The determinants of venture capital investment have attracted a significant amount of attention from both academics and policymakers. We use a version of the Keuschnigg-Nielsen model for venture-capital-financed projects to condition our analysis on a reasonable set of exogenous variables but we...

This paper assesses the quantitative impact of ambiguity on the historically observed equity premium. We consider a Lucas-tree pure-exchange economy with a single agent where we introduce two key non-standard assumptions. First, the agent's beliefs about the dividend/consumption process is...

Victor prefers safety more than Ursula if whenever Ursula prefers some constant to some uncertain act, so does Victor. This paradigm, whose Expected Utility version takes the form of Arrow & Pratt's more risk averse concept, will be studied in the Choquet Uncertainty model, letting u and ? (v...

Since the 1980s, developing countries started adopting telecom reforms due to pressures from international institutions. However, Middle East and North African (MENA) countries lagged in adopting such reforms. Even after introducing telecom reforms in the MENA region beginning in 1995, not all...

We had proposed earlier a general equilibrium model with incomplete financial markets and asymmetric information, where agents forecasted prices privately without rational expectations. Consistently, they anticipated idiosyncratic sets of future prices and elected probability laws on these sets,...

We consider a pure exchange financial economy, where rational agents, possibly asymmetrically informed, forecast prices privately with no model of how they are determined. Therefore, agents face both ‘exogenous uncertainty’ on the future state of nature, and ‘endogenous uncertainty’ on...

In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM), which is a non-linear version of a risk factor model...

The recent literature on fossil energy has already stated that oil is not perfectly substitutable to other inputs, considering fossil fuel as a critical production factor in different combinations. However, the estimations of substitution elasticity are in a wide range between 0.004 and 0.64....

In this paper we use the CMM model (Chakravorty et al., 2006) in discrete time and obtain more results concerning the exhaustion time of Non-Renewable Resource (NRE), the dynamic regimes of energy prices, of the stocks of pollution. We show that NRE is exhausted in finite time and is directly...