uncertainty. The firm faces additional sources of uncertainty that are aggregated into a background risk. We show that the firm … always chooses its optimal debt-equity ratio to minimize the weighted average cost of capital, irrespective of the risk …. When the background risk is either additive or multiplicative, we provide reasonable restrictions on the firm's preferences …

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …

The paper studies an duopoly with risk averse firms exposed to demand uncertainty. A risk sharing market is introduced …

Within the prospect theory the paper examines production and hedging decisions of a competitive firm under price … uncertainty. We consider the prospect theory for the firm's utility function in the two moment model known as (mu … theory, mean-variance model, price uncertainty …

The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets …

firm and the degree of risk aversion. -- Exchange rate risk ; trade ; futures market ; market transparency ; value of …

distribution that captures the firm's uncertainty about which of the subjective beliefs govern the exchange rate risk. Ambiguity … profit conditional on each plausible subjective distribution of the exchange rate risk. Within this framework, we show that …