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 …This article investigates whether decision makers intuitively optimize close to the normative prediction in …

expected logarithmic utility from terminal wealth. While the ordinary investor's portfolio decisions are based on a public … expected logarithmic utility in terms of a relative entropy. This allows us to provide simple conditions on G for the … finiteness of this additional utility and to show that it is basically given by the entropy of G. -- insider trading ; entropy …

we focus on are the calculation of the additional utility of the insider and a study of his free lunch possibilities. The … examples are given to illustrate additional utility and free lunch possibilities. In particular, if the insider has advance …

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 …

economic theory suggests to solve the decision problem. But since real decision makers can hardly be expected to behave …In this paper I consider a complex decision problem where subjects have to cope with a time horizon of uncertain … part of the paper I discuss how much of the data can be explained by assuming that experimental subjects are risk averse. …

We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the … cost is balanced out by the informational advantage in terms of maximal expected utility. We calculate this value for … common utility functions in the setting of a complete market modeled by general semimartingales. The main tools are results …

low or no risk-aversion, but put very high value on the opportunity to sell the lottery in every stage of the decision …This paper investigates the behaviour in repeated decision situations. The experimental study shows that subjects show … problem. There is evidence that risk attitudes depend on whether they are measured by comparing the certainty equivalent and …

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 determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for … the relative risk is minimized in the case that the radius is known only to belong to some interval [pr, l'/p] " The … effect of increasing parameter dimension is studied for these models. The minimax increase of relative risk in ease p = 0 …

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …