Researcher:
Lajeri-Chaherli, Fatma

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Fatma

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Lajeri-Chaherli

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Lajeri-Chaherli, Fatma

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1999 - 199912000 - 20035

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Researcher Of Publications: search.filters.isAuthorOfPublication.648ba534-cb95-433a-a45b-557b2c93e526

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Now showing 1 - 6 of 6
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    Parametric characterizations of risk aversion and prudence
    (Springer, 2000) Nielsen, LT.; Department of Economics; Lajeri-Chaherli, Fatma; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    Our first main result says that whether one decision maker is more risk averse than another can be determined from their attitudes toward a given two-parameter family of risks. When all risks belong to this family, risk aversion can be compared even when initial wealth is random. Our second main result solves a long-standing problem in mean-variance analysis: what is the interpretation of the concavity of utility as a function of mean and variance? We show that in the case of normal distributions, this utility function is concave if and only if the agent has decreasing prudence.
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    More on properness: the case of mean-variance preferences
    (Springer, 2002) N/A; Department of Economics; Lajeri-Chaherli, Fatma; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    This paper focuses on the situations where individuals with mean-variance preferences add independent risks to an already risky situation. Pratt and Zeckhauser (Econometrica, 55, 143-154, 1987) define a concept called proper risk aversion in the expected utility framework to describe the situation where an undesirable risk can never be made desirable by the presence of an independent undesirable risk. The assumption of mean-variance preferences allows us to study proper risk aversion in an intuitive manner. The paper presents an economic interpretation for the quasi-concavity of a utility function derived over mean and variance. The main result of the paper says that quasi-concavity plus decreasing risk aversion is equivalent to proper risk aversion.
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    Partial derivatives, comparative risk behavior and concavity of utility functions
    (Elsevier, 2003) N/A; Department of Economics; Lajeri-Chaherli, Fatma; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    We use the comparative risk behavior of the partial derivatives to address a long standing problem in mean-variance analysis: What does the concavity of utility functions mean? It is well known that, when mean-variance preferences are derived from expected utility and normal distributions, concavity is equivalent to decreasing prudence. In this paper, we derive conditions that link concavity to prudence in a general mean-standard deviation case.
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    A note on the valuation of compound options
    (John Wiley & Sons Inc, 2002) N/A; Department of Economics; Lajeri-Chaherli, Fatma; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    The value of a compound option, an option on an option, has been derived by Geske (1976) using Fourier integrals. This article presents two alternative proofs to derive the value of a compound option. One proof is based on the martingale approach, which provides a simple and powerful tool for valuing contingent claims, The second proof uses the expectation of a truncated bivariate normal variable. These proofs allow for an intuitive interpretation of the three elements constituting the value of a compound option.
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    Unexpected inflation and bank stock returns: The case of France 1977–1991
    (Elsevier Science Bv, 1999) Dermine, J.; Department of Economics; Lajeri-Chaherli, Fatma; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    This paper evaluates the impact of unexpected inflation on the stock returns of a sample of French banks. It offers an empirical test of theories that have predicted an impact of inflation on the stock returns of banks. The paper complements a large literature that has focused exclusively on the impact of unexpected interest rates. The analysis provides empirical support to the hypothesis that, in periods of volatile inflation, there exists an inflation risk factor which is independent of the well-documented interest rate factor.
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    Credit risk and the deposit insurance premium: a note
    (Elsevier, 2001) Demine, Jean; Department of Economics; Lajeri-Chaherli, Fatma; Faculty Member; Department of Economics; College of Administrative Sciences and Economics; N/A
    Previous research on market-based evaluation of deposit insurance premia has modeled the bank as a corporate firm with risky assets and insured liabilities. No attempt was made to analyze explicitly the risk characteristics of bank assets. The purpose of this note is to model bank lending explicitly and calculate loan-risk sensitive insurance premia. The lending function of banks creates the need to model equity as a 'capped' call option. A simulation exercise shows that market-based estimates of deposit insurance premium which ignore the cap lead to significant underestimation. © 2001 Elsevier Science Inc. All rights reserved.