developments on global food markets have increased food price volatility, which puts in particular low income households at risk …. When small-scale farmers allocate their labour time over different income generating activities, they face the risk of …

volatility as having its own stochastic process, broadens the applications into derivative pricing purposes, risk assessment and … reports risk and portfolio measures, extracts conditional one-step-ahead moments (smoothing), forecast one … volatility. Observed market prices and implied volatilities establish market risk premiums. The analysis adds insight and enables …

This paper treats the risk-averse optimal portfolio problem with consumption in continuous time for a stochastic … the stock-fraction due to vanishing volatility. Main modifications for the usual constant relative risk aversion (CRRA …

and exposure to market risk. As an example we simulate the optimal acquisition of two correlated assets and compare it to …

overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk …

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature …