Risk Aversion
Mostrando 13-24 de 35 artigos, teses e dissertações.
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13. Testing the Optimality of Aggregate Consumption Decisions: Is there Rule-of-Thumb Behavior?
Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimal
Publicado em: 15/02/2009
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14. O modelo principal-agente com risco moral sob a Ãtica da economia comportamental
The principal-multiagent model with moral hazard and loss averse agents is considered here. The optimal contract for each agent invidually is a bonus scheme, similar to the classical work of Holmstrom (1979), though it is also dependent on the agentâs degree of loss aversion for the case of the principal is able to observe the agentâs type. Subsequentilly,
Publicado em: 2009
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15. Controle de capitais, crescimento e bem-estar: uma análise baseada no modelo de Ramssey para uma pequena economia aberta e com restrição de crédito externo.
This dissertation investigates the impact of the control of capitals on the growth and welfare in a small open economy of one sector, subject to technological shocks and with limited access to the international capital market. The supply of capital is imperfect due to the risk aversion on the part of the international investors. The results of the model show
Publicado em: 2008
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16. Risky assets performance measures analysis: a study of potential investment, Sharpe ratio and generalized Sharpe ratio indexes. / Análise de medidas de desempenho de ativos de risco: um estudo dos índices de potencial de investimento, Sharpe e Sharpe generalizado
This master dissertation studies and compares the characteristics of Sharpe ratio and its variants, SRc and SRd, generalized Sharpe ratio (GSR) and investment potential (IP), both GSR and IP associated to any utility function. By the fact that GSR and IP are identical indexes, empiric tests were conducted between SRc and GSR. The indexes were evaluated theor
Publicado em: 2008
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17. A eduÃÃo da funÃÃo utilidade multiatributo / A protocol for eliciting the multiatribute utility function
Sabe-se que a Teoria da DecisÃo fornece uma abordagem prescritiva para a representaÃÃo e manuseio de sistemas complexos de preferÃncia. Contudo, a dificuldade em sua aplicaÃÃo, reflexo essencialmente do alto custo da eduÃÃo das preferÃncias, tem limitado a sua aplicaÃÃo. Estuda-se as implicaÃÃes na estrutura da funÃÃo utilidade de restriÃÃes
Publicado em: 2008
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18. Efeitos da política monetária e da assimetria de informação na concessão de crédito imobiliário
Este trabalho oferece uma contribuição ao tema crédito imobiliário no âmbito do Sistema Brasileiro de Poupança e Empréstimo (SBPE) ao analisar as seguintes questões: a influência da política monetária e do risco de crédito na decisão do banco em relação à proporção dos depósitos de poupança destinados ao crédito imobiliário; de que form
Publicado em: 2008
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19. Uso de poços inteligentes em desenvolvimento de campos de petroleo sob incertezas / Use of smart wells in petroleum field developments under uncertainties
The selection of a production strategy is one of the most important tasks to ensure success of petroleum fields development. In order to improve the performance of fields, the use of smart wells is becoming a common practice. In such wells, devices like valves and sensors are able to monitor and control the production in real time, adding flexibility to the
Publicado em: 2008
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20. Utilidades em Se os paradoxos do mercado financeiro / S-shaped utilities and the puzzles of the financial markets
Four S-shaped utility functions are tested - gamma, logistic, Cauchy and modified Cauchy - on Lucas asset pricing model with American market time series. Establishing a parameter that follows the level of the per capita consumption, it is shown that all of them solve the so called risk free puzzle. The gamma utility and the modified Cauchy are the ones with
Publicado em: 2007
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21. Multidimensional robust control, uncertainty and finance / Multidimensional robust control, uncertainty and finance
Optimal control theory has being a source of useful tools (including Euler equations, ztransforms, lag operators, Bellman equations, Kalman filtering) to study dynamic economics problems. A more recent field of optimal control, namely robust control, has recently been adopted by some leading economists (Thomas Sargent, Lars Hansen and coauthors) to study imp
Publicado em: 2006
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22. Aversão míope à perda pode ser influenciada por aspectos do processo de decisão intertemporal? Uma Análise Empírica.
Empirical research has shown that longer binding periods combined with lower feedback frequency decrease myopia and thereby increase the willingness to invest in risk assets. The objective of this experimental study was to disentangle the intertwined relationship between the feedback frequency and the binding period in order to analyze how these variables in
Publicado em: 2006
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23. TERM STRUCTURE OF INTEREST RATES AND MACROECONOMIC DYNAMICS IN BRAZIL / ESTRUTURA A TERMO DA TAXA DE JUROS E DINÂMICA MACROECONÔMICA NO BRASIL
There is a close relationship between macroeconomic variables and the term structure of interest rates in Brazil. We characterize this relationship using the recent macro-finance approach adapted to the case of an emerging market economy.We find that (i) the yield curve have additional information about future economic growth; (ii) the forecasting power is i
Publicado em: 2006
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24. Optimal performance fee and flow of funds in asset management contracts
This paper investigates the importance of ow of funds as an implicit incentive in the asset management industry. We build a two-period bi- nomial moral hazard model to explain the trade-o¤s between ow, per- formance and fees where e¤ort depends on the combination of implicit ( ow of funds) and explicit (performance fee) incentives. Two cases are consider
Publicado em: 08/08/2005