This paper extends Meyer's (1987) location-scale family with general n random seed sources. Firstly, we clarify and generalize existing results to this multivariate setting. Some useful geometrical and topological properties of the location-scale expected utility functions are obtained....

Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some behavior foundations for various types of VaR models, including VaR and conditional-VaR, as...

Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific groups of rational investors? To answer this question, in this paper we establish some behavior foundations for various types of VaR models, including VaR and conditional-VaR, as...

Options are believed to contain unique information about the risk-neutral moment generating function (MGF hereafter) or the risk-neutral probability density function (PDF hereafter). This paper applies the wavelet method to approximate the risk-neutral MGF of the underlying asset from option...

This paper derives an equilibrium formula for pricing European options and other contingent claims which allows incorporating impacts of several important economic variable on security prices including, among others, representative agent preferences, future volatility and rare jump events. The...

The paper by C. Ma [1] contains several errors. First, statement and proof of Theorem 2.1 on the existence of intertemporal recursive utility function as a unique solution to the Koopmans equation must be amended. Several additional technical conditions concerning the consumption domain,...