Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from … Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that … risk neutral measure is the mixture of lognormal distributions. The parameters of the distributions are estimated by …

We propose a new predictor of real economic activity (REA), namely the representative investor's implied relative risk … increases as risk averse investors enter the market, leading to a decrease in market risk premium thus predicting a REA …

This paper deals with the effects of tax rate uncertaity on risk-neutral and risk-averse investment behavior. We … analyse effects of stochastic tax rates on both real and financial investment. It emerges that under risk neutrality as well … as under risk aversion, increased tax rate uncertainty has an ambiguous impact on investment behavior, depending on the …

historical and risk-neutral probabilities. The model also allows to capture the empirical properties of pricing kernels, such as … time-variation and the typical S-shape. We apply our model for two purposes. First, we analyze the risk preferences of … market participants invested in S&P 500 index options during 2001-2009. We find that risk-aversion strongly increases during …