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 ...

102 downloads 38 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

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

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

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

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

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

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 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

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

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

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

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

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

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

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

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

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

Feb 16, 2016 - However, the algo- rithm involves computing integrals over continuous variables. (Algorithm 1 in [5]) and, in general, its implementation appears quite challenging. A different .... duration but such duration is usually not known in ad

May 5, 2014 - Risk-aversion has been extensively studied in other fields. Starting from .... 3. Mean-variance Bandit: f(x, y) = x+λ·y. This is a version of the problem considered in [16]. A related and natural variant is f(x, y) = x+λ√y, where .

Jul 13, 2008 - E. Nurse,30 S.H. Oh,16 Y.D. Oh,27 I. Oksuzian,18 T. Okusawa,40 R. Orava,23 K. Osterberg,23 S. Pagan Griso,42. C. Pagliarone .... 28Ernest Orlando Lawrence Berkeley National Laboratory, Berkeley, California 94720. 29University ...... Th

Dec 1, 2015 - manage the risk of systemic events in the economy, and banks' senior management may compute the capital needs out ... opposed to the case of single-peaked probability distributions, for which higher credit losses ..... The Maximum Entro

Dec 25, 2015 - ∗Corresponding author. Mailing address: University of Amsterdam, Amsterdam School of Economics, PO ... In this paper we refer to three measures of the degree of risk aversion: the risk premium, the probability premium .... with U the