A Utility Function for a Risk-Averse Individual
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
... quasiconcave utility functionals remains, however, an open problem and feasible explicit examples are ...convex risk measures were established in [20], see also ...the risk preferences of the ...
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Risk-Averse by Nation or by Religion?: Some Insights on the Determinants of Individual Risk Attitudes
... consider risk attitudes as determinants of religiosity or, conversely, religiousness as a parameter of risk preparedness, they still allow us to develop some initial hypotheses on this ...
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Default Risk and Risk Averse International Investors
... default risk model for small open economies that in- teract with risk averse international investors whose preferences exhibit decreasing absolute risk aversion ...incorporating risk ...
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Default Risk and Risk Averse International Investors
... of individual investors, it is straightforward to assume that these agents are risk ...risk averse. In the case of institutional investors the assumption of risk aversion is somewhat ...
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Default risk and risk averse international investors
... with risk averse international investors whose preferences exhibit decreasing absolute risk aversion ...incorporating risk averse investors who trade with an emerging econ- omy, the ...
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Random queues and risk averse users
... concave utility defined over the duration in the queue as well as the time of exit from the ...expected utility of users are independent of the queueing regime, provided the NRQ prop- erty ...
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Common Agency with Risk Averse Agent
... towards risk, I consider the common agency model, where two risk-neutral principals contract with a risk-averse agent, who has CARA utility with parameter of absolute risk ...
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Too Risk Averse for Prospect Theory?
... strong risk-aversion, since the smallest possible CE according to this theory is still substantially above the lowest lottery outcome, when considering lotteries with two positive ...very risk-averse ...
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ON RISK-AVERSE AND ROBUST INVENTORY PROBLEMS
... cost function. It turns out that when the overage /underage cost function is piecewise linear, it is possible to show that the dy- namic robust formulation is computationally ...
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Risk Management for a Risk-averse Firm with Contingent Payment
... price risk mitigation problem of a risk-averse firm which procures some kind of commodity from the spot market as raw material for making certain ...
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Almost Stochastic Dominance for Risk Averse and Risk Seeking Investors
... 3 The Theory Tzeng et al. (2012) modify the almost SD rule developed by Leshno and Levy (2002) so that the almost SD rule for risk averters possesses the property of expected-utility maximization. In this ...
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Almost Stochastic Dominance for Risk Averse and Risk Seeking Investors
... expected- utility maximization for the preferences of investors/decision makers with different types of utility ...of utility functions as shown in the following ...
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Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors
... Example 3.1 consider u(x) = 2x − x 2 , x ∈ [0, 1]. we can have u ′ (x) = 2 − 2x and u ′′ (x) = −2. Clearly, u ∈ U A ∗ 2 (ϵ), while it does not belong to U 1 A ∗ (ϵ) since inf {u ′ (x) } = 0. We note that Theorem 3.1 ...
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Risk averse shape optimization - risk measures and stochastic orders
... found by our optimization process is significant. See the different results using only shape derivatives on the one hand Fig. (2.4) Fig. (2.5), and using both, shape and topological derivatives, on the other hand, shown ...
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A Characterization of Risk Neutral and Ambiguity Averse Behavior
... Ambiguity Inclination: For all x, y ∈ X and all α ∈ (0, 1), x ∼ y implies x % αx + (1 − α)y. It has been known in the literature that followed Gilboa and Schmeidler (1989) that, jointly with the other axioms of the ...
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Credence Goods, Risk Averse, and Optimal Insurance
... extremely risk-averse and worries about the worst situation, then his utility function takes a form of max-min, and he would show zero tolerance for the expert’s overtreatment behaviours, ...
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Credence Goods, Risk Averse, and Optimal Insurance
... If the consumer purchase no insurance, the price for minor treatment maximizes at the price that leave the consumer with reserve utility after having minor problem repaired. While now the consumer could buy ...
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Public Sector Employees: Risk Averse and Altruistic?
... worker of choosing the lottery ticket rather than the gift certificate are 0.68 times the odds for a private sector worker. We find only weak evidence for the hypothesis that public sector employ- ees more likely choose ...
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Call Auction Markets with Risk Averse Specialists
... of risk-neutral market ...is risk- averse and maximizes the expected utility of his final ...his utility function is a CARA with coefficient of absolute risk-aversion d ...
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Savings and technology choice for risk averse farmers
... the utility function, or degree of risk aversion; the shape of the probability distribution of annual cash income; and the decision-maker’s discount ...smooth function of the state variable ...
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