of independent interest, namely a martingale preserving change of measure and a martingale representation theorem for … initially enlarged filtrations. -- utility maximization ; value of information ; initial enlargement of filtrations ; Martingale …

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 …

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 …

information drift, i.e. the drift to eliminate in order to preserve the martingale property in the insider's filtration, turns out … ; enlargement of filtrations ; Malliavin's calculus ; free lunch ; arbitrage ; equivalent martingale measure ; Bessel process …

; weak martingale ; marginals ; Volterra kernel …

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 …

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk …