We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

generation under consideration of risk. We include a reserve market, a day-ahead market and an intraday market in stochastic … modeling and develop a multi-stage stochastic Mixed Integer Linear Program. We assess the profitability as well as the risk … exposure, quantified by the conditional value at risk metric, of trading strategies following different risk preferences. We …

implications for investors. Alpha-Uncertainty is a new pair relationship to be considered along the Risk-Return relationship … established by modern portfolio theory. Uncertainty manifests itself in popular characterizations of unexpected randomness such as … fat-tail risk, black-swans, and can help to understand the mechanisms behind the recent financial crisis. In addition to …

Recent work uses mean-variance portfolio theory to identify optimal spatial conservation planning in the face of … spatial variation in future benefits from uncertainty in climate change. Use of variance to measure risk may lead to … agents are loss averse. In this paper, we use downside risk measures to evaluate the risk-reward tradeoffs involved in …

to jump and diffusion risk are by no means the same. In an incomplete market, it is mainly ambiguity about one of the two … risk factors which drives the optimal stock weight, and the utility loss is largest if this ambiguity is ignored …