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 …

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

risk …

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 …

low or no risk-aversion, but put very high value on the opportunity to sell the lottery in every stage of the decision … problem. There is evidence that risk attitudes depend on whether they are measured by comparing the certainty equivalent and … the expected value of a lottery or by preferences over mean-preserving spreads. -- Dynamic decisions ; risk taking …

future nominal values via a cost of living index is an appropriate way to handle the problem of real income risk. Nonetheless … rational individual always voluntarily purchase protection against such risk? A model is developed to shed some light on this … aspect. It shows that the optimal behaviour depends - as expected - on the cost of protection and the risk preferences of the …

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 …