The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

linear in time while skewness and kurtosis maintain high levels in perpetuity. Risk neutrally there is momentum in volatility … and mean reversion in skewness. Risk neutral volatility and skewness are inversely related while kurtosis is positively …For underlying asset motions calibrating skewness and kurtosis beyond the volatility it becomes possible to consider …

We contrast two different asset pricing models, where the pricing kernel either (i) increases in the volatility … dimension, reflecting investors' aversion to volatility, or (ii) could be non-monotonic in volatility, reflecting heterogeneity … in investors' beliefs. The two models yield opposite predictions about volatility tail behavior, whereby the model with …

drifts and the volatility costs of increasing the deterministic drift. From a historical perspective we also implement a mean …

volatility constrained portfolios that attractively combine other dimensions of risk with rewards … economy. When risk acceptability is completely defined by the risk distribution function and bid prices are additive for … market risk attitudes. Procedures are outlined for observing the economic magnitudes for diversification benefits reflected …

Instantaneous risk is described by the arrival rate of jumps in log price relatives. Aggregate arrivals are infinite …. There is then no concept of a mean return compensating risk exposure. The only risk-free instantaneous return is zero. All … portfolios are subject to risk and there are only bad and better ways of holding risk. The univariate variance gamma model is …

hedge the risk using positions in the market for options on a related asset and the option is then priced at the cost of …