We extend the analysis of risk aversion with state-dependent preferences to the Rank-dependent Expected Utility theory …. We find that in this extended theory, for two preference relations to be comparable in risk aversion, not only do their …), but they must also rank the prospective state-dependent outcomes in the same manner. We formalize this additional …

implausible risk characteristics. The authors characterize a new class of utility function whose risk parameters depend upon … can have decreasing risk aversion, and risky assets in a quadratic utility multi-asset environment do not have to be …

static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time …This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in …