between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …

. We compute the equilibrium in closed form when arbitrageurs' utility over consumption is logarithmic or risk-neutral with … expected returns are hump-shaped. Liquidity is a priced risk factor: assets that suffer the most when liquidity decreases, e …

The Markowitz mean-variance optimizing framework has served as the basis for modern portfolio theory for more than 50 …

utility function. We then fit the experimental choices to this model to assess the risk attitude of our subjects. Despite the … substantial heterogeneity across subjects, decreasing absolute risk aversion and increasing relative risk aversion are the most … prevalent risk types, and we can classify more than 50% of the subjects in this combined category. We also find evidence of …

hedger, guided by the traditional minimum-variance criterion, aims at reducing the risk of a non-tradable asset or a … generalized "Greeks," familiar in risk management applications, as well as retaining the intuitive features of their static …

interaction between two risk-averse managers in continuous time, characterizing analytically their unique equilibrium dynamic … opponent’s risk attitude. Hence, client investors, concerned about how a strategic manager may trade on their behalf, should …

Absent much theory, empirical works often rely on the following informal reasoning when looking for evidence of a …