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) utility functions. We illustrate the consequences of this...

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) utility functions. We illustrate the consequences of this...

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008-2015, joint default probabilities based on CDS...

In an ideal world asset managers would be perfectly aligned with their investors via an optimal incentive contract. In the current crisis this does not seem the case, so it is worthwhile to investigate how this can be improved upon. In the theory of delegated management this optimal (incentive)...

In an ideal world, the financial interests of asset managers would be perfectly aligned with those of their investors via optimal incentive contracts. In the real world, this is often not the case. It is worthwhile investigating how to improve the current situation. In the theory of delegated...