We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they … will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a … decision made with and without some exogenous background risk, it is often easier to compare the decision made to one made with …

Estimates of agents' risk aversion differ between market studies and experimental studies. We demonstrate that the … background wealth as well as across risky outcomes: Risk aversion is similar whenever similar degrees of narrow framing is … assumed in either setting. Risk aversion, narrow framing, background wealth, laboratory experiments, market studies, equity …

A sensitivity analysis of the impact of Cumulative Prospect Theory (CPT) parameters on a Mean/Risk efficient frontier …

This paper extends Jiang, et al. (2010), Guo, et al. (2017), and others by investigating the impact of background risk … characterizations of the mean-variance boundary and mean-VaR efficient frontier in the presence of background risk. We also consider the … case with a risk-free security. Finally, we extend our work to the non-normality situation and examine the economic …

Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically … stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the …

admissible, whereas our test classifies the portfolio as significantly non-optimal for every risk averter …

is done in a one-period economy with one risk-free asset and one risky asset, and the reference point corresponds to the … terminal wealth arising when the entire initial wealth is invested into the risk-free asset. When it exists, the optimal … holding is a function of a generalized Omega measure of the distribution of the excess return on the risky asset over the risk …