Based on the microdata of 705 wheat farmers in the Loess Plateau, this study empirically analyzes the impact of uncertainty on farmers' adoption of innovative seeds using a field experiment. The results indicate t...Based on the microdata of 705 wheat farmers in the Loess Plateau, this study empirically analyzes the impact of uncertainty on farmers' adoption of innovative seeds using a field experiment. The results indicate that farmers are generally ambiguity-averse and risk-averse. In addition, farmers with higher ambiguity aversion and risk aversion are less likely to adopt innovative wheat seeds, where their risk aversion plays a dominant role. Enhancing information access will alleviate the negative influence of ambiguity aversion on farmers' adoption of innovative seeds, and interlinked insurance and credit contracts will be beneficial to ease the adverse effect of risk aversion on the adoption of innovative wheat seeds. Meanwhile, heterogeneity analysis reveals that the inhibitory effects of ambiguity aversion and risk aversion on innovative seed adoption are more significant among farmers with lower education and household income.The government can establish both ex-ante and ex-post relevant guarantee mechanisms to help farmers preferably cope with various uncertainties in the production process, remitting farmers' ambiguity aversion and risk aversion to enhance new agricultural technology adoption rates.展开更多
This study explored the effects of ambiguity on the calculation of Value-at-Risk(VaR)using a mathematical model based on the theory of Choquet-Brownian processes.It was found that while a moderate degree of ambiguity ...This study explored the effects of ambiguity on the calculation of Value-at-Risk(VaR)using a mathematical model based on the theory of Choquet-Brownian processes.It was found that while a moderate degree of ambiguity aversion yields a higher value for VaR and Expected Shortfall(ES),the result can be reversed in a deeply ambiguous environment.Additionally,some sufficient conditions are provided for the preservation of this effect under various forms of risk aggregation.This study offers a new perspective to full awareness on capital requirement calculation as requested by international regulation.展开更多
The likelihood function plays a central role in statistical analysis in relation to information, from both frequentist and Bayesian perspectives. In large samples several new properties of the likelihood in relation t...The likelihood function plays a central role in statistical analysis in relation to information, from both frequentist and Bayesian perspectives. In large samples several new properties of the likelihood in relation to information are developed here. The Arrow-Pratt absolute risk aversion measure is shown to be related to the Cramer-Rao Information bound. The derivative of the log-likelihood function is seen to provide a measure of information related stability for the Bayesian posterior density. As well, information similar prior densities can be defined reflecting the central role of likelihood in the Bayes learning paradigm.展开更多
This work focuses on the best financial resources allocation to define a wind power plant portfolio, considering a set of feasible sites. To accomplish the problem formulation and solution, the first step was to estab...This work focuses on the best financial resources allocation to define a wind power plant portfolio, considering a set of feasible sites. To accomplish the problem formulation and solution, the first step was to establish a long-term wind series reconstruction methodology for generating scenarios of wind energy, applying it to study five different locations of the Brazilian territory. Secondly, a risk-averse stochastic optimization model was implemented and used to define the optimal wind power plant selection </span><span style="font-family:Verdana;">that</span><span style="font-family:Verdana;"> maximize</span><span style="font-family:Verdana;">s</span><span style="font-family:Verdana;"> the portfolio financial results, considering an investment budget constraint. In a sequence, a case study was developed to illustrate a practical situation of applying the methodology to the portfolio selection problem, considering five wind power plant</span><span style="font-family:Verdana;">s</span><span style="font-family:Verdana;"> options. </span><span style="font-family:Verdana;">The case</span><span style="font-family:Verdana;"> study was supported by the proposed optimization model, using the scenarios of generation created by the reconstruction methodology. The obtained results show the model performance in terms of defining the best financial resources allocation considering the effect of the complementarity between sites, making it feasible to select the optimal set of wind power plants, characterizing a wind plant optimal portfolio that takes into account the budget constraint. The adopted methodology makes it possible to realize that the diversification of the portfolio depends on the investor risk aversion. Although applied to the Brazilian case, this model can be customized to solve a similar problem worldwide.展开更多
在不确定市场需求和回收数量的背景下,将决策者风险规避行为纳入到闭环供应链中,研究决策者风险规避系数、消费者WTP(willing to pay)、不确定性水平对闭环供应链的定价影响。研究发现:决策者的风险规避系数会间接影响回收价格;消费者WT...在不确定市场需求和回收数量的背景下,将决策者风险规避行为纳入到闭环供应链中,研究决策者风险规避系数、消费者WTP(willing to pay)、不确定性水平对闭环供应链的定价影响。研究发现:决策者的风险规避系数会间接影响回收价格;消费者WTP对再制品销售价格总是有利的,但对新产品销售价格和回收价格的影响与决策者风向规避特性有关;不确定性水平对定价决策的影响与风险持有者有关。展开更多
基金supported by the National Natural Science Foundation of China (71973087 and 72003215)the 72nd General Program of China Postdoctoral Science Foundation (2022M720170)+1 种基金the Soft Science Project of the Department of Science and Technology of Shaanxi Province, China (2022KRM131)the Special Fund Project of Basic Scientific Research Operation Funds of Central Universities, China (20SZYB21)。
文摘Based on the microdata of 705 wheat farmers in the Loess Plateau, this study empirically analyzes the impact of uncertainty on farmers' adoption of innovative seeds using a field experiment. The results indicate that farmers are generally ambiguity-averse and risk-averse. In addition, farmers with higher ambiguity aversion and risk aversion are less likely to adopt innovative wheat seeds, where their risk aversion plays a dominant role. Enhancing information access will alleviate the negative influence of ambiguity aversion on farmers' adoption of innovative seeds, and interlinked insurance and credit contracts will be beneficial to ease the adverse effect of risk aversion on the adoption of innovative wheat seeds. Meanwhile, heterogeneity analysis reveals that the inhibitory effects of ambiguity aversion and risk aversion on innovative seed adoption are more significant among farmers with lower education and household income.The government can establish both ex-ante and ex-post relevant guarantee mechanisms to help farmers preferably cope with various uncertainties in the production process, remitting farmers' ambiguity aversion and risk aversion to enhance new agricultural technology adoption rates.
文摘This study explored the effects of ambiguity on the calculation of Value-at-Risk(VaR)using a mathematical model based on the theory of Choquet-Brownian processes.It was found that while a moderate degree of ambiguity aversion yields a higher value for VaR and Expected Shortfall(ES),the result can be reversed in a deeply ambiguous environment.Additionally,some sufficient conditions are provided for the preservation of this effect under various forms of risk aggregation.This study offers a new perspective to full awareness on capital requirement calculation as requested by international regulation.
文摘The likelihood function plays a central role in statistical analysis in relation to information, from both frequentist and Bayesian perspectives. In large samples several new properties of the likelihood in relation to information are developed here. The Arrow-Pratt absolute risk aversion measure is shown to be related to the Cramer-Rao Information bound. The derivative of the log-likelihood function is seen to provide a measure of information related stability for the Bayesian posterior density. As well, information similar prior densities can be defined reflecting the central role of likelihood in the Bayes learning paradigm.
文摘This work focuses on the best financial resources allocation to define a wind power plant portfolio, considering a set of feasible sites. To accomplish the problem formulation and solution, the first step was to establish a long-term wind series reconstruction methodology for generating scenarios of wind energy, applying it to study five different locations of the Brazilian territory. Secondly, a risk-averse stochastic optimization model was implemented and used to define the optimal wind power plant selection </span><span style="font-family:Verdana;">that</span><span style="font-family:Verdana;"> maximize</span><span style="font-family:Verdana;">s</span><span style="font-family:Verdana;"> the portfolio financial results, considering an investment budget constraint. In a sequence, a case study was developed to illustrate a practical situation of applying the methodology to the portfolio selection problem, considering five wind power plant</span><span style="font-family:Verdana;">s</span><span style="font-family:Verdana;"> options. </span><span style="font-family:Verdana;">The case</span><span style="font-family:Verdana;"> study was supported by the proposed optimization model, using the scenarios of generation created by the reconstruction methodology. The obtained results show the model performance in terms of defining the best financial resources allocation considering the effect of the complementarity between sites, making it feasible to select the optimal set of wind power plants, characterizing a wind plant optimal portfolio that takes into account the budget constraint. The adopted methodology makes it possible to realize that the diversification of the portfolio depends on the investor risk aversion. Although applied to the Brazilian case, this model can be customized to solve a similar problem worldwide.
文摘在不确定市场需求和回收数量的背景下,将决策者风险规避行为纳入到闭环供应链中,研究决策者风险规避系数、消费者WTP(willing to pay)、不确定性水平对闭环供应链的定价影响。研究发现:决策者的风险规避系数会间接影响回收价格;消费者WTP对再制品销售价格总是有利的,但对新产品销售价格和回收价格的影响与决策者风向规避特性有关;不确定性水平对定价决策的影响与风险持有者有关。
