We study the optimal insurance demand in the μ,σ space when the decision-maker faces a first-order risk increase. In particular, we investigate the effect of an increase in the expected damage when the variance is held constant. An unambiguous result is derived on insurance demand that differs...

In this letter, we show that the results presented by Jindapon and Neilson (2007) for changes in risk à la Ekern (1980) can be generalized to mean-preserving stochastic dominance changes, with appropriate and simple additional conditions on the utility function.

In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in terms of copula functions. We then address the...

Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of conditional risk aversion to orders of conditional dependent...

In this paper we prove that partial-moments-based performance measures (e.g., Omega, Kappa, upside-potential ratio, Sortino–Satchell ratio, Farinelli–Tibiletti ratio), value-at-risk-based performance measures (e.g., VaR ratio, CVaR ratio, Rachev ratio, generalized Rachev ratio), and other...

We study the effect of an asymmetric environment on risk sharing. In our model, entrepreneurs consider undertaking risky projects in the real sector as well as selling part of their projects to investors. To capture the idea of an asymmetric environment, the returns on the alternative risk-free...