Parametric Discounting Model of Utility

Rotschedl, Jiri; Kadeřábková, Božena; Čermáková, Klára

doi:10.1016/s2212-5671(15)01322-2

Cited by 6 publications

(7 citation statements)

References 29 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In [13,64], the BPV was defined as fair price approximation determined under impact of behavioural factors. Such an approach is in line with the approach proposed later by Rotschedla et al [102]. It causes that any PV estimation is in fact an imprecise number.…”

supporting

confidence: 80%

“…This definition of PV is more general than the Peccati's definition. The PV determined by Rotschedla et al [102] fulfil the conditions of a generalised PV. Generalised PV is defined without a discounting factor.…”

Section: Behavioural Essence Of Present Valuementioning

confidence: 68%

“…The axiomatic theory of discount factors was introduced in [100] and developed in [101]. Rotschedla et al [102] present such a discounting model that the discounted value is given as a hedonic price dependent on fundamentals. Let us note that PV defined in this way does not meet the axiomatic conditions determined by Peccati for PV.…”

Section: Behavioural Essence Of Present Valuementioning

confidence: 99%

“…According to the classical finance theory, the quoted priceP is also PPV. For this reason, BPV is a strong generalisation of PV model proposed by Rotschedla et al [102]. The BPV dependence on subjective financial factors means that each investor designates their own version of BPV.…”

Section: Behavioural Present Valuementioning

confidence: 99%

See 3 more Smart Citations

On Present Value Evaluation under the Impact of Behavioural Factors Using Oriented Fuzzy Numbers

Piasecki

Łyczkowska-Hanćkowiak

2021

Symmetry

View full text Add to dashboard Cite

In general, the present value (PV) concept is ambiguous. Therefore, behavioural factors may influence on the PV evaluation. The main aim of our paper is to propose some method of soft computing PV evaluated under the impact of behavioural factors. The starting point for our discussion is the notion of the Behavioural PV (BPV) defined as an imprecisely real-valued function of distinguished variables which can be evaluated using objective financial knowledge or subjective behavioural premises. In our paper, a BPV is supplemented with a forecast of the asset price closest to changes. Such BPV is called the oriented BPV (O-BPV). We propose to evaluate an O-BPV by oriented fuzzy numbers which are more useful for portfolio analysis than fuzzy numbers. This fact determines the significance of the research described in this article. O-BPV may be applied as input signal for systems supporting invest-making. We consider here six cases of O-BPV: overvalued asset with the prediction of a rise in its price, overvalued asset with the prediction of a fall in its price, undervalued asset with the prediction of a rise in its price, undervalued asset with the prediction of a fall in its price, fully valued asset with the prediction of a rise in its rice and fully valued asset with the prediction of a fall in its rice. All our considerations are illustrated by numerical examples. Presented examples show the way in which we transform superposition of objective market knowledge and subjective investment opinion into simple return rate.

show abstract

supporting

confidence: 80%

Section: Behavioural Essence Of Present Valuementioning

confidence: 68%

Section: Behavioural Essence Of Present Valuementioning

confidence: 99%

Section: Behavioural Present Valuementioning

confidence: 99%

See 2 more Smart Citations

On Present Value Evaluation under the Impact of Behavioural Factors Using Oriented Fuzzy Numbers

Piasecki

Łyczkowska-Hanćkowiak

2021

Symmetry

View full text Add to dashboard Cite

show abstract

“…Equations 3 and 4 are closely related and belong to the mainstream economics of discounting utility functions (Rotschedl et al, 2015).…”

Section: Theoretical Foundation Discounting Utility Modelsmentioning

confidence: 99%

The role of time estimation in decreased impatience in intertemporal choice.

Agostino¹,

Claessens²,

Balcı³

et al. 2021

Journal of Neuroscience, Psychology, and Economics

View full text Add to dashboard Cite

The role of specific cognitive processes in deviations from constant discounting in intertemporal choice is not well understood. We evaluated decreased impatience in intertemporal choice tasks independent of discounting rate and non-linearity in long-scale time representation; nonlinear time representation was expected to explain inconsistencies in discounting rate. Participants performed temporal magnitude estimation and intertemporal choice tasks. Psychophysical functions for time intervals were estimated by fitting linear and power functions, while discounting functions were estimated by fitting exponential and hyperbolic functions. The temporal magnitude estimates of 65% of the participants were better fit with power functions (mostly compression). 63% of the participants had intertemporal choice patterns corresponding best to hyperbolic functions. Even when the perceptual bias in the temporal magnitude estimations was compensated in the discounting rate computation, the data of 8 out of 14 participants continued exhibiting temporal inconsistency. The results suggest that temporal inconsistency in discounting rate can be explained to different degrees by the bias in temporal representations. Non-linearity in temporal representation and discounting rate should be evaluated on an individual basis.

show abstract

Multi-stage portfolio selection problem with dynamic stochastic dominance constraints

Chen

Liu

et al. 2022

J Glob Optim

View full text Add to dashboard Cite

Parametric Discounting Model of Utility

Cited by 6 publications

References 29 publications

On Present Value Evaluation under the Impact of Behavioural Factors Using Oriented Fuzzy Numbers

On Present Value Evaluation under the Impact of Behavioural Factors Using Oriented Fuzzy Numbers

The role of time estimation in decreased impatience in intertemporal choice.

Multi-stage portfolio selection problem with dynamic stochastic dominance constraints

Contact Info

Product

Resources

About