We present the optimal consumption and investment strategy for an investor, endowed with labor income, searching to maximize utility from consumption and terminal wealth when facing a binding capital constraint of a European (constraint on terminal wealth) or an American (constraint on the...

This paper extends the work of Yuen et al. (2013), who obtained explicit results for the discount-free Gerber–Shiu function for a compound binomial risk model in the presence of delayed claims and a randomized dividend strategy with a zero threshold level. Specifically, we establish a...

In this paper we analyze insurance demand when the utility function depends both upon final wealth and the level of losses or gains relative to a reference point. Besides some comparative statics results, we discuss the links with first-order risk aversion, with the Omega measure, and with a...

In this paper, we examine the impact of investors' attention to COVID-19 on stock market returns and the moderating effect of national culture on this relationship. Using daily data from 34 countries over the period 23 January to 12 June 2020, and measuring investors' attention with the Google...

Bitcoin Pricing Kernels (PKs) are estimated using a novel data set from Deribit, the leading Bitcoin options exchange. The PKs, as the ratio between risk-neutral and physical density, dynamically reflect the change in investor preferences. Thus, the PKs improve the understanding of investor...

This paper investigates a dynamic liability-driven investment policy for defined-benefit (DB) plans by incorporating the loss aversion of a sponsor, who is assumed to be more sensitive to underfunding than overfunding. Through the lens of prospect theory, we first set up a loss-aversion utility...

Expected returns, variances, betas, and alphas are all non-linear functions of the investment horizon. This seems to be a fatal conceptual problem for the capital asset pricing model (CAPM), which assumes a unique common horizon for all investors. We show that under the standard assumptions, the...

Financial risk aversion and financial risk tolerance are sometimes considered to be ‘opposite sides of the same coin’, with the implication being that risk aversion (a term describing the unwillingness of an investor to take risks based on a probability assessment) and risk tolerance (an...

A company's cyber defenses are based on a secure infrastructure and risk-aware behavior by employees. With rising cyber threats and normative training efforts showing limited impact, raising cyber risk awareness is emerging as a challenging effort. The review of the extant literature on...

This study examines the impact of risk models and investors' risk aversion on the selection of community solar portfolios. Various risk models to account for the volatility in the electrical power output of community solar, namely variance (Var), SemiVariance (SemiVar), mean absolute deviation...