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Working paper
A Meta-Analysis of Loss Aversion in Risky Contexts
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Insurance Demand Over Varying Coverage Levels: Experimental Evidence from China
In: DEVEC-D-22-01005
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Lottery Loans in the Eighteenth Century
In: FRB of Chicago Working Paper No. WP-2018-7
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Probability Distortions, Collectivism, and International Stock Prices
In: Journal of Behavioral and Experimental Finance, 2023, Vol. 39, 100836.
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Working paper
Menentukan Besaran Dukungan Pemerintah dan Dampaknya Bagi Atraktivitas Proyek Infrastruktur Berbasis Kerja Sama Pemerintah-Swasta
AbstrakUntuk menarik pendanaan swasta bagi pembangunan infrastruktur, Pemerintah Indonesia mengeluarkan kebijakan memberikan dukungan bagi proyek-proyek infrastruktur publik yang diselenggarakan menggunakan skema kerja sama pemerintah-swasta (KPS). Dukungan ini termasuk jaminan dan viability gap funding (VGF) yang masing-masing merepresentasikan kewajiban kontijen dan non-kontijen bagi Pemerintah. Isu yang belum pernah didiskusikan sebelumnya adalah tipe dukungan apa dan berapa besar yang dibutuhkan untuk membuat proyek KPS berisiko mampu menarik minat investor swasta. Tulisan ini mengisi kekosongan pengetahuan ini dengan menawarkan model matematis yang mengombinasikan simulasi Monte Carlo dan cumulative prospect theory (CPT) dan pemikiran mengenai keputusan bentuk dukungan. Model ini diaplikasikan pada suatu proyek jalan tol berbasis build-operate-transfer dengan berbagai skenario ekspektasi dan varian arus kas. Sebagaimana diperlihatkan, proyek yang secara pro-forma dianggap layak bisa tidak atraktif bila dievaluasi menggunakan CPT dan membutuhkan dukungan untuk membuatnya atraktif. Model memungkinkan jaminan dan VGF dapat dinilai, dievaluasi dan dibandingkan untuk mendapatkan dukungan yang paling sesuai. Disajikan pula dalam tulisan ini bahwa VGF yang dibutuhkan meningkat sementara nilai jaminan tidak harus meningkat dengan risiko proyek, sebagaimana diprediksikan oleh teori opsi.AbstractTo encourage private financing for infrastructure development, the Government of Indonesia has embarked upon a policy to provide supports for public infrastructure projects implemented under public-private partnership (PPP) scheme. These supports include guarantee and viability gap funding (VGF) that each represents contingent and non-contingent liability for the Government. The issues of interest that have never been discussed elsewhere are types and quanta of support required to attract private sector interest for a risky PPP project. This paper attempts to fill this gap of knowledge by offering a mathematical model that ...
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Learning in Games with Cumulative Prospect Theoretic Preferences
In: Dynamic games and applications: DGA
ISSN: 2153-0793
Lottery Valuation Using the Aspiration/Relative Utility Function
In: Warsaw School of Economics, Department of Applied Econometrics Working Paper No. 5-09
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Working paper
Never Stop or Never Start? Optimal Stopping under A Mixture of CPT and EUT Preferences
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Diversification in Lottery-Like Features and Portfolio Pricing Discount: Evidence from Closed-end Funds
In: Journal of Empirical Finance, Forthcoming
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Working paper
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Working paper
Facet theory: towards cumulative social science
Lottery loans in the eighteenth century
In the 18th century Britain frequently issued lottery loans, selling bonds whose sizewas determined by a draw soon after the sale. The probability distribution was perfectly known ex-ante and highly skewed. After the draw the bonds were identical (except for size) and indistinguishable from regular bonds. I collect market prices for the lottery tickets and show that investors were paying a substantial premium to be exposed to this purely artificial risk. I show that investors were well-to-do and included many merchants and bankers. I turn to cumulative prospect theory to make sense of these observations and estimate the equilibrium model of Barberis and Huang (2008). The preference parameters can account for the level of the lottery premium but cannot always match the systematic rise of prices over the course of the draws.
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