Concept

Risk neutral preferences

Related publications (15)

Illiquidity and Higher Cumulants

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

Steps parameters of elderly patients hospitalised for an acute medical illness in a Swiss University Hospital: an observational pilot study

Anisoara Ionescu, Francesco Tommasini

BACKGROUND: Objective mobility goals for elderly hospitalised medical patients remain debated. We therefore studied steps parameters of elderly patients hospitalised for an acute illness, to determine goals for future interventional trials and medical prac ...

SMW supporting association2022

Short-term debt and incentives for risk-taking

Erwan Morellec, Francesca Maria Zucchi

We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed wi ...

ELSEVIER SCIENCE SA2020

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

Debt enforcement, investment, and risk taking across countries

Erwan Morellec, Philip Valta

We argue that the prospect of an imperfect enforcement of debt contracts in default reduces shareholder-debtholder conflicts and induces leveraged firms to invest more and take on less risk as they approach financial distress. To test these predictions, we ...

2017

A Robust Resolution of Newcomb's Paradox

Thomas Alois Weber

Newcomb's problem is viewed as a dynamic game with an agent and a superior being as players. Depending on whether or not a risk-neutral agent's confidence in the superior being, as measured by a subjective probability assigned to the move order, exceeds a ...

2016

Pro Free Will Priming Enhances "Risk-Taking" Behavior in the Iowa Gambling Task, but Not in the Balloon Analogue Risk Task: Two Independent Priming Studies

Christine Mohr, Noé Thomas Elie Ohana, Alessandro Tremea

Studies indicated that people behave less responsibly after exposure to information containing deterministic statements as compared to free will statements or neutral statements. Thus, deterministic primes should lead to enhanced risk-taking behavior. We t ...

Public Library Science2016

Default And Systemic Risk In Equilibrium

Martin Larsson

We develop a finite horizon continuous time market model, where risk-averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equil ...

Wiley-Blackwell2015

Learning search polices from humans in a partially observable context

Aude Billard, Guillaume Pierre Luc De Chambrier

Decision making and planning for which the state information is only partially available is a problem faced by all forms of intelligent entities they being either virtual, synthetic or biological. The standard approach to mathematically solve such a decisi ...

2014

Intermediation in a Sharing Economy: Insurance, Moral Hazard, and Rent Extraction

Thomas Alois Weber

Electronic intermediaries have become pervasive in sales transactions for many durables, such as cars, power tools, and apartments. Yet only recently have they successfully tackled the challenge of enabling parties to share such goods. A key impediment to ...

Routledge Journals, Taylor & Francis Ltd2014

A Multidimensional Decisions Modelling Framework for Built Space Supply

Bilal Farooq

The spatial and temporal distribution of built space supply plays an important role in shaping urban form and thus the general travel pattern in an urban area. Within an integrated framework, we are interested in modeling the decisions of a builder in term ...

2013

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...

2012

A model of risk-sensitive route-choice behaviour and the potential benefit of route guidance

Gunnar Flötteröd

In this paper, we present a simulation-based investigation of the potential benefit of route-guidance information in the context of risk-sensitive travelers. We set up a simple two-route scenario where travelers are repeatedly faced with risky route-choice ...

IEEE Institute of Electrical and Electronics Engineers2011

Neural antecedents of financial decisions

To explain investing decisions, financial theorists invoke two opposing metrics: expected reward and risk. Recent advances in the spatial and temporal resolution of brain imaging techniques enable investigators to visualize changes in neural activation bef ...

2007

Corporate control and real investment in incomplete markets

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or perfect capital markets. However, in most situations, corporate executives face incomplete markets either b ...

2007