Language:
English
繁體中文
Help
回圖書館首頁
手機版館藏查詢
Login
Back
Switch To:
Labeled
|
MARC Mode
|
ISBD
Recursive Utility with Narrow Framin...
~
Guo, Jing.
Linked to FindBook
Google Book
Amazon
博客來
Recursive Utility with Narrow Framing: Properties and Applications.
Record Type:
Electronic resources : Monograph/item
Title/Author:
Recursive Utility with Narrow Framing: Properties and Applications./
Author:
Guo, Jing.
Published:
Ann Arbor : ProQuest Dissertations & Theses, : 2017,
Description:
191 p.
Notes:
Source: Dissertation Abstracts International, Volume: 78-09(E), Section: B.
Contained By:
Dissertation Abstracts International78-09B(E).
Subject:
Operations research. -
Online resource:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10263668
ISBN:
9781369716306
Recursive Utility with Narrow Framing: Properties and Applications.
Guo, Jing.
Recursive Utility with Narrow Framing: Properties and Applications.
- Ann Arbor : ProQuest Dissertations & Theses, 2017 - 191 p.
Source: Dissertation Abstracts International, Volume: 78-09(E), Section: B.
Thesis (Ph.D.)--Columbia University, 2017.
We study the total utility of an agent in a model of narrow framing with constant elasticity of intertemporal substitution and relative risk aversion degree and with infinite time horizon. In a finite-state Markovian setting, we prove that the total utility uniquely exists when the agent derives nonnegative utility of gains and losses incurred by holding risky assets and that the total utility can be non-existent or non-unique otherwise. Moreover, we prove that the utility, when uniquely exists, can be computed by a recursive algorithm with any starting point. We then consider a portfolio selection problem with narrow framing and solve it by proving that the corresponding dynamic programming equation has a unique solution. Finally, we propose a new model of narrow framing in which the agent's total utility uniquely exists in general. Barberis and Huang (2009, J. Econ. Dynam. Control, vol. 33, no. 8, pp. 1555-1576) propose a preference model that allows for narrow framing, and this model has been successfully applied to explain individuals' attitudes toward timeless gambles and high equity premia in the market. To uniquely define the utility process in this preference model and to yield a unique solution when the model is applied to portfolio selection problems, one needs to impose some restrictions on the model parameters, which are too tight for many financial applications. We propose a modification of Barberis and Huang's model and show that the modified model admits a unique utility process and a unique solution in portfolio selection problems. Moreover, the modified model is more tractable than Barberis and Huang's when applied to portfolio selection and asset pricing.
ISBN: 9781369716306Subjects--Topical Terms:
547123
Operations research.
Recursive Utility with Narrow Framing: Properties and Applications.
LDR
:02573nmm a2200277 4500
001
2122668
005
20170922124936.5
008
180830s2017 ||||||||||||||||| ||eng d
020
$a
9781369716306
035
$a
(MiAaPQ)AAI10263668
035
$a
AAI10263668
040
$a
MiAaPQ
$c
MiAaPQ
100
1
$a
Guo, Jing.
$3
2049882
245
1 0
$a
Recursive Utility with Narrow Framing: Properties and Applications.
260
1
$a
Ann Arbor :
$b
ProQuest Dissertations & Theses,
$c
2017
300
$a
191 p.
500
$a
Source: Dissertation Abstracts International, Volume: 78-09(E), Section: B.
500
$a
Adviser: Xunyu Zhou.
502
$a
Thesis (Ph.D.)--Columbia University, 2017.
520
$a
We study the total utility of an agent in a model of narrow framing with constant elasticity of intertemporal substitution and relative risk aversion degree and with infinite time horizon. In a finite-state Markovian setting, we prove that the total utility uniquely exists when the agent derives nonnegative utility of gains and losses incurred by holding risky assets and that the total utility can be non-existent or non-unique otherwise. Moreover, we prove that the utility, when uniquely exists, can be computed by a recursive algorithm with any starting point. We then consider a portfolio selection problem with narrow framing and solve it by proving that the corresponding dynamic programming equation has a unique solution. Finally, we propose a new model of narrow framing in which the agent's total utility uniquely exists in general. Barberis and Huang (2009, J. Econ. Dynam. Control, vol. 33, no. 8, pp. 1555-1576) propose a preference model that allows for narrow framing, and this model has been successfully applied to explain individuals' attitudes toward timeless gambles and high equity premia in the market. To uniquely define the utility process in this preference model and to yield a unique solution when the model is applied to portfolio selection problems, one needs to impose some restrictions on the model parameters, which are too tight for many financial applications. We propose a modification of Barberis and Huang's model and show that the modified model admits a unique utility process and a unique solution in portfolio selection problems. Moreover, the modified model is more tractable than Barberis and Huang's when applied to portfolio selection and asset pricing.
590
$a
School code: 0054.
650
4
$a
Operations research.
$3
547123
690
$a
0796
710
2
$a
Columbia University.
$b
Operations Research.
$3
2096452
773
0
$t
Dissertation Abstracts International
$g
78-09B(E).
790
$a
0054
791
$a
Ph.D.
792
$a
2017
793
$a
English
856
4 0
$u
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10263668
based on 0 review(s)
Location:
ALL
電子資源
Year:
Volume Number:
Items
1 records • Pages 1 •
1
Inventory Number
Location Name
Item Class
Material type
Call number
Usage Class
Loan Status
No. of reservations
Opac note
Attachments
W9333282
電子資源
01.外借(書)_YB
電子書
EB
一般使用(Normal)
On shelf
0
1 records • Pages 1 •
1
Multimedia
Reviews
Add a review
and share your thoughts with other readers
Export
pickup library
Processing
...
Change password
Login