- we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of … ; supervision ; risk measures ; Basel Accord …

An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often … quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined … the shortfall risk defined as the expectation of the shortfall weighted by some loss function. The resulting efficient …

know the distribution. We first derive the market results when sellers are risk averse, similarly to Ponssard (1979) who … assumed risk neutrality throughout. With the help of these results evolutionary processes are formulated according to which …

risk …

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … preferences, in the way many coherent risk measures are somewhat generic. -- coherent risk rneasures ; valuation bounds …

part of the paper I discuss how much of the data can be explained by assuming that experimental subjects are risk averse. …

with systematic deviations that are consistent with well-known decision anomalies. Risk propensity is found to have an … have their decision partially driven by their risk propensity. Implications of our findings for entrepreneurs and …

determine the unique hedging strategies which minimize a suitably defined shortfall risk under a given cost constraint. We … compare the performance of the optimal strategy for different degrees of the investor's risk-aversion. -- Efficient hedging …