The Independent Chip Model and Risk Aversion

Nov 16, 2009 - for cash games. By this, we mean that chips in a cash game are equivalent to cash. On the other hand, the expected value of chips in a ...

103 downloads 197 Views 104KB Size

Recommend Documents

A static comparative analysis is conducted in Section 3 to study stock price implications of risk aversion ... markets' history confirms this rule. Because asset prices fall during stock market panics, we can ...... Rubinstein M. (1976), « The Valua

Jun 27, 2012 - to payment functions that are computed using stochastic techniques ..... Single Parameter Multi-Unit Auctions: The seller provides a single type of item (or service), of which ...... This is immediate if the large price sale is the fir

Aug 15, 2009 - different risk preferences will have on the hedge strategy but not on the performance of the hedging .... Also, the high correlation between oil company profits and the oil price suggests that oil producers do not hedge a .... The risk

Mar 11, 2007 - margin requirements that reflect their corporate risk aversion. Spectral risk measures ... manager in choosing their risk aversion function, but he himself only illustrates one particular risk-aversion function ... The VaR places all i

Jun 3, 2014 - 1 INTRODUCTION. It has been said that the “the great watershed in opti- mization isn't between linearity and nonlinearity, but convexity and nonconvexity”. In this paper, we de- scribe a framework for convexifying a fairly general c

when the proponent receives/pays. The value of α depends on the psychological factors q ... the psychology of j (qj); in S (self-referential), operator i ignores qj and hence attributes to j her/his own value of q; finally, .... the steady state is

Jul 10, 2001 - Given some known risk measures it is easy to generate a new risk measure. In fact, it is .... it is easy to see that the parametrization in terms of any measure dµ(α) can be traded with a parametriza- .... Any rational investor can e

Feb 2, 2008 - Email address: [email protected] (J. R. Iglesias). 1 J.R.I. acknowledges support from .... partners, because a stable society requires that the poor have an advantage in transactions with the wealthy and are protected by particular r

Sep 14, 2011 - MATHIAS BEIGLBÖCK, JOHANNES MUHLE-KARBE, AND JOHANNES TEMME. Abstract. Consider an investor trading dynamically to ...

but in the continuum model we are at liberty to give a any value we feel to be appropriate. As we will see, as long as a is finite its value does not affect the ..... part by the National Science Foundation under grant number DMS–. 0109086 (MEJN an

Nov 6, 2003 - aInstituto de Fısica, Universidade Federal do Rio Grande do Sul, C.P. 15051,. 91501-970 Porto ... Solides, Université Paris-Sud, Orsay, France.

Nov 4, 2014 - School of Business, Universidad Torcuato Di Tella and CONICET, Buenos Aires, Argentina ... the fields of finance and operations, among others, in comparison there is relatively little literature in the theoretical .... In particular, th

Aug 22, 2017 - increases and, in order to protect themselves, groups of. Cs should decrease .... low the percolation threshold (for very low densities data is not shown ... Specifically, selection is frequency-dependent and acts on the phe- .... 109,

Jul 17, 2017 - assumed to be oligopolistic, without any form of exogenous frictions. Models of thin markets close to ours are the ones of [RW15, MR14], and those of [Ant17, AK17]. In [RW15] and [MR14] non-competitive markets are considered and, simil

Mar 5, 2013 - In Brownian-based models, we can represent such heterogeneous attitudes by letting the market ... propriate definition of Lévy information one draws the same conclusion in the case when asset ... really is in fact working with differen

Aug 25, 2015 - r p. = l0. (1). The value of l0 is much greater than the value of life that is generally ad- mitted in literature, i.e. between $1.7 and $7 million [1]. The singularity of the experiment results will be explained later on. The computat

Jan 9, 2013 - the objective is to compete against the arm with the best risk–return ... back, which encompasses a large number of real–world applications, such as clinical trials, online ..... Thus, in order to bound the expectation of Rn we buil

Oct 23, 2013 - stock of a thing, diminishes with every increase in the stock that he already has” (Marshall,. 1920, p. 79). Second, cumulative prospect theory, perhaps the ..... Methods), in which individuals live in groups (the “islands”) that

Mar 18, 2010 - Nutz [27, Remark 2.1]) and we abuse the notation by identifying c and κ when π is given. Note that the wealth process can be expressed as. X(π, κ) = x0E(π • R − κ • µ). (2.2). The preferences of the agent are modeled by a

May 11, 2016 - these types within the population under study. It is worth recalling that (2) is reminiscent of kinetic modelling for wealth distribution, like, for example, in Dragulescu and Yakovenko (2000), in Chapter 5 of Pareschi and Toscani. (20

Aug 4, 2008 - This is, for example, the case in complete financial markets. Indeed, consider for simplicity the Samuelson (Black-Scholes) market model with zero interest rate and the procedure one would follow to price a contingent claim therein. The

Jun 18, 2009 - We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we s

Jul 31, 2012 - thank two anonymous referees and Ren Liu for their careful reading of the paper. Part of this work ... If asked to price a claim, their answer depends neither on wealth, nor on risk aversion. Consuming .... 0−,ϕ0−)=(ξ0,ξ) ∈ R2

Jan 13, 2015 - As an alternative to simply soliciting cash bids for the asset, for instance, a seller may require buyers to compete in terms of the equity share that the seller retains of the asset's profits. Other common securities used in bidding i