A situation in which a finite set of players can obtain certain payoffs by cooperation can be described by a cooperative game with transferable utility, or simply a TU-game. A solution for TU-games assigns a set of payoff vectors to every TU-game. Some solutions that are based on distributing...

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...