: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 …

This paper investigates the impact of including the risk of fire in an optimal tree harvesting model at the stand level … different assumptions about hedging the risk of fire. The assumption that fire risk is fully diversifiable is contrasted with … the assumption that it can be hedged with another asset. It is conjectured that the risk-neutral probability of fire …

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 …

extent observed team decisions under risk are actually consistent with the principles of rational choice, specifically the … individuals, teams accumulate significantly more expected value at a significantly lower total risk (measured in SD). We introduce … a team decision algorithm, excess-risk vetoing, that combines simple majority voting with the right to veto alternatives …

In this paper, we extend the static portfolio choice problem with a small background risk to the case of small … partially correlated background risks. We show that respecting the theories under which risk substitution appears, except for … the independence of background risk, it is perfectly rational for the individual to increase his optimal exposure to …

Conventional wisdom suggests that optimism should be positively associated with risk taking. However, this has hardly … been directly tested in the laboratory. In this paper, we report an experiment regarding risk perception and risk taking … between optimism and risk taking are (a) pure chance and (b) imprecise probabilities. Our findings bring forth some …

This paper deals with risk measurement and portfolio optimization under risk constraints. Firstly we give an overview … of risk assessment from the viewpoint of risk theory, focusing on moment-based, distortion and spectral risk measures. We …-Gaussian features. We deal with the problem of portfolio optimization under risk constraints and lead a comparative analysis of …