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Full-Text Articles in Psychology
The Covariance Sign Of Transformed Random Variables With Applications To Economics And Finance, Martin Egozcue
The Covariance Sign Of Transformed Random Variables With Applications To Economics And Finance, Martin Egozcue
Martin Egozcue
No abstract provided.
Prospect Theory, Indifference Curves, And Hedging Risks, Udo Broll, Martin Egozcue, Wing Keung Wong, Ricardas Zitikis
Prospect Theory, Indifference Curves, And Hedging Risks, Udo Broll, Martin Egozcue, Wing Keung Wong, Ricardas Zitikis
Martin Egozcue
The prospect theory is one of the most popular decision-making theories. It is based on S-shaped utility functions, unlike the von Neumann and Morgenstern (NM) theory, which is based on concave utility functions. The S-shaped functions bring challenges, and extensions and generalizations of the NM theory into the prospect theory are not always possible. For example, in the prospect theory, the monotonicity of indifference curves depends on the underlying mean, unlike in the NM theory. Risk-hedging deci- sions also become more complex within the prospect theory. In this paper, we discuss these topics and establish general results concerning certain covariances …
Segregation And Integration: A Study Of The Behaviors Of Investors With Extended Value Functions, Martin Egozcue, Wing Keung Wong
Segregation And Integration: A Study Of The Behaviors Of Investors With Extended Value Functions, Martin Egozcue, Wing Keung Wong
Martin Egozcue
This paper extends prospect theory, mental accounting, and the hedonic editing model by developing an analytical theory to explain the behavior of investors with extended value functions in segregating or integrating multiple outcomes when evaluating mental accounting.
Gruss Type Bounds For The Covariance Of Transformed Random Variables, Martin Egozcue, Luis Fuentes García, Wing Keung Wong, Ricardas Zitikis
Gruss Type Bounds For The Covariance Of Transformed Random Variables, Martin Egozcue, Luis Fuentes García, Wing Keung Wong, Ricardas Zitikis
Martin Egozcue
No abstract provided.
Gains From Diversification On Convex Combinations: A Majorization And Stochastic Dominance Approach, Martin Egozcue, Wing Keung Wong
Gains From Diversification On Convex Combinations: A Majorization And Stochastic Dominance Approach, Martin Egozcue, Wing Keung Wong
Martin Egozcue
By incorporating both majorization theory and stochastic dominance theory, this paper presents a gen- eral theory and a unifying framework for determining the diversification preferences of risk-averse inves- tors and conditions under which they would unanimously judge a particular asset to be superior. In particular, we develop a theory for comparing the preferences of different convex combinations of assets that characterize a portfolio to give higher expected utility by second-order stochastic dominance. Our findings also provide an additional methodology for determining the second-order stochastic dominance efficient set.