Search results for "Risk neutral"
showing 5 items of 5 documents
Eliciting expert knowledge to inform stock status for data-limited stock assessments
2019
Data-limited fisheries are a major challenge for stock assessment analysts, as many traditional data-rich models cannot be implemented. Approaches based on stock reduction analysis offer simple ways to handle low data availability, but are particularly sensitive to assumptions on relative stock status (i.e., current biomass compared to unperturbed biomass). For the vast majority of data-limited stocks, stock status is unmeasured. The present study presents a method to elicit expert knowledge to inform stock status and a novel, user-friendly on-line application for expert elicitation. Expert opinions are compared to stock status derived from data-rich models. Here, it is evaluated how expert…
Determining the appropriate timing of the next forest inventory: incorporating forest owner risk preferences and the uncertainty of forest data quali…
2017
Key message The timing to conduct new forest inventories should be based on the requirements of the decision maker. Importance should be placed on the objectives of the decision maker and his/her risk preferences related to those objectives. Context The appropriate use of pertinent and available information is paramount in any decision-making process. Within forestry, a new forest inventory is typically conducted prior to creating a forest management plan. The acquisition of new forest inventory data is justified by the simple statement of “good decisions require good data.” Aims By integrating potential risk preferences, we examine the specific needs to collect new forest information. Meth…
Calibration of optimal execution of financial transactions in the presence of transient market impact
2012
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate wit…
Participation Costs and Inefficiency in Takeover Contests
2010
We consider a takeover in which risk neutral bidders incur private costs to participate to the auction. Supposing that valuations for target firm are common knowledge, we study the optimal strategy of bidders and analyze the takeover result when they get or not toeholds in the target firm. We found that bidder's decision of participation is endogenous. By analyzing bidder's condition of participation, we found that the probability that the potential bidder with the highest valuation will not participate to the control, exists. We show that this probability increases with the size of toeholds possessed by the bidder with low valuation. Nevertheless, the size of toeholds possessed by the bidd…
Multiple Motivations Consequences on Bidder's Optimal Strategy in Takeover Contests
2011
This paper examines the optimal bidding strategy in takeover contests for a target firm, and the positive correlation between the bidders’ valuation. We consider risk neutral bidders who compete for the control of a target firm in which they get initial shareholdings. The bidder valuation for target firm is correlated with his motivations which determine the bidder’s strategy. We study bidder’s optimal strategy in mixed motivations setting. Since motivations are numerous, hypothesis of affiliated value in auctions allows to study bidder’s strategy. The paper shows that the impact of affiliation degree on bidder’s optimal strategy depends on their private signal and on the ratio between thei…