-free and are relevant to many fields encountering catastrophic risk analysis, such as, perhaps most noticeably, insurance and … risk management. …

catastrophic risks. Economists typically model decision making under risk and uncertainty by expected util- ity with constant … relative risk aversion (power utility); statisticians typi- cally model economic catastrophes by probability distributions with …

dependence on risk aversion, Sharpe ratio of the risky asset, time horizon, initial wealth and contribution rate. Numerical …

dependence on risk aversion, Sharpe ratio of the risky asset, time horizon, initial wealth and contribution rate. Numerical …

difficult problem of selecting the individual's risk aversion coefficient into the easiest task of choosing an appropriate … but not trivial results that the mean-variance inefficiency decreases with the risk aversion of the individual and …

An optimisation framework is proposed to enable investors to select the right risk measures in portfolio selection … obtained if modified value-at-risk, variance, or semi-variance is concerned whereas emphasising only skewness, kurtosis or …

The authors describe a classroom experiment that motivates student understanding of behavior toward risk and its effect … on money demand. In this experiment, students are endowed with an income stream that they can allocate between a risk …. When volatility of the risky fund increases, reallocating to the risk-free fund results in an increase in aggregate money …

French (FF) factor model with a special focus on the time variation in risk and correlation between stocks returns and … the framework of Markowitz's mean-variance portfolio theory. We outline and compare the out-of-sample performance of these …

positive relationship between risk taking and retirement fl exibility is weakened - and under some conditions even turned … around - if not only capital-market risks but also productivity risks are considered. Productivity risk in combination with a … labour income, reducing the willingness of consumers to bear risk. Moreover, it turns out that general-equilibrium effects …