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

João José de Farias Neto

ISBN 10: 3838383168 / ISBN 13: 9783838383163

Editore: LAP LAMBERT Academic Publishing Jul 2010, 2010

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This item is printed on demand - it takes 3-4 days longer - 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. 112 pp. Englisch.

Codice articolo 9783838383163

Dati bibliografici

• Titolo: S-shaped Utility Functions and the Puzzles of the Financial Market
• Editore: LAP LAMBERT Academic Publishing Jul 2010
• Data di pubblicazione: 2010
• Lingua: Inglese
• ISBN 10: 3838383168
• ISBN 13: 9783838383163
• Rilegatura: Taschenbuch
• Condizione: Neu
• Dimensioni: 220 L x 150 A x 7 P (millimetri) 220 millimetri di larghezza per 150 millimetri di altezza per 7 millimetri di profondità
• Peso: 185 grammi

Descrizione articolo

Riassunto

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.

L'autore

is presently a researcher at Instituto de Estudos Avançados, CTA, Brazil. He holds a B.Sc. in physics, an M.Sc. in electrical engineering (with a thesis on time series analysis and forecasting), both by PUC-Rio, and is doctor of economics by USP. He has consulted and teached for some big enterprises and universities.