provides useful information to warn of an imminent crash risk …

financial speculation and frenzy and provides a strong theoretical background for future model design in financial and risk …

We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013 …. We evaluate a "real-minus-implied risk premium", defined as the difference between real and option-implied returns, which … reveals a doubling of the risk-aversion of investors, from 8% in the pre-crisis to 16% in the post-crisis period. Granger …

RE condition implies that the excess risk premium of the risky asset exposed to crashes is an increasing function of the … maximizing the expected log of wealth (Kelly criterion) for the risky asset and a risk-free asset. We also obtain a closed …

excess risk premium of the risky asset exposed to crashes is an increasing function of the amplitude of the expected crash … obtaining an analytic expression for maximizing the expected log of wealth (Kelly criterion) for the risky asset and a risk …