:contingent claims (CC) with risk neutral valuation and dynamic programming (DP) using a constant risk adjusted discount rate … (such as futures prices) that allow the estimation of the market price of risk or convenience yield. Even when such data do … the prices of different sources of risk …

Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …

Background: In making investment decisions, asset risk and return are two crucial criteria on which investors base … their decision. Objectives: This paper provides risk and return analysis and compares different traditional and alternative … estate, foreign exchange, cryptocurrencies, renewable energy sources, gold, and oil. Methods/Approach: The risk measures of …

This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in … static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time …

reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may … increased dependence increases aggregate prevention expenditures, but not necessarily prevention expenditures for each risk due …

direction. This writing first improves upon a recently developed, and real-life-inspired, Behavioral Finance Risk Model …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

We study Aumann and Serrano's (2008) risk index for sums of gambles that are not dependent. If the dependent parts are … similarly ordered, then the risk index of the sum is always larger than the minimum of the risk indices of the two gambles. For … negative dependence, the risk index of the sum is always smaller than the maximum. The above results agree with our intuitions …