This paper examines the behavior of the competitive firm under correlated price and background risk when a futures … market exists for hedging purposes. We show that imposing the background risk, be it additive or multiplicative, on the firm … has no effect on the separation theorem. The full-hedging theorem, however, holds if the background risk is independent of …

Building on previous studies on perceptions of inequality, welfare and risk we investigate the structure of individuals …' rankings of uncertain prospects in terms of risk and their relationship to individual preferences. We examine three interlinked … propositions that are fundamental to the standard economic approach to risk: (i) that rankings by risk are simply the reverse of …

Building on previous studies on perceptions of inequality, welfare and risk we investigate the structure of individuals …' rankings of uncertain prospects in terms of risk and their relationship to individual preferences. We examine three interlinked … propositions that are fundamental to the standard economic approach to risk: (i) that rankings by risk are simply the reverse of …

It is well known that risk increases the value of options. This paper makes that precise in a new way. The conventional …

This paper investigates the impact of multiplicative background risk on an investor's portfolio choice in a mean …-variance framework. We also study the efficient boundary frontiers with and without risk-free security. …

This paper investigates the impact of background risk on an investor’s portfolio choice in a mean-VaR, mean-CVaR and … in the presence of background risk. We also consider the case with a risk-free security. …

This study analyzes individual portfolio selection in the presence of background risk. Under the expected utility … portfolio frontier characteristic given dependently additive background risk. The main findings include the two-fund separation … property, portfolio frontier shapes, and a portfolio variance comparison between situations with and without background risk …

aggregate portfolio that lie on the mean–variance frontier. Importantly, they assume that the investor only faces portfolio risk …. In practice, however, many individuals also face background risk. Accordingly, our paper expands upon theirs by … considering the case where the investor faces background risk. Our contribution is threefold. First, we provide an analytical …

extent observed team decisions under risk are actually consistent with the principles of rational choice, specifically the … principles of <i>Expected Utility Theory</i> (EUT) and of <i>Portfolio Selection Theory</i> (PST). The experiment is performed …. Compared to individuals, teams accumulate significantly more expected value at a significantly lower total risk (measured in SD …

and their effective mitigation measures and to develop a risk management framework which the international investors …. Almost all mitigation measures have been perceived by the survey respondents as effective. A risk model, named Alien Eyes …' Risk Model, which shows the hierarchical levels of the risks and the influence relationship among the risks, is also …