capitalization, return on assets, leverage, and volatility. A range of overconfidence proxies is employed, including changes in …

ensures that the flexible risk response concept under conditions of improbable uncertainty is taken into account when …

strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …

. 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 expectations and risk premiums in a new asset class. Bootstrap …-based confidence bands are estimated in order to validate the results. Investors are heterogeneous in their risk profiles and …

This paper enhances the calibration procedure for pricing spread options with liquidity risk. The novelty is the use of …