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Substitution And Risk Aversion In Saving
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Book Synopsis Intertemporal Substitution, Risk Aversion, and Private Savings in Mexico by : Patricio Arrau
Download or read book Intertemporal Substitution, Risk Aversion, and Private Savings in Mexico written by Patricio Arrau and published by World Bank Publications. This book was released on with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Intertemporal Substitution, Risk Aversion, and Private Savings in Mexico by : Patricio Arrau
Download or read book Intertemporal Substitution, Risk Aversion, and Private Savings in Mexico written by Patricio Arrau and published by World Bank Publications. This book was released on 1991 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Private savings in Mexico have fallen dramatically since 1982. The drop could be linked to a substantial increase in public savings, more than to uncertainty or real interest rate developments.
Book Synopsis Risk Aversion, Intertemporal Substitution and Consumption by : Frederick van der Ploeg
Download or read book Risk Aversion, Intertemporal Substitution and Consumption written by Frederick van der Ploeg and published by . This book was released on 1990 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Substitution and Risk Aversion in Saving by : Susheng Wang
Download or read book Substitution and Risk Aversion in Saving written by Susheng Wang and published by . This book was released on 1994 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model by : Alberto Giovannini
Download or read book Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model written by Alberto Giovannini and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: When tastes are represented by a class of generalized preferences which -- unlike traditional Von-Neumann preferences -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and intertemporal substitution affect consumption and portfolio allocation decisions in symmetrical ways. A unit elasticity of intertemporal substitution gives rise to myopia in consumption-savings decisions (the future does not affect the optimal consumption plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not affect optimal portfolio allocation). The empirical evidence is consistent with the behavior of intertemporal maximizers who have a unit coefficient of relative risk aversion and an elasticity of intertemporal substitution different from 1
Book Synopsis Prospect Theory by : Daniel Kahneman
Download or read book Prospect Theory written by Daniel Kahneman and published by . This book was released on 1979 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook Of The Fundamentals Of Financial Decision Making (In 2 Parts) by : Maclean Leonard C
Download or read book Handbook Of The Fundamentals Of Financial Decision Making (In 2 Parts) written by Maclean Leonard C and published by World Scientific. This book was released on 2013-05-10 with total page 940 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2nd edition published in 2006).
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Book Synopsis Saving Across the World by : Klaus Schmidt-Hebbel
Download or read book Saving Across the World written by Klaus Schmidt-Hebbel and published by World Bank Publications. This book was released on 1997-01-01 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: World Bank Technical Paper No. 349. The Bank's approach to water resources development has shifted from one of construction activities to one of improved management quality, creating a new generation of water-related projects and the need for new evaluation procedures. This paper addresses the methodology for economic evaluation of this new group of projects and draws on the experience of the recently approved Mexico Water Resources Management project.
Book Synopsis Trade Reform, Policy Uncertainty, and the Current Account by : Sweder van Wijnbergen
Download or read book Trade Reform, Policy Uncertainty, and the Current Account written by Sweder van Wijnbergen and published by World Bank Publications. This book was released on 1990 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Contemporary Issues in Applied Economics by : Moriki Hosoe
Download or read book Contemporary Issues in Applied Economics written by Moriki Hosoe and published by Springer. This book was released on 2019-06-12 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: An important feature of this book is its analysis of various contemporary issues in applied economics, distinguished by advanced theoretical research and empirical analysis focusing on Japan and Korea. The book consists of four parts, the first of which investigates economic growth and welfare, using tools of applied analysis. In Part II, it examines inequality, redistribution, and intergenerational transfers, mainly on an empirical basis. In turn, Part III explores public policy and political economics, while Part IV addresses resource and environmental economics on the basis of data from Japan and Korea. In addition to offering valuable insights, this collection of papers commemorates the 10th anniversary of academic exchange between the Japan Association for Applied Economics (JAAE) and the Korean Association for Applied Economics (KAAE).
Book Synopsis Choices, Values, and Frames by : Daniel Kahneman
Download or read book Choices, Values, and Frames written by Daniel Kahneman and published by Cambridge University Press. This book was released on 2000-09-25 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the definitive exposition of 'prospect theory', a compelling alternative to the classical utility theory of choice. Building on the 1982 volume, Judgement Under Uncertainty, this book brings together seminal papers on prospect theory from economists, decision theorists, and psychologists, including the work of the late Amos Tversky, whose contributions are collected here for the first time. While remaining within a rational choice framework, prospect theory delivers more accurate, empirically verified predictions in key test cases, as well as helping to explain many complex, real-world puzzles. In this volume, it is brought to bear on phenomena as diverse as the principles of legal compensation, the equity premium puzzle in financial markets, and the number of hours that New York cab drivers choose to drive on rainy days. Theoretically elegant and empirically robust, this volume shows how prospect theory has matured into a new science of decision making.
Book Synopsis Uncertain Demographics and Fiscal Sustainability by : Juha M. Alho
Download or read book Uncertain Demographics and Fiscal Sustainability written by Juha M. Alho and published by Cambridge University Press. This book was released on 2008-03-13 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is widespread acceptance that much of the developed world faces a potential pensions and welfare crisis as a result of declining birth rates and an ageing population. However, there is considerable uncertainty about the specifics of demographic forecasting and this has significant implications for public finances. Uncertain Demographics and Fiscal Sustainability addresses the economic consequences of uncertainty and, with particular reference to European economies, explores the impact of demographic risks on public finances, including pension systems, health care and old-age care expenditures. Covering a spectrum of theoretical and empirical approaches, different types of computational models are used to demonstrate not only the magnitudes of the uncertainties involved but also how these can be addressed through policy initiatives. The book is divided into four parts covering demographic, measurement, policy and methodological issues. Each part is followed by a discussion essay that draws out key elements and identifies common themes.
Book Synopsis Essays in Economics by : James Tobin
Download or read book Essays in Economics written by James Tobin and published by MIT Press. This book was released on 1987 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: These 28 essays, covering Tobin's work in macroeconomics from the early 1940s to 1970 are grouped into three parts - macroeconomic theory, economic growth, and money and finance.
Book Synopsis Agents’ Preferences, the Equity Premium, and the Consumption-Saving Trade-Off by : Ms.Aude Pommeret
Download or read book Agents’ Preferences, the Equity Premium, and the Consumption-Saving Trade-Off written by Ms.Aude Pommeret and published by International Monetary Fund. This book was released on 2001-08-01 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to measure the risk premium on French equities during 1960-92 and to evaluate how well theoretical models based on various representations of agents' preferences can explain it. Aside from the standard, time-additive utility function with constant relative risk aversion, three other utility functions are reviewed: a recursive utility function, a habit formation utility function, and a utility function that accounts for the interdependence of preferences. Both calibration and econometric estimations show that none of the studied marginal changes in the representation of agents' preferences are sufficient to solve both the equity premium puzzle and the risk-free rate puzzle.
Book Synopsis The New Palgrave Dictionary of Money and Finance by : John Eatwell
Download or read book The New Palgrave Dictionary of Money and Finance written by John Eatwell and published by Springer. This book was released on 1992-10-14 with total page 869 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first reference work ever to be awarded the Eccles Prize for Excellence in Economic Writing from Columbia Business School. Continuing in the tradition of The New Palgrave , this 3-volume set provides an unparalleled guide to modern money, banking and finance. In over 1,000 substantial essays by leading academic and professional authorities, it provides the most comprehensive analysis available of contemporary theory and the fast-evolving global monetary and financial framework. In its scope and depth of coverage, it is indispensable for the academic and practitioner alike.
Book Synopsis Handbook of Financial Econometrics by : Yacine Ait-Sahalia
Download or read book Handbook of Financial Econometrics written by Yacine Ait-Sahalia and published by Elsevier. This book was released on 2009-10-19 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections
