1,721,161 research outputs found
The Capitol Hill Baby-Sitting Co-op ∗ Thorsten Hens a
No full textThis paper contributes to the micro-foundation of money in centralized markets with idiosyncratic uncertainty. It shows existence of stationary monetary equilibria and ensures that there is an optimum quantity of money. The rational solution of our model is compared with actual behavior in a laboratory experiment. The experiment gives support to the theoretical approach
Working Paper Series Prospect Theory around the World Thorsten Hens Prospect Theory around the World
No full textAbstract We present results from the first large-scale international survey on risk preferences, conducted in 45 countries. We show substantial cross-country differences in risk aversion, loss aversion and probability weighting. Moreover, risk attitudes in our sample depend not only on economic conditions, but also on cultural factors, as measured by the Hofstede dimensions Individuality and Uncertainty Avoidance. The presented data might also serve as an interesting starting point for further research in cultural economics
Replication in Consistent Binomial Models
Get PDFWöster C. Replication in Consistent Binomial Models. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Vol 545. Bielefeld: Universität Bielefeld; 2005.The binomial model has been used to price a wide variety of equity and interest rate options for more than two decades. Originally developed by Cox, Ross, and Rubinstein to clarify the basic pricing principle of its continuous-time counterpart with reduced mathematical requirements, the approach became a numerical scheme to evaluate all kinds of contingent claims. Some of the algorithms have dissociated more and more from the basic principles. In this paper we turn to the foundations of the binomial model and elaborate the relation between real world processes, replicating strategies and martingales in a strict way
The impact of taxation on upper and lower bounds of enterprise value
Get PDFBraun T. The impact of taxation on upper and lower bounds of enterprise value. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Bielefeld: Universität Bielefeld; 2005.This paper derives and draws on simple formulae for the upper and lower bounds to the value of a series of risky cash flows in order to provide some instructive insights in the impact of taxation on these bounds.
The formulae are based on no-arbitrage conditions in a setting that is a straightforward extension of the Cox, Ross, and Rubinstein option-pricing model to an incomplete market model and look exactly like the popular Gordon growth formula.
Although based on stylized facts concerning the tax scheme the results promise to be a reliable guide for further research in this field
"Das süsse Gift der Gewinne vergiftet mich": Interview mit Thorsten Hens: Der Professor am Institut für Banking und Finance erwartet für das kommende Jahr weniger Aktienperformance als in 2023
Get PDF"Breit diversifizieren": Der Botschafter des FuW-Börsenspiels Thorsten Hens wich während der Spieldauer von seiner eigentlichen Anlagephilosophie ab. Nach Startschwierigkeiten schnitt er dennoch unter den besten 20% des Wettbewerbs ab. Für den Finanzprofessor und Verhaltensökonomen steht die breite Diversifikation im Vordergrund beim Aufbau eines langfristig angelegten Portfolios. Auf Einzeltitel setzt er in der Regel nicht.
Für das kommende Jahr empfiehlt er Schweizer Aktien, weil der heimische Markt grosses Aufholpotenzial aufweise. Doch gefeit vor systematischen Anlagefehlern sei auch er nicht
Book Review “Cultural Finance: A World Map of Risk, Time and Money” by Thorsten Hens, Marc Oliver Rieger, and Mei Wang. Singapore: World Scientific Publishing Co. Pte. Ltd., 2020; ISBN 9789811221958
No full textThis is book review of “Cultural Finance, A World Map of Risk, Time and Money” edited by Thorsten Hens, Marc Oliver Rieger and Mei Wang. This book review’s focus point is on how “Cultural Finance, A World Map of Risk, Time and Money” develops, based on the book’s content, in the current studies of prospect theory preferences in 53 different countries. The book review starts with a literature review on studied research in “Cultural Finance, A World Map of Risk, Time and Money”, follows with short summaries of each chapter, and finally sums up its practical implication. This book greatly demonstrates the greatest care and thoroughness regarding the growth of cultural finance
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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Get PDFLehren die Universitäten die Fähigkeiten, die in der Praxis gefragt sind? UBS-Personalchef Gery Bruederlin und Finanzprofessor Thorsten Hens im Gespräch
Evaluating ChatGPT-4 and Bard in Categorizing Investor Risk Profiles
Get PDFThis study aims to examine the performance of OpenAI’s ChatGPT-4 and Google’s Bard in categorizing investors’ risk profiles. The objectives were to compare the chatbots’ assessments with those of financial advisors and to assess the consistency of their evaluations over time. Two research questions were stated: “How do ChatGPT and Bard categorize investor risk profiles compared to financial advisors?” and “How consistent are the chatbots’ categorizations over time?”
The study included ten distinct investor descriptions (client cases), which the chatbots were asked to categorize weekly from October 7th through November 25th, 2023. The assessments of ChatGPT and Bard were compared with those from financial advisors from the same bank.
To compare assessments from ChatGPT, Bard, and the bankers, multiple Kruskal- Wallis tests were conducted, followed by Dunn’s tests for post hoc analysis. Additionally, Welch’s t-tests were used as an adjunct methodological measure to validate the results, checking the consistency of findings across the statistical analyses, even under varying data assumptions. A qualitative analysis of the chatbots’ responses was conducted in instances where their assessments deviated from those of the bankers with statistical significance. A repeated measures ANOVA was used to assess the chatbot’s consistency.
The results from the non-parametric tests indicated that ChatGPT’s and Bard’s assessments differed from those of bankers for half of the clients. Among these clients, both chatbots assessed the client’s risk profiles more conservatively for three and higher for one. Furthermore, the results indicated that the chatbots were relatively consistent in their assessments over time. Despite some variations in their assessed risk scores for each client, these variations were relatively minor and did not indicate notable inconsistencies. The consistency of the chatbots was also supported by a lack of statistically significant difference in their assessments based on the conversational method used in the study.
The qualitative analysis revealed several weaknesses in the chatbots’ reasoning, affecting their accuracy. These limitations included a lack of personalized recommendations, reliance on general principles, absence of factual support, and a lack of human-like understanding. These results highlight the importance of cautious reliance on such tools for risk profiling, especially considering the identified weaknesses in reasoning
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