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Behavioral Financial Engineering: eine Fallstudie zum Rationalen Entscheiden

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  • Glaser, Markus

    (Sonderforschungsbereich 504)

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.

Suggested Citation

  • Glaser, Markus, 2001. "Behavioral Financial Engineering: eine Fallstudie zum Rationalen Entscheiden," Sonderforschungsbereich 504 Publications 01-06, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:01-06
    Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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    File URL: http://www.sfb504.uni-mannheim.de/publications/dp01-06.pdf
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    References listed on IDEAS

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    1. Imran S. Currim & Rakesh K. Sarin, 1989. "Prospect Versus Utility," Management Science, INFORMS, vol. 35(1), pages 22-41, January.
    2. Shefrin, Hersh M. & Statman, Meir, 1984. "Explaining investor preference for cash dividends," Journal of Financial Economics, Elsevier, vol. 13(2), pages 253-282, June.
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