Behavioral Financial Engineering: eine Fallstudie zum Rationalen Entscheiden

Markus Glaser ()
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Markus Glaser: Sonderforschungsbereich 504, Postal: L 13, 15, D-68131 Mannheim

No 01-06, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

Abstract: The design of financial products, such as options or reverse convertibles, is guided by considerations that are all within the standard finance world where investors maximize expected utility and care about cash flows, but are indifferent among frames of cash flows. This case study describes the role of behavioral elements in the design of some financial products. The elements are prospect theory, non-linear probability weighting, framing effects, and mental accounting.

Pages: 26 pages
Date: 2001-02-07
New Economics Papers: this item is included in nep-fin
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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