Similar Search Results

Existence and Uniqueness of Recursive Equilibria With Aggregate and Idiosyncratic Risk

Proehl, Elisabeth - 2020

In this paper, I study the existence and uniqueness of recursive equilibria in economies with aggregate and idiosyncratic risk. Rather than relying on compactness to establish existence, I exploit the monotonicity property of the equilibrium model and rely on arguments from convex analysis. This...

Persistent link: https://www.econbiz.de/10012851345

Coherent Measures of Risk from a General Equilibrium Perspective

Herings, Peter Jean-Jacques; Csóka, Péter; Kóczy, … - 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

Coherent measures of risk from a general equilibrium perspective

Csoka, Peter (contributor); … - 2006

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

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

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

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

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

Brownian Equilibria under Knightian Uncertainty

Beißner, Patrick - 2013

This paper establishes, in the setting of Brownian information, a general equilibrium existence result in a heterogeneous agent economy. The existence is generic among income distributions. Agents differ moreover in their stochastic differential formulation of intertemporal recursive utility....

Persistent link: https://www.econbiz.de/10013091317

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

Analyzing Equilibrium in Incomplete Markets with Model Uncertainty

Yoshikawa, Daisuke - 2015

In this paper, we analyze equilibrium in incomplete markets of random endowments by adopting utility indifference pricing and utility-based pricing. Addressing model uncertainty, we also consider agents who adopt max/min expected utility and a risk management policy. Using this framework, we...

Persistent link: https://www.econbiz.de/10013018753