series patterns for currency risk management.Our approach is Bayesian where extensive use is made of Markov chainMonte Carlo … methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

exchange rates for currency risk management. Ourapproach is Bayesianwhere extensive use is made of Markov chain Monte Carlo … methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …

may incur smaller costs when takinga short-position, are less exposed to exchange rate risk, possess better information …

Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

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 … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

experiments. Contrary to the traditional view of expected utility theory, the choices can be explained in large part by previous … outcomes experienced during the game. Risk aversion decreases after earlier expectations have been shattered by unfavorable … outcomes or surpassed by favorable outcomes. Our results point to reference-dependent choice theories such as prospect theory …

risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. … dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …