comparative analysis of risk aversion and ambiguity aversion. The perception of ambiguity is described by a hidden Markovian … premium and risk free rate and can generate asset-price stylized facts like a procyclical price-dividend ratio and …

considered before all use nonparametric statistics.On the technical side, we provide a novel approach to the pre-estimation … problem using Le Cam s third lemma.The resulting formula for the correction in the limiting variance as a result of pre-estimation …

This paper generalizes the theory of irreversible investment under uncertainty by allowing for risk averse investors in … the absence of com-plete markets.Until now this theory has only been developed in the cases of risk neutrality, or risk … price that distinguishes price regions in which it is optimal for a risk averse investor to invest and price regions in …

robustness through risk analysis, which uses Latin hypercube sampling (LHS) to estimate the probabilities of specific system … systems, namely Kanban, Conwip, Hybrid, and Generic. In this example, Hybrid turns out to be best. However, when risk is … ignored, then Generic is best; so risk considerations do make a difference! The methodology can be easily applied to any …

Risk premia in the consumption capital asset pricing model depend on preferences and dividend. We develop a … decomposition which allows a separate treatment of both components. We show that preferences alone determine the risk …-return tradeoff measured by the Sharpe-ratio. In general, the risk-return trade-off implied by preferences depends on the elasticity …