: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 …

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 …

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

-)variance of power plant profits. If investors are risk-averse, these differ- ences lead to divergent investment portfolios …, breaking the equivalence of price- and quantity-based policy instruments under risk-neutrality. Using the European power sector … with increasing risk aversion. …

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk … pricing for ambiguous contracts, without compromising legitimate risk-hedging activities. While Arrow-Debreu equilibria …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …