pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that … investors, that many personally relevant risk considerations can be eliminated from the market asset pricing model. Examples … on asset pricing include a need to focus on identifying and explaining investor specific risk exposures. …

absorbed by mortgage lenders by valuing the embedded put-option in non-recourse mortgages. Our simulations generate loss …

return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … with the size of the basket. Second, since the IC is implied from option prices it is not constant over maturities and …

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model … some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty … ; contingent claim pricing ; model-uncertainty-induced utility function …

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …