This paper analyzes the single period portfolio selection problem on the location-scale return family. The skew normal distribution, after recentering and reparameterization, is shown to be in this family. The recentered and reparameterized distribution, called factor-recentered skew normal, can...

We inject aggregate uncertainty — risk and ambiguity — into an otherwise standard business cycle model and describe its consequences. We find that increases in uncertainty generally reduce consumption, but they do not account, in this model, for either the magnitude or the persistence of the...

We study the problem of risk sharing within a household or syndicate. A household shares risky prospects using a social welfare functional. We characterize the social welfare functionals such that the household is collectively less risk averse than each member, and satisfies the Pareto principle...

This paper develops a weighted additive model for certainty equivalents of binary gambles with a segregation form, in the sense that they are decomposition into sure gains and risky gambles. The effect of adding a sure gain to the preference for a risky gamble is considered to be evaluated by...

Creditors, banks and bank regulators should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset...

Although the national media has given increased attention to the venture capital process, misconceptions continue to proliferate. One often hears about the incredible capital gains of IPO share prices. This paper refutes the myth that investors demand very high rates of return to compensate for...

En este documento se propone un modelo de equilibrio general en el que las decisiones de los agentes consumidores y firmas están sujetas a la incertidumbre existente en la tasa de interés, se asume que el comportamiento de ésta puede describirse a través de un movimiento geométrico...

Central questions in entrepreneurship and entrepreneurial finance are briefly discussed and case is made for the need for applying the behavioral finance theories and models to better understand the decision making dynamics that is involved at each stage of the entrepreneurial process. By...

En este artículo se propone una metodología que permite identificar y priorizar las capacidades de una organización para desarrollar proyectos de Investigación, Desarrollo tecnológico e Innovación (I+D+i) que por su naturaleza tienen asocia­da una alta sensibilidad al riesgo. Mediante...