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

João José de Farias Neto

ISBN 10: 3838383168 / ISBN 13: 9783838383163

Verlag: LAP LAMBERT Academic Publishing Jul 2010, 2010

Beschreibung

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.

Bestandsnummer des Verkäufers 9783838383163

Bibliografische Details

• Titel: S-shaped Utility Functions and the Puzzles of the Financial Market
• Verlag: LAP LAMBERT Academic Publishing Jul 2010
• Erscheinungsjahr: 2010
• Sprache: Englisch
• ISBN-10: 3838383168
• ISBN-13: 9783838383163
• Einband: Taschenbuch
• Zustand: Neu
• Abmessungen: 220B x 150 H x 7 T Millimeter Breite: 220 mm, Höhe: 150 mm, Tiefe: 7 mm
• Gewicht: 185 Gramm

Über diesen Titel

Inhaltsangabe

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.