technologies under uncertainty. Specifically, given two technologies, one with lower costs at present, but the other with greater … uncertainty in the returns to R&D, how should one allocate the R&D budget? We develop a multi-stage stochastic dynamic programming … variance in the uncertainty in returns to R&D and with the skewness of the uncertainty. We also present an illustrative case …

technologies under uncertainty. Specifically, given two technologies, one with lower costs at present, but the other with greater … uncertainty in the returns to R&D, how should one allocate the R&D budget? We develop a multi-stage stochastic dynamic programming … variance in the uncertainty in returns to R&D and with the skewness of the uncertainty. We also present an illustrative case …

equilibrium model with a fund offering the risk-adjusted market portfolio (RAMP), ambiguity averse investors hold the fund and an … optimal portfolio based on only one information source (price versus private signal). Asset risk premia satisfy the CAPM with …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who …

manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who …

manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …

Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and … methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values … assumptions invoked by existing methodologies (such as normality or i.i.d. returns). The Conditional Value at Risk or CAViaR model …

While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief …. This paper investigates the effect of financial innovation on portfolio risks in an economy when both the risk sharing and … the possibilities for risk sharing. My main result shows that financial innovation also always increases the speculative …

uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in …