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. …

generated by a Lévy process and agents exhibit constant relative risk aversion, closed-form solutions are derived. Depending on …

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 …

incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a … nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy … under the inclusion of transaction costs: The preceding strategy which is locally risk-minimizing inclusive of transaction …

We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in … the underlying space of scenarios. As a case study, we consider convex measures of risk defined in terms of a robust not … ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is …