scholarly journals Revealed preferences over risk and uncertainty

2015 ◽  
Author(s):  
John Quah ◽  
Ludovic Renou ◽  
Matthew Polisson
Keyword(s):  
Revealed Preferences ◽  
Risk And Uncertainty

scholarly journals Revealed Preferences over Risk and Uncertainty

2020 ◽  
Vol 110 (6) ◽  
pp. 1782-1820 ◽  
Author(s):  
Matthew Polisson ◽  
John K.-H. Quah ◽  
Ludovic Renou
Keyword(s):  
Portfolio Choice ◽  
Efficiency Index ◽  
Revealed Preferences ◽  
Choice Data ◽  
Risk And Uncertainty ◽  
Infinite Domains ◽  
Disappointment Aversion ◽  
Rank Dependent Utility ◽  
Using Data ◽  
Budgetary Choice

We develop a nonparametric method, called Generalized Restriction of Infinite Domains (GRID), for testing the consistency of budgetary choice data with models of choice under risk and under uncertainty. Our test can allow for risk-loving and elation-seeking attitudes, or it can require risk aversion. It can also be used to calculate, via Afriat’s efficiency index, the magnitude of violations from a particular model. We evaluate the performance of various models under risk (expected utility, disappointment aversion, rank-dependent utility, and stochastically monotone utility) using data collected from several recent portfolio choice experiments. (JEL C14, D11, D12, D81)

Risk and uncertainty in applied problems of oil and gas economy

2019 ◽  
pp. 30-33
Author(s):  
A.F. Andreev ◽  
◽  
E.V. Burykina ◽  
G.N. Buliskeriya ◽  
◽  
...  
Keyword(s):  
Oil And Gas ◽  
Risk And Uncertainty

Project portfolio valuation using real options

2020 ◽  
Vol 13 (2) ◽  
pp. 126-146
Author(s):  
A.B. Lanchakov ◽  
S.A. Filin ◽  
A.Zh. Yakushev
Keyword(s):  
Real Options ◽  
Real Option ◽  
Project Portfolio ◽  
Risk And Uncertainty ◽  
Expected Effect ◽  
Investment Projects ◽  
Financial Options ◽  
Portfolio Efficiency ◽  
The Face ◽  
Effective Development

Subject. The article analyzes the expected effect of a portfolio of projects in the face of risk and uncertainty, when using real options. Objectives. The purpose is to offer a more objective formula to assess the expected impact of a portfolio of projects for real investment objects under risk and uncertainty, using real options, and provide recommendations for improving the portfolio efficiency. Methods. The study draws on methods of real options and evaluation of investment projects through the real option value, the cash flow discounting method, synthesis, and mathematical modeling. Results. We systematized the main types of real options and developed a formula for calculating the expected effect of project portfolio implementation. The said formula shows that considering the additional long-term costs embedded in a portfolio of real options, which are associated with the use of these real options, and, therefore, reducing the overall risk of projects and the entire portfolio, permit to improve the objectivity of such calculations. Conclusions. When analyzing real options that have real assets as underlying instruments, it is often impossible to apply the computational formulae for financial options, as they differ significantly. The systematization of the main types of real options helps expand the range of application of management solutions. The offered formula enables to improve the efficiency of project insurance under risk and uncertainty and to use additional opportunities for effective development of the company.

Managing Drilling Risk and Uncertainty Standard in Well Placement

2009 ◽  
Author(s):  
Benny Poedjono ◽  
Erhan Isevcan ◽  
Guy Joseph Lombardo ◽  
John Richard Walker ◽  
Simon McCulloch
Keyword(s):  
Risk And Uncertainty ◽  
Well Placement
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