S-shaped Utility Functions and the Puzzles of the Financial Market

João José de Farias Neto

ISBN 10: 3838383168 / ISBN 13: 9783838383163

Edité par LAP LAMBERT Academic Publishing Jul 2010, 2010

A propos de cet article

Neuware -Through thorough statistical analysis and analytic calculations, this book reveals the power of S- shaped utility functions for modeling in the financial market. By considering the average of the relative risk aversion (RRA) of the consumers instead of the RRA of the average (representative) consumer, it exhibits an utility that has stable and low mean RRA and avoids the risk-free puzzle present in the most commonly used utilities. The particular form of the RRA as a function of consumption level has important implications for behavioral finance and the potential to explain many psychological phenomena in economics. As an unexpected spin-off, the book shows that the oil shocks were the main causes of havoc in the American financial market in the second half of the XX century, this discovery being deemed relevant for geopolitics and warfare analysis.Books on Demand GmbH, Überseering 33, 22297 Hamburg 112 pp. Englisch.

N° de réf. du vendeur 9783838383163

Détails bibliographiques

• Titre: S-shaped Utility Functions and the Puzzles of the Financial Market
• Éditeur: LAP LAMBERT Academic Publishing Jul 2010
• Date de parution: 2010
• Langue: anglais
• ISBN à 10 chiffres: 3838383168
• ISBN à 13 chiffres: 9783838383163
• Reliure: Taschenbuch
• État de l'article: Neu
• Dimensions: 220 L x 150 H x 7 P (en millimètres) 220 millimètres de largeur par 150 millimètres de hauteur par 7 millimètres de profondeur
• Poids: 185 grammes

A propos de ce titre

Synopsis

Through thorough statistical analysis and analytic calculations, this book reveals the power of S- shaped utility functions for modeling in the financial market. By considering the average of the relative risk aversion (RRA) of the consumers instead of the RRA of the average (representative) consumer, it exhibits an utility that has stable and low mean RRA and avoids the risk-free puzzle present in the most commonly used utilities. The particular form of the RRA as a function of consumption level has important implications for behavioral finance and the potential to explain many psychological phenomena in economics. As an unexpected spin-off, the book shows that the oil shocks were the main causes of havoc in the American financial market in the second half of the XX century, this discovery being deemed relevant for geopolitics and warfare analysis.