rely on these probability measures. Downside risk neutral probabilities allow to value assets in a simple mean …

neutral measure, which is also a risk-adjusted measure. Using risk preference theory, we interpret this change in probability …We show that there exists a probability measure under which the CAPM formula for expected returns holds for general … utility functions and probability distributions. This probability measure, the ``downside risk neutral'' measure, is adjusted …

averse (attracted) to the dispersion of outcomes. Cumulative prospect theory with our proposed probability weighting function …This paper presents a new two-parameter probability weighting function for Tversky and Kahneman (1992) cumulative … prospect theory as well as its special cases — Quiggin (1981) rank-dependent utility and Yaari (1987) dual model. The proposed …

In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is … method, the ruin probability can be well approximated for any gain distributions. Examples involving exponential, uniform …

static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time …

We address the problem of choosing a portfolio of policies under "deep uncertainty." We introduce the idea of belief …

define the individual degree of pessimism as an index measuring probability differences across states. We show that the … tolerance. From this central result, we show how increasing disagreement on the state probability affects the state probability … of the representative agent. We show that the divergence of opinions about the probability of occurrence of a boom may …