Aversion with State Dependent Preferences written by Edi Karni and published by . This book was released on 1984 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Edi Karni
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.3/5 (91 download)
Download or read book Decision Making Under Uncertainty written by Edi Karni and published by . This book was released on 1985 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a self-contained, comprehensive, and unified treatment of the theory of decision making under uncertainty with state dependent preferences. The author begins by setting forth axiomatic foundations of subjective expected utility theory with stat-dependent preferences. He then develops measures of risk aversion and of risk for state-dependent utility functions and shows how they can be applied to decisions involving health and life insurance.
Author : Fousseni Chabi-Yo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book State Dependence Can Explain the Risk Aversion Puzzle written by Fousseni Chabi-Yo and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk aversion functions extracted from observed stock and option prices can be negative, as shown by Aiuml;t-Sahalia and Lo (2000), Journal of Econometrics 94: 9-51; and Jackwerth (2000), The Review of Financial Studies 13(2), 433-51. We rationalize this puzzle by a lack of conditioning on latent state variables. Once properly conditioned, risk aversion functions and pricing kernels are consistent with economic theory. To differentiate between the various theoretical explanations in terms of heterogeneity of beliefs or preferences, market sentiment, state-dependent utility, or regimes in fundamentals, we calibrate several consumption-based asset pricing models to match the empirical pricing kernel and risk aversion functions at different dates and over several years.
Author : Daniel Friedman
Publisher : Routledge
ISBN 13 : 1317821238
Total Pages : 171 pages
Book Rating : 4.3/5 (178 download)
Download or read book Risky Curves written by Daniel Friedman and published by Routledge. This book was released on 2014-02-05 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: For several decades, the orthodox economics approach to understanding choice under risk has been to assume that each individual person maximizes some sort of personal utility function defined over purchasing power. This new volume contests that even the best wisdom from the orthodox theory has not yet been able to do better than supposedly naïve models that use rules of thumb, or that focus on the consumption possibilities and economic constraints facing the individual. The authors assert this by first revisiting the origins of orthodox theory. They then recount decades of failed attempts to obtain meaningful empirical validation or calibration of the theory. Estimated shapes and parameters of the "curves" have varied erratically from domain to domain (e.g., individual choice versus aggregate behavior), from context to context, from one elicitation mechanism to another, and even from the same individual at different time periods, sometimes just minutes apart. This book proposes the return to a simpler sort of scientific theory of risky choice, one that focuses not upon unobservable curves but rather upon the potentially observable opportunities and constraints facing decision makers. It argues that such an opportunities-based model offers superior possibilities for scientific advancement. At the very least, linear utility – in the presence of constraints - is a useful bar for the "curved" alternatives to clear.
Author : Markus Fels
Publisher :
ISBN 13 : 9783867889339
Total Pages : pages
Book Rating : 4.8/5 (893 download)
Download or read book Risk Attitudes with State-Dependent Indivisibilities in Consumption written by Markus Fels and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Gollier
Publisher : Springer Science & Business Media
ISBN 13 : 9401724407
Total Pages : 147 pages
Book Rating : 4.4/5 (17 download)
Download or read book Non-Expected Utility and Risk Management written by Christian Gollier and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: Expected utility provides simple, testable properties of the optimum behavior that should be displayed by risk-averse individuals in risky decisions. Simultaneously, given the existence of paradoxes under the expected utility paradigm, expected utility can only be regarded as an approximation of actual behavior. A more realistic model is needed. This is particularly true when treating attitudes toward small probability events: the standard situation for insurable risks. Non-Expected Utility and Risk Management examines whether the existing results in insurance economics are robust to more general models of behavior under risk.
Author : Jean-Pierre Danthine
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.X/5 (4 download)
Download or read book On the Consequences of State-dependent Preferences for the Pricing of Financial Assets written by Jean-Pierre Danthine and published by . This book was released on 2003 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent's coefficient of relative risk aversion to vary with the underlying economy's growth rate. Existence of equilibrium is proved and its asymptotic properties analysed. This generalization leads to level dependent marginal rates of substitution, a property that sharply distinguishes this model from the standard construct. For very low coefficients of relative risk aversion, the equilibrium risk free and risky security returns are demonstrated to have volatilities and an associated equity premium that substantially exceed what is found in the data. This provides a contrasting perspective on the classic 'equity premium puzzle.'.
Author : Pietro Veronesi
Publisher :
ISBN 13 :
Total Pages : 76 pages
Book Rating : 4.X/5 (6 download)
Download or read book Belief-dependent Utilities, Aversion to State-uncertainty and Asset Prices written by Pietro Veronesi and published by . This book was released on 2001 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pascal St.-Amour
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (299 download)
Download or read book State-dependent Risk Aversion written by Pascal St.-Amour and published by . This book was released on 1994 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Salvador Barbera
Publisher : Springer Science & Business Media
ISBN 13 : 1402079648
Total Pages : 636 pages
Book Rating : 4.4/5 (2 download)
Download or read book Handbook of Utility Theory written by Salvador Barbera and published by Springer Science & Business Media. This book was released on 2004-03-31 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: The standard rationality hypothesis is that behaviour can be represented as the maximization of a suitably restricted utility function. This hypothesis lies at the heart of a large body of recent work in economics, of course, but also in political science, ethics, and other major branches of the social sciences. Though this hypothesis of utility maximization deserves our continued respect, finding further refinements and developing new critiques remain areas of active research. In fact, many fundamental conceptual problems remain unsettled. Where others have been resolved, their resolutions may be too recent to have achieved widespread understanding among social scientists. Last but not least, a growing number of papers attempt to challenge the rationality hypothesis head on, at least in its more orthodox formulation. The main purpose of this Handbook is to make more widely available some recent developments in the area. Yet we are well aware that the final chapter of a handbook like this can never be written as long as the area of research remains active, as is certainly the case with utility theory. The editors originally selected a list of topics that seemed ripe enough at the time that the book was planned. Then they invited contributions from researchers whose work had come to their attention. So the list of topics and contributors is largely the editors' responsibility, although some potential con tributors did decline our invitation. Each chapter has also been refereed, and often significantly revised in the light of the referees' remarks.
Author : John Eatwell
Publisher : Springer
ISBN 13 : 1349205680
Total Pages : 330 pages
Book Rating : 4.3/5 (492 download)
Download or read book Utility and Probability written by John Eatwell and published by Springer. This book was released on 1990-02-23 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on utility and probability.
Author : Stephen Gordon
Publisher : Québec : Université Laval, Dép. d'économique
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (358 download)
Download or read book Measuring State-dependent Risk Aversion Using Data Augmentation written by Stephen Gordon and published by Québec : Université Laval, Dép. d'économique. This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lara Buchak
Publisher :
ISBN 13 : 0199672164
Total Pages : 273 pages
Book Rating : 4.1/5 (996 download)
Download or read book Risk and Rationality written by Lara Buchak and published by . This book was released on 2013-11 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lara Buchak sets out a new account of rational decision-making in the face of risk. She argues that the orthodox view (expected utility theory) is too narrow, and suggests an alternative, more permissive theory: one that allows individuals to pay attention to the worst-case or best-case scenario, and vindicates the ordinary decision-maker.
