Risk aversion,fanning preference and volatility smirk on S&P 500 index options

This article proposes a novel way of pricing S&P 500 index options in the presence of jump risk. Our analysis is built upon an equilibrium option pricing rule for a representative agent economy. In particular, we use the weighted utility’s certainty equivalent to specify agent’s risk preference, which displays a fanning-out characteristic. We find that the fanning effect captures a remarkably large portion of the total market risk premium implicit in options. As a result, the model with fanning effect generates pronounced volatility smirks.     

Expected utility theory and experimental utility measurement, 1950–1985. From confidence to scepticism

Abstract

The paper reconstructs the history of the experimental attempts to measure the cardinal utility of money between 1950 and 1985 within the framework provided by expected utility theory (EUT). It is shown that this history displays a definite trajectory: from the confidence in EUT and the EUT-based measurement of utility of the 1950s to the scepticism that, from the mid-1970s, haunted the validity of EUT as well as the significance of the utility measures obtained through it. By exploring the diverse aspects and causes of this trajectory, the paper covers new ground in the history of both decision theory and utility measurement.     

Mapping EORTC-QLQ-C30 to EQ-5D-3L in patients with colorectal cancer

Aims: The primary aim of this study was to perform a mapping of the EORTC-QLQ-C30 scores to EQ-5D-3L for the SIRFLOX study; a large dataset of patients with previously untreated liver-only or liver-dominant metastatic colorectal cancer (mCRC). A secondary aim was to compare the predictive validity of existing mappings from EORTC-QLQ-C30 to EQ-5D-3L conducted in other cancers.

Methods and materials: Questionnaires (completed within 529 patients) were used in a linear mixed regression to model EQ-5D-3L utility values (scored using the UK tariff) as a function of the five function scores, nine symptom scores, and the global score from the EORTC-QLQ-C30 questionnaire. A Tobit regression was also performed. The mean EQ-5D-3L values for the SIRFLOX trial were calculated and compared with predicted EQ-5D-3L values derived using published mapping algorithms.

Results: The linear mixed regression model provided a satisfactory mapping between the EORTC-QLQ-C30 and the EQ-5D-3L, whilst the Tobit model did not perform as well. When utilities from the SIRFLOX data were calculated with previously published mapping studies, three out of five studies performed well (< 10% mean difference).

Limitations: The main limitation of the study was the lack of meaningful observations post-progression (67 paired observations). For this reason, this study was unable to test whether the mapping holds by disease stage. Additionally, although the study adds to the literature of mappings to the EQ-5D-3L, it is not known how results would differ using the EQ-5D-5L.

Conclusion: This study is the first of its kind in liver-only or liver-dominant mCRC, and mCRC in general. The mapping constructed showed a good fit to the data and provides practitioners with an additional mapping between EORTC-QLQ-C30 to EQ-5D-3L using a large dataset (529 patients, 707 paired observations). The study also confirmed the generalizability of mappings published by Proskorovsky, Kontodimopoulos, and Longworth to liver-only or liver-dominant mCRC.     

Motivation for bilateral aid allocation: Altruism or trade benefits

This paper argues that OECD countries allocate more aid to recipient nations who import goods in which donor nations have a comparative advantage in production. The estimates indicate that a substantially larger amount of aid is provided to recipients who import capital goods, while imports by other category groups have no significant effects. Given that developed donor nations are major producers and exporters of capital goods, this result at least partially supports their trade benefits motive. Donors also appear to be more concerned about alleviating physical miseries (infant mortality) and rewarding good human rights conditions, but less towards reducing economic hardships (poverty). Moreover, the usual political and strategic considerations of donors continue to be the major determinants of aid allocation even in the Post Cold War era.     

File sharing as conditional cooperation: evidence from a framed field experiment

In this project, we investigate downloading and sharing behaviour in a novel ‘piracy game’ modelled after standard public good games. We find that willingness to share correlates positively with the sharing by others. By contrast, actual behaviour in the ‘piracy game’ is not correlated with self-reported behaviour.     

Adam Smith on lotteries: an interpretation and formal restatement

The paper concerns a neglected aspect of the Wealth of Nations (with the notable exception of D. Levy 1999 Levy, D. M. 1999. “Adam Smith’s Katallactic Model of Gambling: Approbation from the Spectator.” Journal of the History of Economic Thought 21 (1): 81–91. doi:10.1017/S1053837200002868.[Crossref] , [Google Scholar]), dealing directly with decision under risk. In a few pages from book I, chapter 10, Adam Smith explicitly named “lotteries” various objects of choice (possible occupations, or investment opportunities, for instance) and provided an analysis which standard expected utility glasses would hardly fit. Taking this into account allows a better understanding of the part played by typical characters like the “projector” or the “sober man”, in such matters as Smith’s conception of entrepreneurship or of the credit market. The use of some modern concepts in decision analysis (inverse stochastic dominance, rank dependent utility, prudence toward risk), is a means to show the existence, in Smith’s work, of an original theory from decision under risk, where his analysis of lotteries in the Wealth of Nations is consistent with statements from his moral philosophy on asymmetric sensitivity to gains and losses and to the regulating part played by the impartial spectator.     

Fiscal policy,wealth divergence,and lifetime utility

Using a two-country dynamic optimization model where the less patient country decumulates and the more patient one accumulates wealth, we analyze spillover effects of lump-sum and consumption taxes. A lump-sum tax on a country definitely harms the other country through a change in the rate of interest. A lump-sum tax on either country always improves the less patient country's asset position. A consumption tax has no spillover effect, although it is Pareto-inferior. Applying these results into a closed-country context with heterogeneous agents, we also discuss policy implications of a discriminatory tax.     

效率、公平、社会稳定与住房问题——基于世代模型的政治经济学分析

土地和住房是劳动者历史共同体的公共物品。社会是否能够按照效率与公平的原则解决住房问题,其本质是社会是否能够解决劳动者现实具体利益与历史一般利益的矛盾,即个体理性与国家理性的矛盾。公共权力通过经济制度对租金的抽取和使用是解决住房问题的基本途径,不同制度模式具有等价性。在社会稳定的约束条件下,公共权力对租金的抽取和使用并不必然保证住房问题的解决符合效率与公平的原则,为此社会还需要具备公共权力良好的政治性质、法律约束力以及劳动者对国家理性道德自觉的条件。     

商品价值创造中的三种劳动及作用

商品价值创造中的三种劳动是耗费劳动、传导劳动和凝结劳动。耗费劳动是正在进行的劳动，它是价值的源泉，本身并不是价值；传导劳动表现为劳动资料，劳动资料在本期劳动过程中起着把活劳动传导到劳动对象中去的作用；凝结劳动是凝结在劳动对象中的人类一般劳动，即价值实体。劳动对象是耗费劳动是吸收器。耗费劳动与凝结劳动既不同质也不同量，耗费劳动能否成为凝结劳动或在多大量上成为凝结劳动取决于传导劳动的效能和劳动对象对耗费劳动的吸收程度。