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  • 1
    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
    Branch Library: PIK Library
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  • 2
    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
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  • 3
    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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  • 4
    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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  • 5
    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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  • 6
    Electronic Resource
    Electronic Resource
    Introductory note (1995)
    Springer
    The Geneva risk and insurance review 20 (1995), S. 7-8 
    Details
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01098955
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  • 7
    Electronic Resource
    Electronic Resource
    Insurance and Catastrophes: Comment (1995)
    Springer
    The Geneva risk and insurance review 20 (1995), S. 189-190 
    Details
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01258395
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  • 8
    Electronic Resource
    Electronic Resource
    Editor's Note (1998)
    Springer
    The Geneva risk and insurance review 23 (1998), S. 5-5 
    Details
    ISSN: 1554-9658
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008659912070
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  • 9
    Electronic Resource
    Electronic Resource
    On the Inefficiency of Bang-Bang and Stop-Loss Portfolio Strategies (1997)
    Springer
    Journal of risk and uncertainty 14 (1997), S. 143-154 
    Details
    ISSN: 1573-0476
    Keywords: portfolio management ; stop-loss ; order of risk aversion ; martingale
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We show in this article that bang-bang portfolio strategies where the investor is alternatively 100% in equity and 100% in cash are dynamically inefficient. Our proof of this result is based on a simple second-order stochastic dominance (SSD) argument. It implies that this is true for any decision criterion that satisfies SSD, not necessarily expected utility. We also examine the stop-loss strategy in which the investor is 100 percent in equity as long as the value of the portfolio exceeds a lower limit where the investor switches to 100 percent in cash. Again, we show that this strategy is inefficient under second-order risk aversion. However, a slight modification of it–in which all wealth exceeding a minimum reserve is invested in equity–is shown to be an efficient dynamic portfolio strategy. This strategy is optimal for investors with a nondifferentiable utility function.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1007725428360
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  • 10
    Electronic Resource
    Electronic Resource
    The economics of adding and subdividing independent risks: Some comparative statics results (1993)
    Springer
    Journal of risk and uncertainty 7 (1993), S. 325-337 
    Details
    ISSN: 1573-0476
    Keywords: diversification ; demand for risky assets ; the law of large numbers ; multiple risks
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In this paper we address the problem of determining whether adding independent risks or subdividing them is a good substitute for insurance. Despite the fact that accepting more i.i.d. risks increases total risk, it is shown that some risk-averse decision makers can rationally reduce their demand for insurance by doing so. Similarly, a better diversified portfolio of i.i.d. risky assets can rationally be more insured, even if diversification is a risk-reduction scheme. We derive conditions sufficient to obtain unambiguous comparative statics results. Assuming that absolute risk aversion is decreasing and that the fourth derivative of the utility function is positive, we show that diversification is an exceptionally good substitute for insurance. Under the same conditions, adding independent risks to wealth reduces the demand for insurance on each unit.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01079631
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