relatively under investigated area in the risk management literature. It shows that several factors related to maximizing the …

In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We … establish that Abel's result on the impact of doubt on the risk premium is not correct in general; see Abel [2002. An … introduce, on the set of subjective probability beliefs, market-price-of-risk dominance concepts and we relate them to well …

and Stiglitz 'model. In this case, we show that the optimal contract exhibits a deductible for the high health risk type … low health risk type. …

We study imperfect competition between insurers in a multiple-risk environment. In the absence of asymmetric …

françaises durant la période 2005-2006 et testons le « risk-relevance » de ces trois mesures. Nous démontrons que la volatilité … performance and risk very differently, especially for companies with significant exposure to changes in fair values of financial … 2005 to 2006, and test the risk-relevance of these different volatility measures. We find that for the average bank, the …

We create an analytical structure that reveals the long-run risk-return relationship for nonlinear continuous … eigenfunction term. The eigenvalue encodes the risk adjustment, the martingale alters the probability measure to capture long … components of cash flows induce changes in the corresponding eigenvalues and eigenfunctions, we reveal a long-run risk …

This article applies a two-step conditional Bayesian approach to hedge fund risk. First, a mixture or-two normal …