[PDF] Top 20 Value-at-risk under ambiguity aversion
Has 10000 "Value-at-risk under ambiguity aversion" found on our website. Below are the top 20 most common "Value-at-risk under ambiguity aversion".
Value-at-risk under ambiguity aversion
... same risk-management techniques are ...times, ambiguity aversion provides better explanations than risk aversion ...linked ambiguity and financial crises ...measure risk ... See full document
13
Risk Aversion and the Value of Risk to Life
... In this paper, we develop an alternative model, based on recursive von Neumann-Morgen- stern utility functions, which relaxes the additivity assumption and thereby introduces what we shall call mortality risk ... See full document
38
Risk-Return Tradeoffs and Managerial incentives
... the risk- return tradeoff is significantly positive in column 1 ...investment risk and value is ...take risk when the potential benefits from such risk-taking (or, alternatively, the ... See full document
68
Captive Nations: Measuring Economic Growth on Native American Reservations in California
... measure risk was composed of six lottery choices with gradually increasing expected value, increasing variance in payout, and under fixed ...for risk levels. Under the first choice, ... See full document
65
Ambiguous games: Evidence for strategic ambiguity aversion
... significant ambiguity aversion effects were even more complex than this; for example, there was a four-strategy game (Game 8) in which Player II’s indifference between strategies in the known -risk ... See full document
30
Optimal regime switching under risk aversion and uncertainty
... incorporate risk aversion into the dynamics of invest- ment decisions include Henderson & Hobson (2002), who extend the real options approach to pricing and hedging assets by taking the perspective of a ... See full document
33
Credit booms and freezes
... of ambiguity when agents are ...every value of ...without ambiguity, there is an equilibrium threshold θ ∗ in the interval such that coordination succeeds for and only for values of θ above the ... See full document
45
Reward context determines risky choice in pigeons and humans
... and risk level (safe or risky). The low-value safe option yielded one food cup; the low-value risky option yielded either zero or two cups with a 50/50 ... See full document
6
Hybrid Decision Models in Non Proportional Reinsurance
... the risk attitude with the --preference functional, does the insurer choose in case of accepting the reinsurance? In this situation the value of the distribution at the optimal deductible decreases with ... See full document
8
Preferences and Increased Risk Aversion under a General Framework of Stochastic Dominance
... properly risk averse toward patent increases in ...increased risk aversion due to the mean utility preserving addition of noise in the background 10 ...in risk that are fully compensated ... See full document
54
On a relationship between distorted and spectral risk measures
... at Risk (VaR) is one of most popular risk measures, due to its ...this risk measure is not always sub-additive, nor ...a risk measures must satisfy, thus establishing the notion of coherent ... See full document
16
Political risk assessment in the Czech Republic
... enterprise risk management (ERM) in a firm ...of risk aversion and value maximization hypothesis under which the activities of risk management in general are justified by (i) ... See full document
12
Aversion to Risk and Downside Risk in the Large and in the Small under Non Expected Utility: A Quantile Approach
... evaluate risk exposure in each quantile 4 ...of risk and quantile moments (including quantile variance and quantile skewness) in each and every ...practical value as moments have been commonly used ... See full document
21
On mental transformations
... made under conditions of risk. The value function and the probability weighting function have disappeared altogether as they are not needed to describe the experimental ... See full document
30
Essays in Behavioral Decision Theory
... I apply my model to the Lucas tree model of asset pricing (Lucas 1978) and show that the RE has important implications for asset prices. In Section 1.4, I show that I can obtain predictable, high, and volatile asset ... See full document
193
Aversion to ambiguity and willingness to take risks affect therapeutic decisions in managing atrial fibrillation for stroke prevention: results of a pilot study in family physicians
... Methods: Overall, 73 family physicians participated and completed the study. Our study comprised seven simulated case vignettes, three behavioral experiments, and two validated surveys. Behavioral experiments and surveys ... See full document
7
Optimal quality choice under uncertainty on market development
... Without ambiguity aversion, Pennings (2004) also shows that, for the highest level of risk, the follower’s pro…t converges to the pro…t when it provides a lower- quality ...of ambiguity ... See full document
29
Collusion under risk aversion and fixed costs
... a firm derives from a dollar of profit does not vary with the level of profit, and fixed operating costs are irrelevant for a firm’s decision-making (assuming that exit is not a strategic consid- eration). We depart from ... See full document
38
Cumulative Prospect Theory and Deferred Annuities
... how risk sharing is performed so that insurers can offer a lifelong guaranteed income (Brown and Warshawsky, ...the risk of dying early, while overlooking the possibility that they may live well beyond ... See full document
25
Moods and Aversions: Regret, loss, risk, and ambiguity in investment choices
... Finally, the results also supported H4 and H6 - the significant mediating role of risk aversion and ambiguity aversion in the impact of a positive mood on investment choice.. This conseq[r] ... See full document
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