A proposal of concentration measures for discount functions

Autor: Salvador Cruz Rambaud, Piedad Ortiz Fernández, Javier Sánchez García, Paula Ortega Perals
Jazyk: angličtina
Rok vydání: 2024
Předmět:
Zdroj: Quantitative Finance and Economics, Vol 8, Iss 2, Pp 347-363 (2024)
Druh dokumentu: article
ISSN: 2573-0134
13926195
DOI: 10.3934/QFE.2024013?viewType=HTML
Popis: The framework of this paper was intertemporal choice, that is to say, the process whereby people were required to choose between a smaller-sooner reward and a larger-later income. In this study, the selection of rewards was supported by a discount function instead of direct preferences between the involved rewards. The objective of this paper was to measure the discounting concentration of a discount function through a variant of the Gini index and the Lorenz curve usually used in statistics. Both measures allowed for the comparison of the discounting concentration corresponding to two discount functions. The methodology employed in this paper was based on the parallelism between a discount function and the distribution function of an absolutely continuous random variable. This similarity allowed us to export the measures of concentration from the field of statistics to finance. The main result of this work was the analysis of the discounting concentration depending on other characteristics of the shape of a discount function (regularity and super-additivity) and the total area under the discount function curve.
Databáze: Directory of Open Access Journals
Externí odkaz:
Nepřihlášeným uživatelům se plný text nezobrazuje