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

João José de Farias Neto

ISBN 10: 3838383168 / ISBN 13: 9783838383163

Published by LAP LAMBERT Academic Publishing Jul 2010, 2010

About this Item

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.

Seller Inventory # 9783838383163

Bibliographic Details

• Title: S-shaped Utility Functions and the Puzzles of the Financial Market
• Publisher: LAP LAMBERT Academic Publishing Jul 2010
• Publication Date: 2010
• Language: English
• ISBN 10: 3838383168
• ISBN 13: 9783838383163
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 7D millimeters 220 millimeters width by 150 millimeters height by 7 millimeters depth
• Weight: 185 grams

About this title

Synopsis

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.

About the Author

Dr. J. J.Farias Neto 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.