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Coherent Measures of Risk from a General Equilibrium Perspective

Herings, P. Jean-Jacques; Csóka, Péter; Koczy, Laszlo A. - 2011

Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation invariance are recent tools in risk management to assess the amount of risk agents are exposed to. If they also satisfy law invariance and comonotonic additivity, then we get a...

Persistent link: https://www.econbiz.de/10014181761

Radner equilibria under ambiguous volatility

Beißner, Patrick - 2013

alters to an endogenous property. Only mean unambiguous claims equivalently satisfying the classical martingale …

Persistent link: https://www.econbiz.de/10010212527

Coherent measures of risk from a general equilibrium perspective

Csoka, Peter (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003435485

Optimal Risk Budgeting under a Finite Investment Horizon

Lopez de Prado, Marcos - 2019

Growth Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The GOP literature typically considers risk-neutral...

Persistent link: https://www.econbiz.de/10012905108

Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)

Lopez de Prado, Marcos - 2015

Growth Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. How it is also known in practice GOP is too risky. We explain in this talk that the reason is in practice the investment horizon is finite and practitioners account for risk more explicitly. We...

Persistent link: https://www.econbiz.de/10013020224

Coherent price systems and uncertainty-neutral valuation

Beißner, Patrick - 2012

and the existence of an equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove … price systems ; arbitrage ; equivalent symmetric martingale measures set (EsMM set) ; symmetric martingales ; Girsanov for G …

Persistent link: https://www.econbiz.de/10009512789

Local risk-minimization under transaction costs

Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998

We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...

Persistent link: https://www.econbiz.de/10009576212

Informational Size and Incentive Compatibility with Aggregate Uncertainty

McLean, Richard P.; Postlewaite, Andrew - 2003

In McLean and Postlewaite (2002), we analyzed pure exchange economies with asymmetrically informed agents. We defined a notion of informational size and showed that, when the aggregate information of all agents resolves nearly all the uncertainty regarding the state of nature, the conflict...

Persistent link: https://www.econbiz.de/10014089832

Elements of Economics of Uncertainty and Time with Recursive Utility

Aase, Knut K. - 2021

We address how recursive utility affects important results in the theory of economics of uncertainty and time, as compared to the standard model, where the focus is on dynamic models in discrete time. Several puzzles associated with the standard theory are less puzzling with recursive utility,...

Persistent link: https://www.econbiz.de/10013225317

Optimal Risk Sharing in Society

Aase, Knut K. - 2022

We consider risk sharing among individuals in a one-period setting under uncertainty, that will result in payoffs to be shared among the members. We start with optimal risk sharing in an Arrow-Debreu economy, or equivalently, in a Borch-style reinsurance market. From the results of this model we...

Persistent link: https://www.econbiz.de/10013308996

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