The value at risk measure attempts to summarize in a single number market value risk of a portfolio of financial assets …

uncertainty. The firm faces additional sources of uncertainty that are aggregated into a background risk. We show that the firm … always chooses its optimal debt-equity ratio to minimize the weighted average cost of capital, irrespective of the risk …. When the background risk is either additive or multiplicative, we provide reasonable restrictions on the firm's preferences …

The prospect theory is one of the most popular decision-making theories. It is based on the S-shaped utility function …, unlike the von Neumann and Morgenstern (NM) theory, which is based on the concave utility function. The S-shape brings in … mathematical challenges: simple extensions and generalizations of NM theory into the prospect theory cannot be frequently achieved …

Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty: a random asset price … and inflation risk. Both sources of uncertainty make it difficult to stabilize consumption over time. However, investors … can enter risk-sharing markets, such as futures markets, to manage these risks. We develop a dynamic risk management model …

general view of constant relative risk aversion to investigate on different equivalence relations. Then we compare our results …

impact of economic risk and risk preferences upon regional allocation of investments. The source of risk stems from the … upon the firms' risk preferences. As a result regional agglomeration of investments may occur although the objective of the … elasticity of risk aversion. Elements of risk preferences beyond risk aversion prove to be very important to evaluate regional …

The paper studies an duopoly with risk averse firms exposed to demand uncertainty. A risk sharing market is introduced …