of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital …Utility and risk are two often competing measurements on the investment success. We show that efficient trade … market pricing model Sharpe (1964), are special cases of our general framework when the risk measure is taken to be the …

In this paper, some definitions of deposit risk for a financial institution are presented …

benchmark model with modest risk aversion can match moments of the variance risk premium in the data and reconcile empirical … relations between the risk-neutral variance and macroeconomic quantities and their volatilities respectively. We show that the … interplay between productivity volatility risk and ambiguity aversion is important for pricing variance risk in returns …