rely on these probability measures. Downside risk neutral probabilities allow to value assets in a simple mean …The price of any asset can be expressed with risk neutral probabilities, which are adjusted to incorporate risk … preferences. This paper introduces the concepts of downside (respectively outer) risk neutral probabilities, which are adjusted to …

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

an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …

their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty …We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …

investors, ambiguity aversion generates strong home bias in equity holdings, regardless of beliefs in the CAPM or risk aversion …

-)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 … diversification value of these assets. Uncertainty about the stringency of carbon taxes leads to lower shares of fossil fuel assets …

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 … degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk … tolerance. From this central result, we show how increasing disagreement on the state probability affects the state probability …

This paper deals with capital budgeting decisions under uncertainty. We present an Aggregate Return On Investment (AROI … which, compared with the risk-adjusted cost of capital, correctly signals wealth creation. For choosing between two mutually … exclusive projects, we derive an incremental AROI and an incremental risk-adjusted cost of capital, by means of which two …