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Author: Tai-sen He
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
Author: Tai-sen He
Publisher:
ISBN:
Category :
Languages : en
Pages : 24
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Book Description
Author: Joachim Klement
Publisher: CFA Institute Research Foundation
ISBN: 1944960473
Category : Business & Economics
Languages : en
Pages : 150
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Book Description
If risk aversion and willingness to take on risk are driven by emotions and we as humans are bad at correctly identifying them, the finance profession has a serious challenge at hand—how to reliably identify the individual risk profile of a retail investor or high-net-worth individual. In this series of CFA Institute Research Foundation briefs, we have asked academics and practitioners to summarize the current state of knowledge about risk profiling in different key areas.
Author: Kenneth R. Maccrimmon
Publisher: Simon and Schuster
ISBN: 0029195632
Category : Business & Economics
Languages : en
Pages : 404
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Book Description
Offers tests designed to measure one's willingness to take risks, describes characteristics associated with this quality, and discusses the importance of risk-taking in management and investment situations.
Author: Christian Gollier
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
We consider in this paper the problem of a risk-averse firm with limited liability. The firm has to select the size of its investment in a risky project. We show that the optimal exposure to risk of the limited liability firm is always larger than under full liability. Moreover, there exists a positive lower bound on the value of the firm below which the firm will quot;bet for resurrection,quot; i.e. it will invest the largest positive amount in the risky project. We also consider the standard portfolio problem with more than one risky asset. We show that limited liability may induce the firm to specialize in no Mean-Variance efficient assets.
Author: Michail Anthropelos
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
We consider thin incomplete financial markets, where traders with heterogeneous preferences and risk exposures have motive to behave strategically regarding the demand schedules they submit, thereby impacting prices and allocations. We argue that traders relatively more exposed to the market portfolio tend to behave in a more risk tolerant manner. Noncompetitive equilibrium prices and allocations result as an outcome of a game among traders. General sufficient conditions for existence and uniqueness of such equilibrium are provided, with extensive analysis of two-trader transactions. Even though strategic behaviour causes inefficient social allocations, traders with sufficiently high risk tolerance and/or high initial exposure to tradeable securities obtain more utility gain in the noncompetitive equilibrium, when compared to the competitive one.
Author: Jean-Paul Chavas
Publisher: Elsevier
ISBN: 0080516335
Category : Business & Economics
Languages : en
Pages : 257
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Book Description
The objective of Risk Analysis in Theory and Practice is to present this analytical framework and to illustrate how it can be used in the investigation of economic decisions under risk. In a sense, the economics of risk is a difficult subject: it involves understanding human decisions in the absence of perfect information. How do we make decisions when we do not know some of events affecting us? The complexities of our uncertain world and of how humans obtain and process information make this difficult. In spite of these difficulties, much progress has been made. First, probability theory is the corner stone of risk assessment. This allows us to measure risk in a fashion that can be communicated among decision makers or researchers. Second, risk preferences are now better understood. This provides useful insights into the economic rationality of decision making under uncertainty. Third, over the last decades, good insights have been developed about the value of information. This helps better understand the role of information in human decision making and this book provides a systematic treatment of these issues in the context of both private and public decisions under uncertainty. Balanced treatment of conceptual models and applied analysis Considers both private and public decisions under uncertainty Website presents application exercises in Excel
Author: Mr.Ralph Chami
Publisher: International Monetary Fund
ISBN: 1513531867
Category : Business & Economics
Languages : en
Pages : 26
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Book Description
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Author: Institute of Medicine
Publisher: National Academies Press
ISBN: 0309057906
Category : Medical
Languages : en
Pages : 43
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Book Description
Author: V.T. Covello
Publisher: Springer Science & Business Media
ISBN: 1468453173
Category : Technology & Engineering
Languages : en
Pages : 523
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Book Description
The subject of this volume--uncertainties in risk assessment and management--reflects an important theme in health, safety, and environ mental decision making. MOst technological hazards are characterized by substantial uncertainty. Recent examples include nuclear waste disposal, acid rain, asbestos in schools, carcinogens in food, and hazardous waste. realing with such uncertainty is arguably the most difficult and challeng ing task facing risk assessors and managers today. Four primary sources of uncertainty in risk assessment and management can be identified: (1) uncertainties about definitions; (2) uncertainties about scientific facts; (3) uncertainties about risk perceptions and atti tudes; and (4) uncertainties about values. Uncertainties about definitions derive primarily from disagreements about the meaning and interpretation of key concepts, such as probability. Uncertainties about scientific facts derive primarily from disagreements about failure modes, the probability and magnitude of adverse health or environmental consequences, cause and effect relationships, dose-response relationships, and exposure patterns. Uncertainties about risk perceptions and attitudes derive primarily from disagreements about what constitutes a significant or acceptable level of risk. Uncertainties about values derive primarily from disagreements about the desirability or worth of alternative risk management actions or conse quences. The papers in this volume address each of these sources of uncertainty from a variety of perspectives. Reflecting the broad scope of risk assess ment and risk management research, the papers include contributions from safety engineers, epidemiologists, toxicologists, chemists, biostatisticians, biologists, decision analysts, economists, psychologists, political scien tists, sociologists, ethicists, and lawyers.
Author: Donald J. Meyer
Publisher: Now Publishers Inc
ISBN: 193301945X
Category : Business & Economics
Languages : en
Pages : 112
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Book Description
Provides a detailed discussion of the adjustment of risk references and how to go about making such adjustments to a common scale. By adjusting all information to this common scale, results across studies can be easily summarized and compared, and the body of information concerning risk aversion can be examined as a whole
