Dynamic economics with quantile preferences
WebQuantile preferences allow to study heterogeneity in individuals’ portfolio choice by varying the quantiles, and have a solid axiomatic foundation. Their associated risk attitude is captured entirely by a single dimensional parameter (the quantile $$\tau $$ τ ), instead of the utility function. WebMar 1, 2024 · This paper studies dynamic programming for quantile preference models, in which the agent maximizes the stream of the future τ -quantile utilities, for τ ∈ ( 0 1). We, first, extend existing theoretical results to allow the …
Dynamic economics with quantile preferences
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WebJan 29, 2024 · Summary. In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains invisible when only the traditional analysis is employed. Web2Department of Economics, University of Warwick 3Department of Statistics, University of California, Los Angeles ... seminal quantile preference framework([62,71,46]) and, in particular, the dynamic quantile preference framework of [35]. Specifically, with Y i;tas the excess return of asset iin period t, X i;tas a p-dimensional
WebJul 21, 2024 · Individual demand is the economic demand for a product at a certain price by one consumer. Customer tastes, perceived quality and brand loyalty all affect individual … WebOct 1, 2024 · An empirical application to an intertemporal consumption model built on a structural dynamic quantile utility model illustrates the estimator. Using US data, it …
WebDynamic Economics with Quantile Preferences @article{deCastro2024DynamicEW, title={Dynamic Economics with Quantile Preferences}, author={Luciano I. de Castro … WebNov 2, 2016 · Quantile preferences, dynamic programming, recursive model, growth model, intertemporal consumption, investment under uncertainty 15. Elicitation of …
WebDec 2, 2024 · This paper develops a dynamic model of rational behavior under uncertainty, in which the agent maximizes the stream of future τ -quantile utilities, for τ ∈ (0,1). That is, the agent has a quantile utility preference instead of the standard expected utility.
WebThis paper studies dynamic programming for quantile preference models, in which the agent maximizes the stream of the future τ-quantile utilities, for τ∈(0,1). We suggest numerical methods, based on v Advanced search Economic literature:papers, articles, software, chapters, books. Authors Institutions Rankings Help/FAQ MyIDEAS shanice bernardWebJun 1, 2024 · A dynamic price can save your company money in the long run. Since software determines prices, you won’t need to allocate funds for market research or … shanice bellWeb(2024) use quantile preferences in a dynamic economic setting and provide a comprehensive analysis of a dynamic rational quantile model. They derive the policy … shanice benstead guildfordWebFeb 1, 2024 · Static and dynamic quantile preferences Article Full-text available Apr 2024 ECON THEOR Luciano de Castro Antonio F. Galvao View Show abstract How to Solve Dynamic Stochastic Models... shanice blairWebJan 1, 2024 · Quantile preferences were first studied by Manski (1988) and were axiomatized by Chambers (2009) and Rostek (2010). De Castro and Galvao (2024)use quantile preferences in a dynamic... polyhexamethylene biguanide eye drops bnfWebApr 1, 2024 · Quantile preferences have useful advantages, including the ability to capture heterogeneity and allowing the separation between risk aversion and elasticity of … shanice bertrandWebmodel for optimal portfolio allocation for an investor with quantile preferences. From an experimental point of view,de Castro et al.(2024) find that the behavior of between 30% and 50% of the individuals can be better described with quantile preferences rather than EU. Dynamic quantile preferences have also been studied by recent works. For shanice boyce