pricing kernel with all underlying risk factors, we decompose the expected stock return into four risk premiums related to the …

This paper presents an optimal allocation problem in a financial market with one risk-free and one risky asset, when … the market is driven by a stochastic market price of risk. We solve the problem in continuous time, for an investor with a … Constant Relative Risk Aversion (CRRA) utility, under two scenarios: when the market price of risk is observable (the full …

meteorological forecasts or the implied market price of risk (MPR) are often not incorporated. We adopt a risk neutral approach (for … Risk Premiums (RPs) implied from either the information MPR gain or the meteorological forecasts. The size of RPs is …. -- Weather derivatives ; seasonal variation ; temperature ; risk premia …

. Concerning the impact of the index dynamics, we emphasize that it is important to distinguish between jump and diffusion risk …. The amount of (downward) jump risk reduces the cap rates but its overall impact on the expected utility is ambiguous …