| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3871 |
| DP3871 Employment Protection and Globalization in Dynamic Oligopoly | |
| Dermot Leahy; Gerda Dewit; Catia Montagna | |
| 发表日期 | 2003-04-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected utility. In this Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk measure with an endogenous or exogenous benchmark. If the risk measure is modelled by a negative HARA-function, then sharing rules are convex or concave relative to each other. A measure of heterogeneity of investors is derived. More heterogeneity (a) raises convexity/concavity of sharing rules and, thus, the need of investors to trade options, (b) increases convexity of the pricing kernel, (c) raises option prices relative to the price of the under-lying asset and (d) raises the variance and kurtosis of the risk-neutral probability distribution of the aggregate pay-off. |
| 主题 | Financial Economics |
| 关键词 | Heterogeneity of investors Asset pricing Decision-making under risk Convexity of pricing kernal |
| URL | https://cepr.org/publications/dp3871 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532855 |
| 推荐引用方式 GB/T 7714 | Dermot Leahy,Gerda Dewit,Catia Montagna. DP3871 Employment Protection and Globalization in Dynamic Oligopoly. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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