منابع مشابه
The International CAPM When Expected Returns Are Time-Varying
This paper derives a dynamic version of the international CAPM. The exchange-rate risk factors and intertemporal hedging factors are derived endogenously in a model that builds upon Campbell (1993). We provide a theoretical foundation for empirical risk factors often used in international asset pricing, including dividend yields, forward premia and, especially, exchange-rate indices. The model ...
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In this paper, we discuss the decision situation where the (vague) preferences are represented by fuzzy relations. There are two ways to interpret this situation: (i) an individual decision maker chooses perfect rankings from a set and uses that combination of rankings as her/his preference ranking. (ii) or a group of decision makers are reporting perfect rankings but their group decision is a ...
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Under the assumption of normally distributed returns, we analyze whether the Cumulative Prospect Theory of Tversky and Kahneman (1992) is consistent with the Capital Asset Pricing Model. We find that in every financial market equilibrium the Security Market Line Theorem holds. However, under the functional form for the utility index suggested by Tversky and Kahneman (1992) financial market equi...
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The criteria called conditional equality and egalitarian equivalence proposed by Fleurbaey and Maniquet[15, 16] serve to assess the degree of equity among individuals. They have not been applied as often as the criteria of equality of opportunity[28, 30], mainly because the first criteria should be used in an ordinal framework which differs from the cardinal approach usually adopted in the lite...
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Econometric analysis typically focuses on the statistical properties of fixed estimators. In practice, however, researchers may have preferences over estimates and engage in specification searches. In this paper, I approach the analysis of experimental data as a mechanism-design problem. Specifically, I focus on covariate adjustments, which can increase precision, but open the door to bias when...
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ژورنال
عنوان ژورنال: Computational Economics
سال: 2006
ISSN: 0927-7099,1572-9974
DOI: 10.1007/s10614-006-9061-3