DecisionSciRN: Other Investment Decision-Making (Sub-Topic)最新文献

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Economic Analysis of the Internalization the Externalities in Environmental Goods 环境产品外部性内部化的经济学分析
DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2017-08-07 DOI: 10.2139/ssrn.3500846
O. Kopsidas, Andreas Hadjixenophontos
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引用次数: 0
Sunk Cost Fallacy in Driving the World’s Costliest Cars 驾驶世界上最昂贵汽车的沉没成本谬误
DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2016-06-01 DOI: 10.1287/mnsc.2016.2651
Teck-Hua Ho, I. Png, Sadat Reza
{"title":"Sunk Cost Fallacy in Driving the World’s Costliest Cars","authors":"Teck-Hua Ho, I. Png, Sadat Reza","doi":"10.1287/mnsc.2016.2651","DOIUrl":"https://doi.org/10.1287/mnsc.2016.2651","url":null,"abstract":"We develop a behavioral model of durable good usage with mental accounting for sunk costs. It predicts higher-than-rational usage that attenuates at a rate that increases with sunk costs. Singapore government policy varied the sunk cost of buying a new car. Using Singapore data, we estimate the elasticity of driving with respect to sunk costs to be 0.048, which implies that government policy between 2009 and 2013 was associated with 86 kilometers per month, or 5.6%, more driving. The results are robust to specifying sunk costs as relative to buyer income and estimation with Hong Kong data. We believe this to be the first field evidence of the sunk cost fallacy in usage of a major durable good. The online appendix is available at https://doi.org/10.1287/mnsc.2016.2651. This paper was accepted by John List, behavioral economics.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115559748","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 61
Dynamic Portfolio Choice under Ambiguity and Regime Switching Mean Returns 模糊和制度转换平均收益下的动态投资组合选择
DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2010-12-15 DOI: 10.2139/ssrn.992486
Hening Liu
{"title":"Dynamic Portfolio Choice under Ambiguity and Regime Switching Mean Returns","authors":"Hening Liu","doi":"10.2139/ssrn.992486","DOIUrl":"https://doi.org/10.2139/ssrn.992486","url":null,"abstract":"I examine a continuous-time intertemporal consumption and portfolio choice problem under ambiguity, where expected returns of a risky asset follow a hidden Markov chain. Investors with Chen and Epstein''s (2002) recursive multiple priors utility possess a set of priors for unobservable investment opportunities. We explicitly characterize optimal consumption and portfolio policies in terms of the Malliavin derivatives and stochastic integrals. When the model is calibrated to U.S. stock market data, I find that continuous Bayesian revisions under incomplete information generate ambiguity-driven hedging demands that mitigate intertemporal hedging demands. In addition, ambiguity aversion magnifies the importance of hedging demands in the optimal portfolio policies. Out-of-sample experiments demonstrate the economic importance of accounting for ambiguity.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128863449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 90
An Optimal Hedge Ratio Discussion - One Size Does Not Fit All 最佳对冲比率讨论-一种规模不适合所有
DecisionSciRN: Other Investment Decision-Making (Sub-Topic) Pub Date : 2009-02-28 DOI: 10.2139/ssrn.1532457
C. Shane Schurter
{"title":"An Optimal Hedge Ratio Discussion - One Size Does Not Fit All","authors":"C. Shane Schurter","doi":"10.2139/ssrn.1532457","DOIUrl":"https://doi.org/10.2139/ssrn.1532457","url":null,"abstract":"As institutional investors increase their allocations to non-domestic securities, the associated currency risk becomes an increasingly pertinent subject in need of addressing. Our advisory position on currency hedging is that for most clients, the drawbacks can be significant and the benefits over the long-term may be small and are not guaranteed. There are no easy answers in regards to currency management. In this paper we provide background on the currency market, develop a decision making framework as it pertains to whether or not to hedge currency, and share our thoughts and experience in regards to implementation should clients determine hedging currency is appropriate given their specific circumstances. Contained within Appendix I is a currency hedging decision matrix which summarizes relevant issues for consideration as it pertains to hedging currency. In addition, we’ve developed an Excel-based tool which encompasses the points outlined in the currency hedging decision matrix. This tool allows the user to weight the importance of each factor resulting in a “suggested” hedge ratio. As with any tool such as this, it should be used as guidance in developing an appropriate hedge ratio. Contained within Appendix II are two case studies, detailing institutional investors with unique circumstances, which helps to illustrate the functionality and usefulness of this Excel-based tool.","PeriodicalId":352857,"journal":{"name":"DecisionSciRN: Other Investment Decision-Making (Sub-Topic)","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133678657","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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