Uncertainty, risk-neutral measures and security price booms and crashes

Article Abstract:

A model of intertemporal utility that is grounded on the assumption that people shun the uncertain, known as Knightian uncertainty, shows the negative impact of such behavior on the 'risk neutrality' of price measurement. Applying the model to the securities market shows that such aversion to risk could actually lead to sudden and unforeseen changes in security prices which could cause booms or crashes.

Securities & Commodities Exchanges, Securities and Commodity Exchanges, Security and commodity exchanges, Securities industry, Uncertainty

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Conditional preference and updating

Article Abstract:

The Bayes rule is a traditionally used updating rule. This paper axiomatizes the updating rules regarding preferences not necessarily found in an expected utility class.

Canada, Analysis, Statistical methods, Economic theory

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IID: independently and indistinguishably distributed

Article Abstract:

This research provides a way to distinguishbetween identical and indistinguishable experiments.

United States, Science & research, Usage, Bayesian statistical decision theory, Bayesian analysis, Recursive functions

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