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Risk averse retail pricing with robust demand forecasting
(ELSEVIER SCIENCE BV, 2012)
Good demand estimates are the key to effective pricing decision-making. However, they are subject to a high degree of uncertainty due to various factors that are unpredictable or difficult to model, thus making pricing ...
Asymmetric preferences in investment decisions in the Brazilian financial market
(SSRN, 2007)
The main objective of this article is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results than the classic Von Neumann-Morgenstern utility ...
Funciones de utilidad y estimación de la aversión al riesgo: revisión de la literaturaUtility functions and estimation of risk aversion: Literature review
(Universidad Nacional del Sur. Departamento de Ciencias de la Administración, 2017-12)
El trabajo presenta un compendio no exhaustivo de los antecedentes teóricos sobre la utilidad de los individuos y una sistematización analítica de diferentes propuestas de formas funcionales que la misma puede adoptar. Se ...
Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
(Sociedade Brasileira de Econometria, 2016-03-10)
This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate ...
Estimating Relative Risk Aversion, the Discount Rate, and the Intertemporal Elasticity of Substitution in Consumption for Brazil Using Three Types of Utility FunctionEstimating Relative Risk Aversion, the Discount Rate, and the Intertemporal Elasticity of Substitution in Consumption for Brazil Using Three Types of Utility Function
(Sociedade Brasileira de Econometria, 2000)
Estimating relative risk aversion, the discount rate, and the intertemporal elasticity of substitution in consumption for Brazil using three types of utility function
(Sociedade Brasileira de Econometria, 2000-11-02)
Using the generalized method of moments, we estimate structural parameters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the ...
Risk aversion and the Pareto frontier of a dynamic principal-agent model: an evolutionary approximation
(Centro de Investigación y Docencia Económicas, División de Economía, 2016)