We investigate the empirical relation between ambiguity aversion, risk aversion and portfolio choices. We match … administrative panel data on portfolio choices with survey data on preferences over ambiguity and risk. We report three main findings … portfolio in a contrarian direction relative to the market. Accordingly, their exposure to risk is more stable over time. Third …

This chapter of a collective book aims at presenting the basics of decision making under risk. We first define notions … of risk and increasing risk and recall definitions and classifications (that are valid independently of any … representation) of behavior under risk. We then review the classical model of expected utility due to von Neumann and Morgenstern …

, which allow to take into account observed behaviors as in Allais' paradox under risk or Ellsberg's paradox under uncertainty … uncertainty, and Quiggin and Yaari under risk, succeeded to characterize preferences which generalize the EU model, by means of a … for more diversified patterns of behavior under uncertainty as well under risk. …

The theory of existence of equilibrium with short-selling is reconsidered under risk and ambiguity modelled by risk … of the risk adjusted sets of expectations overlap. This condition is necessary if agents are not risk neutral at extreme … compatible trades, with non negative expected value with respect to any risk adjusted prior, strictly positive for some agent and …

assets with short-selling where there is risk and ambiguity. Agents have Bewley's incomplete preferences. As an inertia … risk adjusted sets of probabilities intersect. The more risk averse, the more ambiguity averse the agents, the more likely …

One of the main concern and regulatory topic financial institutions have to deal with is the model risk. Senior … managers tend to consider more and more model risk as one of the highest exposure a financial institution has (as illustrated … by the lastest EBA paper related to Advanced Measurement Approach (AMA) for Operational Risk Capital calculation). Though …

In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of … different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM …), which is a non-linear version of a risk factor model in a copula framework. Our tool allows us to decompose the risk of any …

, we address a discussion on this topic proposing the concept of meta-distribution which can be used to improve risk …