robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii …) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or …

and a risk management policy. Using this framework, we demonstrate the existence of equilibrium. Moreover, we clarify the … endowments in equilibrium by indifference pricing depends on the level of risk aversion, initial capital, and agents' risk limits …

probabilistic model uncertainty. In particular, I prove the existence of a three-fold tradeoff between returns, risk, and ambiguity … supported by the incomplete diversifiability of ambiguity and the existence of a tradeoff between risk and ambiguity. The … sufficient conditions that let the approximation degenerates to the traditional Ross' arbitrage pricing theory are provided …

risk aversion is sufficient. These results highlight the importance of the specification of the utility function and its …

data with a broad class of models of choice under risk and under uncertainty. Our method allows for risk loving and elation …

utility under a nonlinear expectation, and show monotonicity and continuity of utility. Risk aversion is characterized, and …

risk aversion within neoclassical expected utility theory, a constant error/tremble model and a strong utility model of …Risk aversion is traditionally defined in the context of lotteries over monetary payoffs. This paper extends the notion … of risk aversion to a more general setup where outcomes (consequences) may not be measurable in monetary terms and people …

tractability with an online calculator.Reckoning can be used as a guide to decision-making under risk. We illustrate with examples … in lotteries and insurance. We compare reckoning with expected utility and with generalized utility theories. The theory … gives a novel explanation of risk aversion using the analysis of background risks …

catastrophic risks. Economists typically model decision making under risk and uncertainty by expected utility with constant … relative risk aversion (power utility); statisticians typically model economic catastrophes by probability distributions with …