EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"Risk neutrality"
Narrow search

Narrow search

Year of publication
Subject
All
Risk neutrality 123 Risikoneutralität 112 Theorie 58 Theory 58 Optionspreistheorie 40 Option pricing theory 39 Statistical distribution 33 Statistische Verteilung 33 Risiko 31 Risk 31 Risikoaversion 29 Risk aversion 29 Volatility 15 Volatilität 15 Estimation 13 Schätzung 13 Deutschland 9 Erwartungsnutzen 9 Expected utility 9 Germany 9 Portfolio selection 9 Portfolio-Management 9 USA 9 United States 9 Agency theory 8 Prinzipal-Agent-Theorie 8 risk neutrality 8 Börsenkurs 7 Capital income 7 Euro 7 Kapitaleinkommen 7 Share price 7 US-Dollar 7 Aktienindex 6 Aktienmarkt 6 Bond 6 Game theory 6 Rational expectations 6 Risikopräferenz 6 Risk Neutrality 6
more ... less ...
Online availability
All
Free 51 Undetermined 25 CC license 1
Type of publication
All
Article 73 Book / Working Paper 64
Type of publication (narrower categories)
All
Article in journal 56 Aufsatz in Zeitschrift 56 Working Paper 35 Arbeitspapier 34 Graue Literatur 31 Non-commercial literature 31 Aufsatz im Buch 6 Book section 6 Hochschulschrift 5 Thesis 4 Article 1 Collection of articles of several authors 1 Sammelwerk 1 research-article 1
more ... less ...
Language
All
English 113 Undetermined 12 German 10 French 2
Author
All
Kirstein, Roland 5 De Wit, Jan 4 Figlewski, Stephen 4 Harrison, Glenn W. 4 Martínez-Correa, Jimmy 4 Niemann, Rainer 4 Swarthout, J. Todd 4 Abadir, Karim Maher 3 Barbachan, José Santiago Fajardo 3 Farias, Aquiles Rocha de 3 Fleckinger, Pierre 3 Giacomini, Enzo 3 Glatzer, Ernst 3 Härdle, Wolfgang 3 Hördahl, Peter 3 Krätschmer, Volker 3 Muendler, Marc-Andreas 3 Ornelas, José Renato Haas 3 Rockinger, Michael 3 Scheicher, Martin 3 Vestin, David 3 Barletta, Andrea 2 Bental, Benjamin 2 Billot, Antoine 2 Bi̇rbi̇l, Ş. İlker 2 Buhl, Hans Ulrich 2 Bødskov Andersen, Allan 2 Chateauneuf, Alain 2 Chordia, Tarun 2 Deffains, Bruno 2 Demougin, Dominique 2 Frenk, Johannes G. 2 Gai, Prasanna 2 Gerber, Anke 2 Gilboa, Itzhak 2 Holtz, Christian 2 Häckel, Björn 2 Jitmaneeroj, Boonlert 2 Kang, Minwook 2 Kannai, Yakar 2
more ... less ...
Institution
All
HAL 2 Center for the Study of Law and Economics <Saarbrücken> 1 Danmarks Nationalbank 1 Department of Economics, University of California-San Diego (UCSD) 1 Foerder Institute for Economic Research <Tēl-Āvîv> 1 Nationale Bank van België/Banque national de Belqique (BNB) 1 Nationalekonomiska Institutionen <Göteborg> 1
more ... less ...
Published in...
All
Economic theory : official journal of the Society for the Advancement of Economic Theory 3 Journal of business economics : JBE 3 Managerial and decision economics : MDE ; the international journal of research and progress in management economics 3 Working paper series / European Central Bank ; Eurosystem 3 Discussion papers in economics 2 Econometric theory 2 Economics letters 2 Journal of Economic Behavior & Organization 2 Journal of economic behavior & organization : JEBO 2 Managerial Finance 2 Post-Print / HAL 2 SFB 649 discussion paper 2 Working paper series 2 Working paper series / European Central Bank 2 2006 Business & Economics Society International Conference ; Vol. 1 1 Advances in statistical analysis : AStA ; a journal of the German Statistical Society 1 Annual review of financial economics 1 Asia-Pacific Financial Markets 1 Bank of England Working Paper Series 1 CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute 1 CREATES research paper 1 Columbia Business School Research Paper 1 Construction Management and Economics 1 Contributions to Economics 1 Contributions to economics 1 Current topics in quantitative finance : with 23 tables 1 Danmarks Nationalbank working papers 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Discussion paper / Center for the Study of Law and Economics 1 Discussion paper / Centre for Economic Policy Research 1 Discussion papers / Department of Economics, University of California San Diego 1 Dynamic games and applications : DGA 1 E-Finanse : finansowy kwartalnik internetowy 1 ERIM Report Series Reference 1 ERIM report series research in management 1 Econometric Institute research papers 1 Economia aplicada : EA 1 Economic & financial modelling : a journal of the European Economics and Financial Centre 1 Economic Theory 1 Economica 1
more ... less ...
Source
All
ECONIS (ZBW) 120 RePEc 13 EconStor 2 ArchiDok 1 Other ZBW resources 1
Showing 1 - 50 of 137
Cover Image
Randomization and the robustness of linear contracts
Kambhampati, Ashwin; Peng, Bo; Tang, Zhihao Gavin; … - 2025
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015210831
Saved in:
Cover Image
A financial new Keynesian model
Mertens, Thomas; Zhang, Tony - 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014445018
Saved in:
Cover Image
How much is a nonearning asset with no current capital gains worth?
Salant, Stephen W.; Keller, Joshua - In: Dynamic games and applications : DGA 14 (2024) 1, pp. 7-19
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014556475
Saved in:
Cover Image
Risk neutral density estimation with a functional linear model
Carrasco, Marine; Tsafack, Idriss - In: Essays in honor of Joon Y. Park : econometric …, (pp. 133-157). 2023
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014315199
Saved in:
Cover Image
The Nash Solution as a von Neumann–Morgenstern Utility Function on Bargaining Games
Gerber, Anke - In: Homo Oeconomicus 37 (2020) 1-2, pp. 87-104
In this paper we prove that the symmetric Nash solution is a risk neutral von Neumann–Morgenstern utility function on the class of pure bargaining games. Our result corrects an error in Roth (Econometrica 46:587–594, 983, 1978) and generalizes Roth’s result to bargaining games with...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014503951
Saved in:
Cover Image
Risk-neutral Skewness, Informed Trading, and the Cross-section of Stock Returns
Chordia, Tarun - 2020
This paper uses the volatility surface data from options contracts to document a strong, robust, and positive cross-sectional relation between risk-neutral skewness (RNS) and subsequent stock returns. The differential return between high and low RNS stocks amounts to 0.17% per week....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012851240
Saved in:
Cover Image
The Nash solution as a von Neumann-Morgenstern utility function on bargaining games
Gerber, Anke - In: Homo oeconomicus : HOE ; journal of behavioral and … 37 (2020) 1/2, pp. 87-104
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012428277
Saved in:
Cover Image
Study on the systemic risk of China's stock markets under risk-neutral conditions
Dai, Shibo; Li, Handong - In: Journal of mathematical finance 9 (2019) 1, pp. 54-79
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012116669
Saved in:
Cover Image
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren; Bladt, Mogens - In: Quantitative finance 22 (2022) 4, pp. 675-689
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013367850
Saved in:
Cover Image
Risk Neutral Densities : A Review
Figlewski, Stephen - 2018
Trading in options with a wide range of exercise prices and a single maturity allows a researcher to extract the market's risk neutral probability density (RND) over the underlying price at expiration. The RND contains investors' beliefs about the true probabilities blended with their risk...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012928063
Saved in:
Cover Image
The CDS-Bond Basis
Bai, Jennie - 2018
We investigate the cross-sectional variation in the CDS-bond basis, which measures the difference between credit default swap (CDS) spread and cash-bond implied credit spread. We test several explanations for the violation of the arbitrage relation between cash bond and CDS contract, which...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012940245
Saved in:
Cover Image
Risk-neutral skewness, informed trading, and the cross section of stock returns
Chordia, Tarun; Lin, Tse-Chun; Xiang, Vincent - In: Journal of financial and quantitative analysis : JFQA 56 (2021) 5, pp. 1713-1737
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012618491
Saved in:
Cover Image
An indirect evolutionary justification of risk neutral bidding in fair division games
Güth, Werner; Pezanis-Christou, Paul - In: International journal of game theory 50 (2021) 1, pp. 63-74
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012499781
Saved in:
Cover Image
How fiduciary duty law incentivises investors to manage sustainability risks
Strakodonskaya, Liudmila - In: European journal of social security 23 (2021) 3, pp. 264-278
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014476971
Saved in:
Cover Image
Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
Giacomini, Enzo - 2017
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012966268
Saved in:
Cover Image
Fixing Risk Neutral Risk Measures
Stein, Harvey J. - 2017
In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its potential future exposures (PFEs), expected exposures (EEs), and related measures, the expected positive exposure (EPE), effective expected exposure (EEE), and the effective expected...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012973703
Saved in:
Cover Image
A non-structural investigation of VIX risk neutral density
Barletta, Andrea; Santucci de Magistris, Paolo; … - 2017
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011648627
Saved in:
Cover Image
Risk and return spillovers among the G10 currencies
Greenwood-Nimmo, Matthew; Viet Hoang Nguyen; Rafferty, Barry - 2016
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011437006
Saved in:
Cover Image
Insider trading with different risk attitudes
Daher, Wassim; Aydilek, Harun; Saleeby, Elias G. - In: Journal of economics 131 (2020) 2, pp. 123-147
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012419397
Saved in:
Cover Image
Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach
Cortés, Lina M.; Mora-Valencia, Andrés; Perote, Javier - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-15
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012666975
Saved in:
Cover Image
A Bayesian Time-Varying Approach to Risk Neutral Density Estimation
Casarin, Roberto - 2015
In this paper we expand the literature of risk neutral density estimation across maturities from implied volatility curves, usually estimated and interpolated through cubic smoothing splines. The risk neutral densities are computed through the second derivative as in Panigirtzoglou and...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013020748
Saved in:
Cover Image
Moral hazard and endogenous monitoring
Setty, Ofer - 2015
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011346151
Saved in:
Cover Image
Risk Neutrality Regions
Kannai, Yakar - 2015
The notion of risk neutrality is a basic element in standard textbook treatments of the economics of risk. In the single variable case, it is well known that an Expected Utility maximizer will be risk neutral toward all distributions if and only if her NM (von Neumann Morgenstern) index is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013031465
Saved in:
Cover Image
Dynamic analysis of implied risk neutral density
Aloulou, Abderrahmen; Boujelbene, Younes - In: International journal of monetary economics and finance 12 (2019) 1, pp. 39-58
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012021790
Saved in:
Cover Image
Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010468362
Saved in:
Cover Image
Exploring the CDS-bond basis
De Wit, Jan - 2006
Markets for credit default swaps (CDS) and bonds of the same reference entity and maturity are bound by no-arbitrage conditions. Indeed, using a large data set we show that CDS premia and par asset swap spreads are mostly cointegrated. Nonetheless, the average CDS-bond basis (i.e. the difference...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011618421
Saved in:
Cover Image
Application of a General Risk Management Model to Portfolio Optimization Problems with Elliptical Distributed Returns for Risk Neutral and Risk Averse Decision Makers
Kaynar, B.; Birbil, S. Ilker; Frenk, J. B. G. - 2013
In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014026080
Saved in:
Cover Image
Analysis of approaches to modelling of attitude to risk in normative decision making methods
Uzgha-Rebrov, Oleg; Karaseva, Ekaterina - In: International journal of risk assessment and management … 21 (2018) 1, pp. 21-41
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011882688
Saved in:
Cover Image
Risk-neutral densities : a review
Figlewski, Stephen - In: Annual review of financial economics 10 (2018), pp. 329-359
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011959837
Saved in:
Cover Image
Risk-Neutral Densities : A Review
Figlewski, Stephen - 2018
Trading in options with a wide range of exercise prices and a single maturity allows a researcher to extract the market's risk-neutral density (RND) over the underlying price at expiration. The RND contains investors' beliefs about the true probabilities blended with their risk preferences, both...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012908352
Saved in:
Cover Image
Crash risk and risk neutral densities
Chen, Ren-Raw; Hsieh, Pei-lin; Huang, Jeffrey - In: Journal of empirical finance 47 (2018), pp. 162-189
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012103473
Saved in:
Cover Image
The effect of risk aversion on the outcomes of inspection games
Deutsch, Yael; Golany, Boaz - In: Journal of the Operational Research Society 69 (2018) 5, pp. 645-660
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012225780
Saved in:
Cover Image
A Non-Structural Investigation of VIX Risk Neutral Density
Barletta, Andrea - 2018
We propose a non-structural method to retrieve the risk-neutral density (RND) impliedby options on the CBOE Volatility Index (VIX). The methodology is based on orthogonalpolynomial expansions around a kernel density and yields the RND of the underlyingasset without the need for a parametric...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012934336
Saved in:
Cover Image
New results on optimal prevention of risk averse agents
Menegatti, Mario - In: Economics Bulletin 32 (2012) 3, pp. 2166-2173
This note shows that there exists a threshold level of optimal prevention for a risk neutral agent which separates cases where a risk averse agent exerts less effort in prevention than a risk neutral agent and cases where she exerts more effort. We also show that the risk averse agent makes...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011278546
Saved in:
Cover Image
Does aggregate riskiness predict future economic downturns?
Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - 2012 - This draft: March 2012
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009625926
Saved in:
Cover Image
Estimating relative risk aversion, risk-neutral and Real-world densities using Brazilian Real currency options
Ornelas, José Renato Haas; Barbachan, José Santiago … - 2012
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10009532137
Saved in:
Cover Image
Density Functionals, with an Option-Pricing Application
Abadir, Karim Maher - 2012
We present a method of estimating density-related functionals, without prior knowledge of the density's functional form. The approach revolves around the specification of an explicit formula for a new class of distributions which encompasses many of the known cases in statistics, including the...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013112440
Saved in:
Cover Image
Conjectures between two cournot firms with symmetric information and their risk-taking behaviours
Ryu, Suyeol; Kim, Iltae - In: Malaysian journal of economic studies 54 (2017) 2, pp. 223-234
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011825806
Saved in:
Cover Image
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities Using Brazilian Real Currency Options
Ornelas, José Renato Haas - 2011
Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013120276
Saved in:
Cover Image
Caught by the Tail : Tail Risk Neutrality and Hedge Fund Returns
Brown, Stephen J. - 2011
We propose a simple and yet robust measure of tail neutrality. By this measure, hedge funds are more sensitive to market risk when the market experiences a substantial decline. This is also true when we consider a number of distinct hedge fund styles. This source of risk is not diversifiable,...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013124634
Saved in:
Cover Image
Risk neutrality regions
Kannai, Yakar; Selden, Larry; Kang, Minwook; Wei, Xiao - In: Journal of mathematical economics 62 (2016), pp. 75-89
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011664988
Saved in:
Cover Image
A robust method to retrieve option implied risk neutral densities for defaultable assets
Leduc, Guillaume; Orosi, Greg - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 212-224
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011742316
Saved in:
Cover Image
Exploring the CDS-Bond Basis
De Wit, Jan - 2010
Markets for credit default swaps (CDS) and bonds of the same reference entity and maturity are bound by no-arbitrage conditions. Indeed, using a large data set we show that CDS premia and par asset swap spreads are mostly cointegrated. Nonetheless, the average CDS-bond basis (i.e. the difference...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013137436
Saved in:
Cover Image
Parametric estimation of risk neutral density functions
Grith, Maria; Krätschmer, Volker - 2010
This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation methods for the risk neutral density functions...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10008663375
Saved in:
Cover Image
On the descriptive value of loss aversion in decisions under risk
Ert, Eyal; Erev, Ido - 2010
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003933294
Saved in:
Cover Image
Risk-neutral monopolists are variance-averse
Kirstein, Roland - 2009
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015206057
Saved in:
Cover Image
Risk-Neutral Monopolists are Variance-Averse
Kirstein, Roland - 2009
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013158849
Saved in:
Cover Image
Solvency regulation and contract pricing in the insurance industry
Affolter, Ines - 2009
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003889157
Saved in:
Cover Image
Risk-neutral monopolists are variance-averse
Kirstein, Roland - 2009
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10003830889
Saved in:
Cover Image
Credibility and Monitoring : Outsourcing as a Commitment Device
Bental, Benjamin; Deffains, Bruno; Demougin, Dominique - 2009
We analyze an environment plagued by double moral hazard where the worker's effort level and the employer's monitoring level are not contractible. In such an environment, the employer tends to over-monitor thereby inducing low effort. To ease the latter problem, the employer may choose to...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014046713
Saved in:
  • 1
  • 2
  • 3
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...