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Unawareness and Strategic Announcements in Games with Uncertainty
Unawareness games with uncertainty communication
2015/9/23
This paper studies games with uncertainty where players have different awareness
regarding a chance player’s moves (contingencies). An announcer, who is fully aware of
the contingencies, can announc...
It was a pleasure for me to attend the “Monetary Policy Under Uncertainty” conference held at the
Reserve Bank of New Zealand in June 1998. The eight papers and the thoughtful commentary
from the co...
Optimal Asset Taxes in Financial Markets with Aggregate Uncertainty
Insurance Aggregate Uncertainty Financial Markets Optimal Taxation
2015/7/31
his paper studies Pareto-optimal risk-sharing arrangements in a private information economy with aggregate uncertainty and ex ante heterogeneous agents. I show how to implement Pareto-optima as equili...
We characterize infrequent durables stock adjustment by consumers who also derive utility from
non-durable consumption flows in the presence of idiosyncratic income uncertainty. The data we ana...
Solving the incomplete markets model with aggregate uncertainty using the Krusell–Smith algorithm
Dynamic stochastic models Heterogeneous agents Aggregate uncertainty Euler-equation methods Simulations Numerical solutions
2015/7/21
This paper studies the properties of the solution to the heterogeneous agents model in Den Haan et al. [2009. Computational suite of models with heterogeneous agents: incomplete markets and aggregate ...
How General Are Risk Preferences? Choices under Uncertainty in Different Domains
Uncertainty Different Domains
2015/7/17
We analyze the extent to which individuals’ choices over five employerprovided insurance coverage decisions and one 401(k) investment
decision exhibit systematic patterns, as would be implied by a g...
The Real Options Effect of Uncertainty on Investment and Labor Demand
Investment labor demand uncertainty real options
2015/7/15
This paper shows that, contrary to common beliefs, the real options effect of uncertainty plays no role in the longrun rate of investment. This is proven for both the standard investment model with Co...
DOES UNCERTAINTY REDUCE GROWTH?USING DISASTERS AS NATURAL EXPERIMENTS
DOES UNCERTAINTY REDUCE GROWTH DISASTERS AS NATURAL EXPERIMENTS
2015/7/15
A growing body of evidence suggests that uncertainty is counter cyclical, rising sharply in recessions and falling in booms. But what is the causal relationship between uncertainty and growth? To iden...
Can Analysts Assess Fundamental Risk and Valuation Uncertainty?An Empirical Analysis of Scenario-Based Value Estimates
Analyst Forecasts Scenarios Uncertainty Risk and Uncertainty Valuation
2015/4/27
We use a dataset of sell-side analysts' scenario-based valuation estimates to examine whether analysts reliably assess the risk surrounding a firm's fundamenatal value. We find that the spread in anal...
Uncertainty, Ambiguity and Risk Taking: an experimental investigation of consumer behavior and demand for insurance
Risk behavior ambiguity aversion insurance purchase.
2014/6/23
The purpose of this paper is to examine whether people treat all forms of uncertainty in the same way. Studies investigating known-risk gambles and ambiguous gambles have systematically used the urn c...
Superreplication under Volatility Uncertainty for Measurable Claims
Volatility uncertainty Superreplication Nonlinear expectation
2012/9/14
We establish the duality-formula for the superreplicationprice in a setting of volatility uncertainty which includes the example of “random G-expectation.” In contrast to previous results, the conting...
The Economics of Power Generation Technology Choice and Investment Timing in the Presence of Policy Uncertainty
Bioenergy Investment Renewable Energy Electricity Wind Power
2013/2/23
The purpose of this study is to analyze how market and policy uncertainties affect the general profitability of new investments in the power sector, and investigate the associated investment timing an...
Scarcity, resource price uncertainty, and economic growth
resource scarcity economic growth technological change output growth
2011/10/5
Over the course of the past decade, significant steps have been taken to empirically link indicators of resource scarcity to changes in economic growth. This paper extends this previous literature in ...
Portfolio Insurance and model uncertainty
Minimum-wealth or income- stream guarantee Model uncertainty Portfolio Insurance Portfolio selection
2011/9/16
Some real-world insurance products contain a minimum-wealth or an income-stream guarantee, both of which have to he met irrespective of capital market conditions. Therefore, sellers of such products a...
Decision Rules for Water Resources Management under Uncertainty
Decision making Integrated systems Uncertainty principles Water management Water resources
2011/9/12
Decision making under uncertainty is common in design and planning of water resource projects. The implications and effects of uncertainty on the ranking of design alternatives have been investigated ...