Results 31 to 40 of about 665 (108)
Heterogeneous Impatience in a Continuous-Time Model [PDF]
In a continuous-time economy with complete markets, we study how the heterogeneity in the individual consumers' risk tolerance and impatience affects the representative consumer's risk tolerance and impatience.
Chiaki Hara
core +6 more sources
Risk mitigation services in cyber insurance: optimal contract design and price structure. [PDF]
Geneva Pap Risk Insur Issues Pract, 2023 Zeller G, Scherer M.
europepmc +1 more source
Law Invariant Risk Measures Have the Fatou Property. [PDF]
S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterizationof law invariant coherent risk measures, satisfying the Fatou property.The latter property was introduced by F. Delbaen [D 02].
Jouini, Elyès +2 more
core +3 more sources
Contingent Claim Pricing In A Dual Expected Utility Theory Framework [PDF]
This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets.
Andrea Gheno, Massimiliano Corradini
core
Increases in risk and demand for risky asset [PDF]
n this paper, we examine the effect of a decrease in risk on the demand for risky asset in the standard portfolio problem. We introduce a new class of dominance, that we name relative order and we prove that this class of dominance is consistent both ...
Alain Chateauneuf, Ghizlane Lakhnati
core
Static hedging of Asian options under Lévy models: the comonotonicity approach. [PDF]
In this paper we present a simple static super-hedging strategy for the payoff of an arithmetic Asian option in terms of a portfolio of European options. Moreover, it is shown that the obtained hedge is optimal in some sense.
Albrecher, H +3 more
core
Robust risk aggregation with neural networks. [PDF]
Math Financ, 2020 Eckstein S, Kupper M, Pohl M.
europepmc +1 more source
On the functor of comonotonically maxitive functionals
Topology and its ApplicationsarXiv admin note: text overlap with arXiv:2307.12787, arXiv:2111 ...
openaire +2 more sources
Market behavior when preferences are generated by second-order stochastic dominance. [PDF]
We develop a theory of decision making and General Equilibrium for contingent markets when incomplete preferences are generated by second-order stochastic dominance (SSD). Demand, Pareto-optima and equilibria dominance are fully characterized.
Dana, Rose-Anne
core
Risk aversion and Relationships in model-free [PDF]
This paper belongs to the study of decision making under risk. We will be interested in modeling the behavior of decision makers (hereafter referred to as DM) when they are facing risky choices.
Elyess Farhoud, Moez Abouda
core