In this paper portfolio allocation strategies based onn a recently developed autoregressive conditional heteroscedasticity model (QTARCH) are constructed for the US and the UK and compared with strategies relying on the conventional Markowitz approach.

To obtain the maximum benefits from diversification, financial theory suggests that investors should invest internationally because of the larger potential for risk reduction stemming, from the lower correlation existing between assets of different countries. The question that we raise in this...

This article examines, under the Dual Theory of Choice (Yaari (1987)), the classical results and their extensions on self-insurance, self-protection and market insurance obtained by Ehrlich and Becker (1972) under the expected utility hypothesis. In particular, background risk, non-reliability,...

This survey compares different portfolio selection frameworks, namely the common mean-variance analysis versus different mean-downside risk analysis, to determine which of these frameworks leads to the most efficient portfolio selection.

The paper reviews the evolution in insurance economics over the past 25 years, by first recalling the situation in 1973, then presenting the developments and new approaches which flourished since then. The paper argues that these developments were only possible because steady advances were made...

In this paper, we investigate the optimal timing and location for deep geological disposal of nuclear waste. Our model is based on the real options approach to investment under uncertainty. In this context, the problem is similar to the optimal exercise policy for a perpetual American spread option.

In this paper, we present a version of the multivariate risk premium for additive risks and the necessary and sufficient conditions to compare global attitudes towards multivariate risk. The link between this risk premium and well-known partial multivariate risk premiums is then investigated.

This paper presents an experimental investigation of risk taking in the domain of losses. The experiments are conducted with students in several universities during introduction rudiments to expected utility theory and risk behaviour. The results are partly compatible with expected utility...

The aims of this study are (i) to identify the main determinants of the demand for French Premiere Division football matches using all matches played during the 1997/1998 season, (ii) to estimate a team-specific probability of success, and (iii) to propose an updating process for the intra-match...

Severe natural catastrophes in the early nineties have brought about a lack of financial capacity in the catastrophe line of the global reinsurance market. The finance industry reacted to this situation by issuing innovative products designed to spread the excess risk more widely among...