In this paper, we develop a dynamic model that captures the interaction between a firm’s cash reserves, the risk …

We consider the problem of optimal risk sharing of some given total risk between two economic agents characterized by … law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an … optimal risk sharing allocation which is in addition increasing in terms of the total risk. We next provide an explicit …

In financial economics risk-return tradeoffs show how expected rates of return and consequently asset prices are altered …: (i) Present some of the recent literature that is concerned with the effect of long run risk on returns and prices. (ii …) Develop an analytical structure that reveals the long-run risk-return relationship in nonlinear continuous time Markov …

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 …