exogenous risk, which are optimally hedged by investment in a given financial market with respect to exponential preferences. In …-Scholes model to incomplete markets on general stochastic bases. In this setting, Malliavin's calculus which is required in the …

financial markets whose dynamics are governed by continuous semimartingales. Adapting standard methods that solve the utility …

of the pseudo-equilibrium manifold in the basic two-period General Equilibrium with Incomplete Markets (GEI) model. For a …

This paper examines qualitative properties of efficient insurance contracts in the presence of background risk. In … order to get results for all strictly risk-averse expected utility maximizers, the concept of “stochastic increasingness” is … used. Different assumptions on the stochastic dependence between the insurable and uninsurable risk lead to different …

refinement of several classical results in the standard general equilibrium with incomplete markets (GEI) model. [Brouwer, L …

Our aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to … estimate the average level of optimism when weighted by risk tolerance. Its estimation leads to a non-trivial statistical … the unobservable characteristics. We find that individuals are on average pessimistic and that pessimism and risk …

bias on the financial markets equilibrium risk premium. …

We analyze the link between pessimism and risk-aversion. We consider a model of partially revealing, competitive … rational expectations equilibrium with diverse information, in which the distribution of risk-aversion across individuals is … unknown. We show that when a high individual level of risk-aversion is taken as a signal for a high average level of risk …