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 …

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

When measuring market risk, credit institutions and Alternative Investment Fund Managers may deviate from equally … weighting historical data in their Value-at-Risk calculation and instead use an exponential time series weighting. The use of … exponential weighting in the Value-at-Risk calculation is very popular because it takes into account changes in market volatility …

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

We examine risk taking when the bank's preferences exhibit smooth ambiguity aversion. Ambiguity is modeled by a second … return risk. Ambiguity preferences are modeled by the (second-order) expectation of a concave transformation of the (first …-order) expected utility of profit conditional on each plausible subjective distribution of the return risk. Within this framework, the …