68 research outputs found
Investment under ambiguity with the best and worst in mind
Recent literature on optimal investment has stressed the difference between the impact of risk and the impact of ambiguity - also called Knightian uncertainty - on investors' decisions. In this paper, we show that a decision maker's attitude towards ambiguity is similarly crucial for investment decisions. We capture the investor's individual ambiguity attitude by applying alpha-MEU preferences to a standard investment problem. We show that the presence of ambiguity often leads to an increase in the subjective project value, and entrepreneurs are more eager to invest. Thereby, our investment model helps to explain differences in investment behavior in situations which are objectively identical
Information and ambiguity: herd and contrarian behaviour in financial markets
“The final publication is available at Springer via http://dx.doi.org/10.1007/s11238-012-9334-3”The paper studies the impact of informational ambiguity on behalf of informed traders
on history-dependent price behaviour in a model of sequential trading in nancial markets.
Following Chateauneuf, Eichberger and Grant (2006), we use neo-additive capacities to
model ambiguity. Such ambiguity and attitudes to it can engender herd and contrarian
behaviour, and also cause the market to break down. The latter, herd and contrarian
behaviour, can be reduced by the existence of a bid-ask spread.Research in part funded by ESRC grant RES-000-22-0650
Espécies raras e comuns de Myrtaceae da Floresta Estacional Decidual de Santa Catarina, Brasil
Aggregating imprecise or conflicting beliefs: An experimental investigation using modern ambiguity theories
Foreign Ownership Restrictions, Depositary Receipt Supply, and Investor Sentiment on Taiwanese Depositary Receipt Premiums
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