scholarly journals A Certainty Equivalent Merton Problem

2021 ◽  
Author(s):  
Nicholas Moehle ◽  
Stephen Boyd
Keyword(s):  
Certainty Equivalent ◽  
Merton Problem

scholarly journals A Certainty Equivalent Merton Problem

2022 ◽  
Vol 6 ◽  
pp. 1478-1483
Author(s):  
Nicholas Moehle ◽  
Stephen Boyd
Keyword(s):  
Certainty Equivalent ◽  
Merton Problem

Generalized Optimized Certainty Equivalent with Applications in the Rank-dependent Utility Model

2020 ◽  
Author(s):  
Qinyu Wu ◽  
Tiantian Mao ◽  
Taizhong Hu
Keyword(s):  
Certainty Equivalent ◽  
Utility Model ◽  
Rank Dependent Utility

scholarly journals The Burden of the Nondiversifiable Risk of Entrepreneurship

2010 ◽  
Vol 100 (3) ◽  
pp. 1163-1194 ◽  
Author(s):  
Robert E Hall ◽  
Susan E Woodward
Keyword(s):  
Relative Risk ◽  
Risk Aversion ◽  
Venture Capital ◽  
Dynamic Program ◽  
Certainty Equivalent ◽  
Important Class ◽  
Relative Risk Aversion ◽  
The Past ◽  
Equity Value ◽  
The Difference

Entrepreneurship is risky. We study the risk facing a well-documented and important class of entrepreneurs, those backed by venture capital. Using a dynamic program, we calculate the certainty-equivalent of the difference between the cash rewards that entrepreneurs actually received over the past 20 years and the cash that entrepreneurs would have received from a risk-free salaried job. The payoff to a venture-backed entrepreneur comprises a below-market salary and a share of the equity value of the company when it goes public or is acquired. We find that the typical venture-backed entrepreneur received an average of $5.8 million in exit cash. Almost three-quarters of entrepreneurs receive nothing at exit and a few receive over a billion dollars. Because of the extreme dispersion of payoffs, an entrepreneur with a coefficient of relative risk aversion of two places a certainty equivalent value only slightly greater than zero on the distribution of outcomes she faces at the time of her company's launch. (JEL G24, G32, L26, M13)

Certainty equivalent measures of risk

2015 ◽  
Vol 249 (1-2) ◽  
pp. 75-95 ◽  
Author(s):  
Alexander Vinel ◽  
Pavlo A. Krokhmal
Keyword(s):  
Certainty Equivalent ◽  
Measures Of Risk

Resource allocation in satellite networks: certainty equivalent approaches versus sensitivity estimation algorithms

2005 ◽  
Vol 18 (1) ◽  
pp. 3-36 ◽  
Author(s):  
Franco Davoli ◽  
Mario Marchese ◽  
Maurizio Mongelli
Keyword(s):  
Resource Allocation ◽  
Satellite Networks ◽  
Certainty Equivalent ◽  
Estimation Algorithms ◽  
Sensitivity Estimation
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