dynamics of the system under study, risk and time preferences, risk management strategies and normative views pertaining to …

values for the market price of risk and the equity premium. …

Unlike standard derivatives instruments, correlation products contain nonseparable risk, meaning that the price … sensitivity of one risk factor is a function of the level of another risk factor. This article outlines the pricing and hedging of … one type of correlation product, the differential swap, to show how nonseparable risk may escape traditional methods of …

choice under risk. Various combinations of these approaches are used with expected utility and rank-dependent theory to …

endogenous responses to the fundamentals driving asset prices. When agents are risk-averse they need to make forecasts of the … time in agents¡¯ estimates of risk. …

of choice under risk. The axiomatic foundation of Yaari's non-expected utility approach permits the formulation of a …'s attitude towards risk from its attitude towards wealth and is consistent with experimental evidence on decision-making under … wealth and is compatible with either risk aversion or risk inclination. This appealing feature of the dual theory allows us …