JER, 第 11 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 2006 |
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第 1 到 3 筆結果,共 42 筆
第 5 頁
... theory . This is mainly because expected utility theory has been the dominant paradigm of decision - making under risk . However , empirical studies dating from early 1950s have revealed a variety of systematic patterns in choice ...
... theory . This is mainly because expected utility theory has been the dominant paradigm of decision - making under risk . However , empirical studies dating from early 1950s have revealed a variety of systematic patterns in choice ...
第 6 頁
... theory and prospect theory . We demonstrate that the mean- variance approximations do not perform well for the s - shaped utility function of prospect theory . We consider a one - period model in which an investor's preference value is ...
... theory and prospect theory . We demonstrate that the mean- variance approximations do not perform well for the s - shaped utility function of prospect theory . We consider a one - period model in which an investor's preference value is ...
第 15 頁
... Theory : An Analysis of De- cision under Risk , " Econometrica , 47 ( 2 ) , 1979 , 263-291 . Kroll , Y. , H. Levy , and H. M. Markowitz , " Mean - Variance versus Direct Utility Maximization , " Journal of Finance , 39 ( 1 ) , 1984 , 47 ...
... Theory : An Analysis of De- cision under Risk , " Econometrica , 47 ( 2 ) , 1979 , 263-291 . Kroll , Y. , H. Levy , and H. M. Markowitz , " Mean - Variance versus Direct Utility Maximization , " Journal of Finance , 39 ( 1 ) , 1984 , 47 ...
內容
Sudipto Dasgupta NonExpected Utility 1 | 165 |
466 | 230 |
Hangyong Lee The Impacts of Risk Management | 279 |
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analysis asset risks assumed assumption Autoregressive Basel II BEEL cash flows coefficient cointegrated composition of equity computed consumption correlation cost currency composition currency hedge debt debt-asset ratio derivatives distribution dividend downturn LGD econometric Economic effect EIA experts empirical environmental accidents equation errors exchange rate expected firm's forecasting foreign financial assets futures market futures prices G(st Hanyang University home and foreign home firm home government i'th currency impulse response increase industry interest rate swaps investment Journal Korea lagged learning-by-doing linearity lobbying activity long-horizon LSTAR model nonlinear null hypothesis p-values parameters portfolio probability of default prospect theory real estate recovery rates regime regression relative Response of STOCK risk aversion risk exposures risk management sample second period SETAR significant spillover spot price standard deviation strategic swap users systematic risk Table Teräsvirta test statistics tion transition function transition variable utility function volatility