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Digital
Library of the European Council for Modelling and Simulation |
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Title: |
Intertemporal Choice And Dynamics Of Risk
Aversion |
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Authors: |
Mihaly
Ormos, Dusan Timotity |
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Published in:
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(2016).ECMS 2016 Proceedings edited
by: Thorsen Claus, Frank Herrmann, Michael Manitz, Oliver Rose, European Council for Modeling and
Simulation. doi:10.7148/2016 ISBN:
978-0-9932440-2-5 30th
European Conference on Modelling and Simulation, Regensburg Germany, May 31st
– June 3rd, 2016 |
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Citation
format: |
Mihaly
Ormos, Dusan Timotity (2016). Intertemporal
Choice And Dynamics Of Risk Aversion, ECMS 2016 Proceedings edited by:
Thorsten Claus, Frank Herrmann, Michael Manitz, Oliver
Rose European Council for Modeling and
Simulation. doi:10.7148/2016-0185 |
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DOI: |
http://dx.doi.org/10.7148/2016-0185 |
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Abstract: |
This paper provides a theoretical
explanation for the heteroscedasticity of asset
returns. In line with existing empirical results, our model yields an
asymmetric relationship between stock return and volatility. Based on the
simple assumptions that investors behave according to Prospect Theory and are
subject to mental accounting in a dynamic setting, we analytically derive the
unit-soot versions of two of the best fitting heteroscedasticity
models (EGARCH and TGARCH). |
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Full
text: |
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