The economics of risk and time:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass. [u.a.]
MIT Press
2001
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. [429] - 440 |
| Beschreibung: | XX, 445 S. graph. Darst. |
| ISBN: | 0262072157 0262572249 |
Internformat
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| 245 | 1 | 0 | |a The economics of risk and time |c Christian Gollier |
| 264 | 1 | |a Cambridge, Mass. [u.a.] |b MIT Press |c 2001 | |
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| 500 | |a Literaturverz. S. [429] - 440 | ||
| 650 | 4 | |a Finances | |
| 650 | 4 | |a Finanzas | |
| 650 | 4 | |a Gestion du risque | |
| 650 | 4 | |a Ingénierie financière | |
| 650 | 4 | |a Riesgo | |
| 650 | 4 | |a Risque | |
| 650 | 4 | |a Évaluation du risque | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Financial engineering | |
| 650 | 4 | |a Risk | |
| 650 | 4 | |a Risk assessment | |
| 650 | 4 | |a Risk management | |
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Datensatz im Suchindex
| _version_ | 1804128529170825216 |
|---|---|
| adam_text | Contents
Preface xv
• Acknowledgments xix
I General Theory 1
1 The Expected Utility Model 3
1.1 Simple and Compound Lotteries 3
1.2 Axioms on Preferences under Uncertainty 4
1.3 The Expected Utility Theorem 6
1.4 Critics of the Expected Utility Model 9
1.4.1 The Allais Paradox 10
1.4.2 The Allais Paradox and Time Consistency 11
1.5 Concluding Remark 14
1.6 Exercises and Extensions 14
2 Risk Aversion 17
2.1 Characterization of Risk Aversion 17
2.2 Comparative Risk Aversion 18
2.3 Certainty Equivalent and Risk Premium 20
2.4 The Arrow Pratt Approximation 21
2.5 Decreasing Absolute Risk Aversion 24
2.6 Some Classical Utility Functions 25
2.7 Test for Your Own Degree of Risk Aversion 29
2.8 An Application: The Cost of Macroeconomic
Risks 32
2.9 Conclusion 34
2.10 Exercises and Extensions 35
I
vj Contents
3 Change in Risk 39 ,
3.1 The Extremal Approach 40 !
3.2 Second Order Stochastic Dominance 42
3.3 Diversification 45
3.4 First Order Stochastic Dominance 46
3.5 Concluding Remark 47
3.6 Exercises and Extensions 48
II The Standard Portfolio Problem 51
4 The Standard Portfolio Problem 53
4.1 The Model and Its Basic Properties 53
4.2 The Case of a Small Risk 55
4.3 The Case of HARA Functions 57
4.4 The Impact of Risk Aversion 58
4.5 The Impact of a Change in Risk 59
4.6 Concluding Remark 61
4.7 Exercises and Extensions 62
5 The Equilibrium Price of Risk 65
5.1 A Simple Equilibrium Model for Financial
Markets 65
5.2 The Equity Premium Puzzle 68
5.3 The Equity Premium with Limited Participation 71
5.4 The Equity Premium and the Integration of
International Financial Markets 73
5.5 Conclusion 75
5.6 Exercises 76
III Some Technical Tools and Their Applications 79
6 A Hyperplane Separation Theorem 81
6.1 The Diffidence Theorem 81
6.2 Link with the Jensen s Inequality 88
6.3 Applications of the Diffidence Theorem 89
6.3.1 Diffidence 89
6.3.2 Comparative Diffidence 90
6.3.3 Central Risk Aversion 91
6.3.4 Central Riskiness 92
Contents vii
6.4 The Covariance Rule 94
6.5 Conclusion 95
6.6 Exercises and Extensions 96
7 Log Supermodularity 99
7.1 Definition 99
7.2 Log Supermodularity and Single Crossing 102
7.2.1 A Theoretical Result 102
7.2.2 Applications to the Standard Portfolio
Problem 103
7.2.3 Jewitt s Preference Orders 104
7.3 Expectation of a Log Supermodular Function 105
7.3.1 A Theoretical Result 105
7.3.2 Two Applications 106
7.4 Concluding Remark 107
7.5 Exercises and Extensions 107
7.6 Appendix 108
IV Multiple Risks 111
8 Risk Aversion with Background Risk 113
8.1 Preservation of DARA 114
8.2 The Comparative Risk Aversion Is Not Preserved 117
8.3 Extensions with Dependent Background Risk 119
8.3.1 Affiliated Background Risk 119
8.3.2 The Comparative Risk Aversion in the Sense of
Ross 121
8.4 Conclusion 123
8.5 Exercises and Extensions 124
9 The Tempering Effect of Background Risk 125
9.1 Risk Vulnerability 126
9.2 Risk Vulnerability and Increase in Risk 130
9.2.1 Increase in Background Risk 130
9.2.2 Increase in the Endogenous Risk 130
9.3 Risk Vulnerability and the Equity Premium
Puzzle 131
9.4 Generalized Risk Vulnerability 132
9.5 Standardness 135
;
viii Contents j
i
9.6 Conclusion 138 I
9.7 Exercises and Extensions 139
10 Taking Multiple Risks 141
10.1 The Interaction between Asset Demand and Small
Gambles 142
10.2 Are Independent Assets Substitutes? 144
10.2.1 The i.i.d. Case 144
10.2.2 The General Case 150
10.3 Conclusion 153
10.4 Exercises and Extensions 153
11 The Dynamic Investment Problem 155
11.1 Static versus Dynamic Optimization 157
11.2 The Standard Portfolio Problem 158
11.2.1 The Model 158
11.2.2 The HARA Case 160
11.2.3 A Sufficient Condition for Younger People to Be
More Risk A verse 161
11.3 Discussion of the Results 165
11.3.1 Nonlinear Risk Tolerance 165
11.3.2 Nondifferentiable Marginal Utility 166
11.4 Background Risk and Time Horizon 168
11.4.1 Investors Bear a Background Risk at
Retirement 168
11.4.2 Stationary Income Process 171
11.5 Final Remark 172
11.6 Exercises and Extensions 173
12 Special Topics in Dynamic Finance 175
12.1 The Length of Periods between Trade 175
12.2 Dynamic Discrete Choice 179
12.3 Constraints on Feasible Strategies 183
12.4 The Effect of a Leverage Constraint 185
12.4.1 The Case of a Lower Bound on the Investment in
the Risky Asset 185
12.4.2 The Case of an Upper Bound on the Investment
in the Risky Asset 187
12.5 Concluding Remarks 190
12.6 Exercises and Extensions 190
Contents ix
V The Arrow Debreu Portfolio Problem 193
13 The Demand for Contingent Claims 195
13.1 The Model 196
13.2 Characterization of the Optimal Portfolio 197
13.3 The Impact of Risk Aversion 200
13.4 Conclusion 201
13.5 Exercises and Extensions 202
14 Risk on Wealth 205
14.1 The Marginal Propensity to Consume in
State n 206
14.2 The Preservation of DARA and IARA 208
14.3 The Marginal Value of Wealth 210
14.4 Aversion to Risk on Wealth 211
14.5 Concluding Remark 212
14.6 Exercises and Extensions 212
VI Consumption and Saving 215
15 Consumption under Certainty 217
15.1 Time Separability 217
15.2 Exponential Discounting 218
15.3 Consumption Smoothing under Certainty 219
15.4 Analogy with the Portfolio Problem 221
15.5 The Social Cost of Volatility 224
15.6 The Marginal Propensity to Consume 226
15.7 Time Diversification and Self Insurance 227
15.8 Concluding Remark 232
15.9 Exercises and Extensions 232
16 Precautionary Saving and Prudence 235
16.1 Prudence 235
16.2 The Demand for Saving 239
16.3 The Marginal Propensity to Consume under
Uncertainty 239
16.3.1 Does Uncertainty Increase the MPC? 240
16.3.2 Does Uncertainty Make the MPC Decreasing in
Wealth? 241
16.4 More Than Two Periods 242
I
x Contents ;
16.4.1 The Euler Equation 242 j
16.4.2 Multiperiod Precautionary Saving 244 s
16.5 Illiquid Saving under Uncertainty 246 f
16.6 Conclusion 247 ]
16.7 Exercises and Extensions 248 |
17 The Equilibrium Price of Time 249 ;
17.1 Description of the Economy 250
17.2 The Determinants of the Interest Rate 252
17.2.1 The Interest Rate in the Absence of
Growth 252
17.2.2 The Effect of a Sure Growth 253
17.2.3 The Effect of Uncertainty 254
17.3 The Risk Free Rate Puzzle 256
17.4 The Yield Curve 258
17.4.1 The Pricing Formula 258
17.4.2 The Yield Curve with HARA Utility
Functions 260
17.4.3 A Result When There Is No Risk of
Recession 261
17.4.4 Exploring the Slope of the Yield Curve When
There Is a Risk of Recession 264
17.5 Concluding Remark 267
17.6 Exercises and Extensions 268
18 The Liquidity Constraint 269
18.1 Saving as a Buffer Stock 270
18.2 The Liquidity Constraint Raises Risk Aversion 272
18.3 The Liquidity Constraint and the Shape of Absolute
Risk Tolerance 273
18.4 Numerical Simulations 277
18.5 Conclusion 279
18.6 Exercises and Extensions 281
19 The Saving Portfolio Problem 285
19.1 Precautionary Saving with an Endogenous Risk 285
19.1.1 The Case of Complete Markets 285
19.1.2 The Case of the Standard Portfolio
Problem 287
19.1.3 Discussion of the Results 288
Contents xi
19.2 Optimal Portfolio Strategy with Consumption 290
19.3 The Merton Samuelson Model 291
19.4 Concluding Remark 295
19.5 Exercises and Extensions 295
20 Disentangling Risk and Time 297
20.1 The Model of Kreps and Porteus 298
20.2 Preferences for an Early Resolution of
Uncertainty 299
20.3 Prudence with Kreps Porteus Preferences 300
20.4 Conclusion 302
20.5 Exercises and Extensions 303
VII Equilibrium Prices of Risk and Time 305
21 Efficient Risk Sharing 307
21.1 The Case of a Static Exchange Economy 307
21.2 The Mutuality Principle 309
21.3 The Sharing of the Social Risk 311
21.3.1 Decomposition of the Problem 311
21.3.2 The Veil of Ignorance 312
21.3.3 Efficient Sharing Rules of the Macro Risk 312
21.3.4 A Two Fund Separation Theorem 314
21.3.5 The Case of Small Risk per Capita 315
21.4 Group s Attitude toward Risk 316
21.4.1 The Representative Agent 316
21.4.2 Arrow Lind Theorem 317
21.4.3 Group Decision and Individual Choice 317
21.5 Introducing Time and Investment 319
21.6 A Final Remark: The Concavity of the Certainty
Equivalent Functional 321
21.7 Conclusion 323
21.8 Exercises and Extensions 323
21.9 Appendix 325
22 The Equilibrium Price of Risk and Time 327
22.1 An Arrow Debreu Economy 327
22.2 Application of the First Theorem of Welfare
Economics 328 „
22.3 Pricing Arrow Debreu Securities 329
xii Contents
22.4 Pricing by Arbitrage 330
22.5 The Competitive Price of Risk 332
22.6 The Competitive Price of Time 334
22.7 Spot Markets and Markets for Futures 335
22.8 Corporate Finance in an Arrow Debreu Economy 337
22.9 Conclusion 339
22.10 Exercises and Extensions 340
23 Searching for the Representative Agent 343
23.1 Analytical Solution to the Aggregation Problem 344
23.2 Wealth Inequality, Risk Aversion, and the Equity
Premium 345
23.3 Wealth Inequality and the Risk Free Rate 347
23.3.1 The Consumption Smoothing Effect 348
23.3.2 The Precautionary Effect 349
23.4 Conclusion 351
23.5 Exercises and Extensions 352
VIII Risk and Information 355
24 The Value of Information 357
24.1 The General Model of Risk and Information 357
24.1.1 Structure of Information 357
24.1.2 The Decision Problem 358
24.1.3 The Posterior Maximum Expected Utility Is
Convex in the Vector of Posterior
Probabilities 359
24.2 The Value of Information Is Positive 362
24.3 Refining the Information Structure 364
24.3.1 Definition and Basic Characterization 364
24.3.2 Garbling Messages and the Theorem of
Blackwell 366
24.3.3 Location Experiments 371
24.4 The Value of Information and Risk Aversion 373
24.4.1 A Definition of the Value of Information 373
24.4.2 A Simple Illustration: The Gambler s
Problem 374
24.4.3 The Standard Portfolio Problem 378
24.5 Conclusion 379
Contents xiii
24.6 Exercises and Extensions 380
24.7 Appendix 382
25 Decision Making and Information 383
25.1 A Technique for the Comparative Statics of More
Informativeness 383
25.2 The Portfolio Saving Problem 386
25.3 A Digression: Scientific Uncertainty, Global Warming,
and the Precautionary Principle 389
25.4 The Saving Problem with Uncertain Returns 390
25.5 Precautionary Saving 392
25.6 The Value of Flexibility and Option Value 393
25.7 Predictability and Portfolio Management 397
25.7.1 Exogenous Predictability 399
25.7.2 Endogenous Predictability and Mean
Reversion 400
25.8 Conclusion 405
25.9 Exercises and Extensions 405
26 Information and Equilibrium 407
26.1 Hirshleifer Effect 407
26.2 Information and the Equity Premium 413
26.3 Conclusion 418
26.4 Exercises and Extensions 418
26.5 Appendix 420
27 Epilogue 423
27.1 The Important Open Questions 423
27.1.1 The Independence Axiom 423
27.1.2 Measures of Risk Aversion 424
27.1.3 Qualitative Properties of the Utility
Function 425
27.1.4 Economics of Uncertainty and Psychology 426
27.2 Conclusion 427
Bibliography 429
Index of Lemmas and Propositions 441
Index of Subjects 443
|
| any_adam_object | 1 |
| author | Gollier, Christian 1961- |
| author_GND | (DE-588)113121814 |
| author_facet | Gollier, Christian 1961- |
| author_role | aut |
| author_sort | Gollier, Christian 1961- |
| author_variant | c g cg |
| building | Verbundindex |
| bvnumber | BV013714960 |
| callnumber-first | H - Social Science |
| callnumber-label | HG101 |
| callnumber-raw | HG101.G65 2001 |
| callnumber-search | HG101.G65 2001 |
| callnumber-sort | HG 3101 G65 42001 |
| callnumber-subject | HG - Finance |
| classification_rvk | QC 020 |
| classification_tum | WIR 160f |
| ctrlnum | (OCoLC)248398017 (DE-599)BVBBV013714960 |
| dewey-full | 658.15/5 658.15/521 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.15/5 658.15/5 21 |
| dewey-search | 658.15/5 658.15/5 21 |
| dewey-sort | 3658.15 15 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV013714960 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:50:41Z |
| institution | BVB |
| isbn | 0262072157 0262572249 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009371656 |
| oclc_num | 248398017 |
| open_access_boolean | |
| owner | DE-20 DE-739 DE-N2 DE-19 DE-BY-UBM DE-703 DE-355 DE-BY-UBR DE-Aug4 DE-384 DE-91G DE-BY-TUM DE-706 DE-521 DE-634 DE-M382 DE-83 DE-11 DE-2070s DE-188 |
| owner_facet | DE-20 DE-739 DE-N2 DE-19 DE-BY-UBM DE-703 DE-355 DE-BY-UBR DE-Aug4 DE-384 DE-91G DE-BY-TUM DE-706 DE-521 DE-634 DE-M382 DE-83 DE-11 DE-2070s DE-188 |
| physical | XX, 445 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | MIT Press |
| record_format | marc |
| spelling | Gollier, Christian 1961- Verfasser (DE-588)113121814 aut The economics of risk and time Christian Gollier Cambridge, Mass. [u.a.] MIT Press 2001 XX, 445 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Literaturverz. S. [429] - 440 Finances Finanzas Gestion du risque Ingénierie financière Riesgo Risque Évaluation du risque Finance Financial engineering Risk Risk assessment Risk management Unsicherheit (DE-588)4186957-6 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Erwarteter Nutzen (DE-588)4152928-5 gnd rswk-swf Financial Engineering (DE-588)4208404-0 gnd rswk-swf Nutzentheorie (DE-588)4131868-7 gnd rswk-swf Mikroökonomie (DE-588)4039225-9 gnd rswk-swf Erwarteter Nutzen (DE-588)4152928-5 s DE-604 Mikroökonomie (DE-588)4039225-9 s Unsicherheit (DE-588)4186957-6 s DE-188 Financial Engineering (DE-588)4208404-0 s Risikomanagement (DE-588)4121590-4 s Nutzentheorie (DE-588)4131868-7 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009371656&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Gollier, Christian 1961- The economics of risk and time Finances Finanzas Gestion du risque Ingénierie financière Riesgo Risque Évaluation du risque Finance Financial engineering Risk Risk assessment Risk management Unsicherheit (DE-588)4186957-6 gnd Risikomanagement (DE-588)4121590-4 gnd Erwarteter Nutzen (DE-588)4152928-5 gnd Financial Engineering (DE-588)4208404-0 gnd Nutzentheorie (DE-588)4131868-7 gnd Mikroökonomie (DE-588)4039225-9 gnd |
| subject_GND | (DE-588)4186957-6 (DE-588)4121590-4 (DE-588)4152928-5 (DE-588)4208404-0 (DE-588)4131868-7 (DE-588)4039225-9 |
| title | The economics of risk and time |
| title_auth | The economics of risk and time |
| title_exact_search | The economics of risk and time |
| title_full | The economics of risk and time Christian Gollier |
| title_fullStr | The economics of risk and time Christian Gollier |
| title_full_unstemmed | The economics of risk and time Christian Gollier |
| title_short | The economics of risk and time |
| title_sort | the economics of risk and time |
| topic | Finances Finanzas Gestion du risque Ingénierie financière Riesgo Risque Évaluation du risque Finance Financial engineering Risk Risk assessment Risk management Unsicherheit (DE-588)4186957-6 gnd Risikomanagement (DE-588)4121590-4 gnd Erwarteter Nutzen (DE-588)4152928-5 gnd Financial Engineering (DE-588)4208404-0 gnd Nutzentheorie (DE-588)4131868-7 gnd Mikroökonomie (DE-588)4039225-9 gnd |
| topic_facet | Finances Finanzas Gestion du risque Ingénierie financière Riesgo Risque Évaluation du risque Finance Financial engineering Risk Risk assessment Risk management Unsicherheit Risikomanagement Erwarteter Nutzen Financial Engineering Nutzentheorie Mikroökonomie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009371656&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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