Due to their underlying assumptions, the standard concepts of risk aversion and preference for the present are generally defined separately and represented by scalar measures, and this implies many shortcomings. More specifically, if measured by a scalar, the risk aversion remains unchanged,...

In this paper, we consider an incomplete market framework and explain how to use jointly observed prices of the underlying asset and of some derivatives written on this assetfor an efficient pricing of other derivatives. This question involves two types of moment restrictions, which can be...

One of the objectives of the recent prudential regulation is to separate the computation of required capital for short- and long-run risks. This paper provides a coherent framework to define, compute, and update these components. We provide different examples, among which is the transition to...