The study at hand deals with the expectations of professional analysts and novices in the context of foreign exchange markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences between professional forecasts and judgmental forecasts...

The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...

Summary We study reward over penalty for risk ratios E [ u ( V )]/ E [ρ( V )], V ∈ V , where V ⊆ L 1 ( P ) describes a linear space of attainable returns in an arbitrage-free market, u is concave and ρ ≥ 0 is convex. It turns out that maximizing such reward over penalty ratios is...

SUMMARY For a monetary utility functional U and a coherent risk measure ρ, both with compact scenario sets in L q , we optimize the ratio α( V ): = U ( V )/ρ( V ) over an (arbitrage-free) linear sub-space V ⊆ L p , 1 ≤ p ≤ ∞, of attainable returns in an incomplete market model such...

SUMMARY The purpose of our paper is to link some results on the Choquet integrals with the theory of coherent risk measures. Using this link we establish some properties of dilatation monotone and comonotonic coherent measures of risk. In particular it is shown that on an atomless probability...

Summary Using a backward stochastic differential equation (BSDE) approach in a Brownian motion setting, we determine in an incomplete market an initial price Y 0 for a non-attainable claim ξ ∈ L p , 1 p ∞, that takes the hedging risk into account. Y 0 is chosen to be the best price such...