We extend the model of Paroush and Wolf by using a general utility and general distributions.

This book introduces new theoretical foundations under uncertainty with applications.

We present a new method of estimating the asset stochastic volatility and return. In doing so, we overcome some of the limitations of the existing random walk models, such as the GARCH/ARCH models.

This paper extends the existing estimation methods to allow empirical estimation and hypothesis testing under joint production and price uncertainty. Our approach modifies and expands the use of duality theory. Furthermore, our approach does not require the specification or estimation of the...

Without adopting restrictive assumptions, we show the impact of the output risk on the optimal hedge, output and the hedge ratio.

This paper provides a statistical methodology to estimate the impact of oil price uncertainty on food prices. In doing so, it examines the joint impact of oil price and food price uncertainties and their correlation on the food price. Also, the theoretical model was applied to the oil-based...

We devise an estimation methodology which allows preferences estimation and comparative statics analysis without a reliance on Taylor's approximations and the indirect utility function.

Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the stock market. We apply our approach to the Jamaican financial market. Our result indicates a negative weak relationship between the oil price and the stock index. - Attraverso...

We simultaneously extend the models developed by Stewart, Paroush & Wolf, and Viaene & Zilcha. That is, allowing output to adjust and using a general utility, general distributions and a two-variable-input production function, we show the impact of the cost risk and increasing risk aversion on...

Without relying on duality theory and the indirect utility function, an estimation method is devised that accommodates both price and output uncertainty. This method enables easy testing for risk neutrality. Moreover, it enables empirical comparative statics results to be derived that can be...