Comonotone additivity for two price economy bid and ask prices motivates combining bid prices for call options with the ask prices for puts and the converse to construct two densities (termed lower and upper) reflected by these prices. The two densities scaled to a unit mean are here linked by...

Risk acceptability is generalized on redefining positivity as membership in a convex cone containing the unit constant. A further generalization moves from away from convexity towards just being a cone. The result is the formation of the concept of Attractive Investment Opportunities (AIO). For...

Risk neutral variance term structures are characterized by their time elasticities. They are synthesized by space scaling and time changing self decomposable laws at unit time. Monotone time elasticities are modeled using exponential functions while gamma functions permit humps. Results for both...

The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear expectation. Both the static and dynamic problems are addressed using distortions of tail probabilities or distortions of tail measures. The multivariate static problem is solved in the...