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  • 1
    Monograph available for loan
    Monograph available for loan
    Ethical asset valuation and the good society (2018)
    New York : Columbia University Press
    Details Availability
    Call number: PIK B 050-18-91626
    Type of Medium: Monograph available for loan
    Pages: xxx, 215 Seiten , Diagramme
    ISBN: 9780231170420
    Series Statement: Kenneth J. Arrow lecture series
    Parallel Title: Online version Ethical asset valuation and the good society
    Language: English
    Note: Contents: Introduction ; 1. Collective Aspirations ; 2. Choice and Measure of Values ; 3. Do We Do Enough for the Future? ; 4. Is The World Too Risky? ; Conclusion ; Technical Appendix
    Location: A 18 - must be ordered
    Branch Library: PIK Library
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  • 2
    Monograph available for loan
    Monograph available for loan
    Pricing the planet's future : the economics of discounting in an uncertain world (2013)
    Princeton [u.a.] : Princeton Univ. Press
    Details Availability
    Call number: PIK B 160-13-0107
    Description / Table of Contents: Contents: Part I: The Simple Economics of Discounting ; Three Ways to Determine the Discount Rate ; 2 The Ramsey Rule ; 3 Extending the Ramsey Rule to an Uncertain Economic Growth ; Part II: The Term Structure of Discount Rates ; 4 Random Walk and Mean-Reversion ; 5 Markov Switches and Extreme Events ; 6 Parametric Uncertainty and Fat Tails ; 7 The Weitzman Argument ; 8 A Theory of the Decreasing Term Structure of Discount Rates ; 1Part III: Extensions ; 9 Inequalities ; 10 Discounting Non-monetary Benefits ; 11 Alternative Decision Criteria ; Part IV: Evaluation of Risky and Uncertain Projects ; 12 Evaluation of Risky Projects ; 13 The Option Value of Uncertain Projects ; 14 Evaluation of Non-marginal Projects
    Type of Medium: Monograph available for loan
    Pages: IX, 232 S. : graph. Darst.
    ISBN: 9780691148762
    Location: A 18 - must be ordered
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  • 3
    Electronic Resource
    Electronic Resource
    Arrow’s theorem on the optimality of deductibles: A stochastic dominance approach (1996)
    Springer
    Economic theory 7 (1996), S. 359-363 
    Details
    ISSN: 1432-0479
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary.  We provide a new proof for the optimality of deductible insurance that does not depend on the expected-utility hypothesis. Our model uses only first- and second-degree stochastic dominance arguments.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01213911
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  • 4
    Electronic Resource
    Electronic Resource
    Arrow's theorem on the optimality of deductibles: A stochastic dominance approach (1996)
    Springer
    Economic theory 7 (1996), S. 359-363 
    Details
    ISSN: 1432-0479
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary We provide a new proof for the optimality of deductible insurance that does not depend on the expected-utility hypothesis. Our model uses only first- and second-degree stochastic dominance arguments.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01213911
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  • 5
    Electronic Resource
    Electronic Resource
    Increased Risk-Bearing with Background Risk (2006)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Topics in theoretical economics 6.2006, 1, art3 
    Details
    ISSN: 1534-598X
    Source: Berkeley Electronic Press Academic Journals
    Topics: Economics
    Notes: Analyses of risk-bearing often assume that agents face only one risk. Agents however usually face several risks and the interaction between them can affect the willingness to bear any one of them. We consider how the introduction of background risk affects the comparative statics predictions of distribution changes in the standard two asset portfolio model. We show that such predictions are fairly robust, no matter what the correlation between the two risks. We consider changes in the conditional distributions of the risky asset's return; and changes in the marginal distribution of the asset's return. For the first question, a version of Gollier's (1995) Central Riskiness order is sufficient and necessary to increase risk-bearing. For the second question, Monotone Likelihood Ratio improvements are sufficient and necessary. Many of our proofs illustrate the "basis" approach to comparative statics under uncertainty.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/bejte/topics/vol6/iss1/art3
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  • 6
    Electronic Resource
    Electronic Resource
    Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability (2004)
    Berkeley, Calif. : Berkeley Electronic Press (now: De Gruyter)
    Contributions to theoretical economics 4.2004, 1, art4 
    Details
    ISSN: 1534-5971
    Source: Berkeley Electronic Press Academic Journals
    Topics: Economics
    Notes: We consider a two-period portfolio problem with predictable assets returns. First-order (second-order) predictability means that an increase in the first period returns yields a first-order (second-order) stochastically dominated shift in the distribution of the second period state prices. Mean reversion in stock returns, Bayesian learning, stochastic volatility and stochastic interest rates (bond portfolios) belong to one of these two types of predictability. We first show that a first-order stochastically dominated shift in the state price density reduces the marginal value of wealth if and only if relative risk aversion is uniformly larger than unity. This implies that first-order predictability generates a positive hedging demand for portfolio risk if this condition is met. A similar result is obtained with second-order predictability under the condition that absolute prudence be uniformly smaller than twice the absolute risk aversion. When relative risk aversion is constant, these two conditions are equivalent. We also examine the effect of exogenous predictability, i.e., when the information about the future opportunity set is conveyed by signals not contained in past asset prices.
    Type of Medium: Electronic Resource
    URL: http://www.bepress.com/bejte/contributions/vol4/iss1/art4
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  • 7
    Electronic Resource
    Electronic Resource
    Demand for risky assets and the monotone probability ratio order (1995)
    Springer
    Journal of risk and uncertainty 11 (1995), S. 113-122 
    Details
    ISSN: 1573-0476
    Keywords: likelihood ratio ; probability ratio ; hazard rate ; portfolio selection ; stochastic dominance
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract Since Fishburn and Porter (1976), it has been known that a first-order dominant shift in the distribution of random returns of an asset does not necessarily induce a risk-averse decision maker to increase his holdings of that improved asset. To obtain the desired comparative statics result, one has to further restrict the class of changes in the distribution. In this article, we propose the “monotone probability ratio” criterion which is more general than the “monotone likelihood ratio” criterion currently used in the literature.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01067680
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  • 8
    Electronic Resource
    Electronic Resource
    Economics of Radiation Protection: Equity Considerations (1997)
    Springer
    Theory and decision 43 (1997), S. 241-251 
    Details
    ISSN: 1573-7187
    Keywords: Radiation protection ; equity ; economics of uncertainty ; optimisation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Sociology , Economics
    Notes: Abstract In order to implement cost-benefit analysis of protective actions to reduce radiological exposures, one needs to attribute a monetary value to the avoided exposure. Recently, the International Commission on Radiological Protection has stressed the need to take into consideration not only the collective exposure to ionising radiation but also its dispersion in the population. In this paper, by using some well known and some recent results in the economics of uncertainty, we discuss how to integrate these recommendations in the valuation of the benefit of protection.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1004958909249
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  • 9
    Electronic Resource
    Electronic Resource
    A model of comparative statics for changes in stochastic returns with dependent risky assets (1996)
    Springer
    Journal of risk and uncertainty 13 (1996), S. 147-162 
    Details
    ISSN: 1573-0476
    Keywords: changes in risk ; linear stochastic dominance ; central dominance ; portfolio decision ; dependent risky assets ; D8 ; G11
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this article, we show how the order of Linear Stochastic Dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets. This order was shown to be the least constrained necessary and sufficient condition to guarantee that all risk-averse agents reduce their risky position when an increase in risk is imposed. This was done in a model with only one source of risk, as in the standard portfolio problem with one safe asset and one risky asset. We obtain the necessary and sufficient condition for a change in the joint distribution of returns to yield an unambiguous comparative statics result when the two assets are risky. We show in particular that the concept of Linear Stochastic Dominance is sufficient to generate the desired result. These results are linked to existing sufficient conditions in the one-safe-one-risky-asset model, as the condition of strong increase in risk or the monotone likelihood ratio order. They are also compared to those in models where restrictions are on the set of concave utility functions.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00057865
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  • 10
    Electronic Resource
    Electronic Resource
    The Spillover effect of compulsory insurance (1994)
    Springer
    The Geneva risk and insurance review 19 (1994), S. 23-34 
    Details
    ISSN: 1554-9658
    Keywords: Insurance demand ; multiple sources of risk ; compulsory insurance ; standard risk aversion ; prudence
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The assumption usually made in the insurance literature that risks are always insurable at the desired level does not hold in the real world: some risks are not—or are only partially—insurable, while others, such as civil liability or health and workers' injuries, must be fully insured or at least covered for a specific amount. We examine in this paper conditions under which a reduction in the constrained level of insurance for one risk increases the demand of insurance for another independent risk. We show that it is necessary to sign the fourth derivative of the utility function to obtain an unambiguous spillover effect. Three different sufficient conditions are derived if the expected value of the exogenous risk is zero. The first condition is that risk aversion be standard—that is, that absolute risk aversion and absolute prudence be decreasing. The second condition is that absolute risk aversion be decreasing and convex. The third condition is that both the third and the fourth derivatives of the utility function be negative. If the expected value of the exogenous risk is positive, a wealth effect is added to the picture, which goes in the opposite direction if absolute risk aversion is decreasing.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01112012
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