the risk that can be diversified. Not surprisingly, simple examples show that this approach is typically inconsistent for … risk adverse agents. We show that it can nevertheless be recovered asymptotically when the number of sold claims goes to … infinity and the absolute risk aversion of the agent goes to zero simultaneously. This follows from a general convergence …

exogenous risk, which are optimally hedged by investment in a given financial market with respect to exponential preferences. In …-Scholes model to incomplete markets on general stochastic bases. In this setting, Malliavin's calculus which is required in the …

posteriori optimism. This paper finds that financial optimism has a significant positive effect on risk taking behaviour …. Optimistic investors choose risky portfolios over risk-free portfolios for their investments and have higher personal debt …

The last five years have witnessed a great momentum in the research into measures of financial risk. After many years …-friendly solutions have been proposed. These new measures of risk should be of great interest for investors, financial institutions as … perspective across a wide selection of topics, ranging from the critique of some currently used methods, like Value at Risk, to …

financial markets whose dynamics are governed by continuous semimartingales. Adapting standard methods that solve the utility …

We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The …