Define the riskiness of a gamble as the reciprocal of the absolute risk aversion (ARA) of an individual with constant ARA who is indifferent between taking and not taking that gamble. We characterize this index by axioms, chief among them a “duality” axiom which, roughly speaking, asserts...

Consider any investor who fears ruin facing any set of investments that satisfy no-arbitrage. Before investing, he can purchase information about the state of nature in the form of an information structure. Given his prior, information structure 'a' is more informative than information structure...

Consider any investor who fears ruin facing any set of investments that satisfy no-arbitrage. Before investing, he can purchase information about the state of nature in the form of an information structure. Given his prior, information structure 'a' is more informative than information structure...

Consider any investor who fears ruin facing any set of investments that satisfy no-arbitrage. Before investing, he can purchase information about the state of nature in the form of an information structure. Given his prior, information structure is more informative than information structure if...

In order to better understand decision maker's perceptions of the importance of attributes, Goldstein (1990) differentiates between global and local interpretations of attribute importance. While the appreciation for the distinction is growing, research on the relationship between measures of...

Traditional portfolio optimization models specify placement of capital as rather irrevocably and fully at risk through investment horizon(s) or continuously. Under this constraint, asset class allocation typically serves as primary mode of diversification, pursuing risk moderation by seeking to...

From the painful unwinding of the S&L crisis to the onset of the most recent recession, equity and bond-friendly secular declines in interest and inflation rates gave the investing masses license to stretch Markowitz's Modern Portfolio Theory beyond its contextual foundations and to extrapolate...

A dynamic microeconomic model is presented that establishes the price and unit sales evolution of heterogeneous goods consisting of successive homogenous product generations. It suggests that for a fast growing supply the mean price of the generations are governed by a logistic decline towards a...

As part of a staged pedagogic strategy, Faff (2015, 2017) argue for the value of reverse engineering (RE) existing papers into the pitching research template. Extending this literature, the current paper outlines a “pitching research” “lite” procedure, founded on a basic RE strategy....