The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR, as well as …

Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk … measure with an endogenous or exogenous benchmark. If the risk measure is modelled by a negative HARA-function, then sharing … variance and kurtosis of the risk-neutral probability distribution of the aggregate pay-off. …

Despite much work on hedging in incomplete markets, the literature still lacks tractable dynamic hedges in plausible … hedger, guided by the traditional minimum-variance criterion, aims at reducing the risk of a non-tradable asset or a … generalized "Greeks," familiar in risk management applications, as well as retaining the intuitive features of their static …

futures contracts. Their hedging demand is met by financial intermediaries who act as speculators, but are constrained in risk …-taking. Increases (decreases) in producers’ hedging demand (the risk-bearing capacity of speculators) increase the costs of hedging … 1980-2006, we show that producers’ hedging demand - proxied by their default risk - forecasts spot prices, futures prices …

stochastic. It then uses the results to explain the dynamics of hedging. Bankruptcy rules are important determinants of corporate … produce the same prices, they can have very different hedging implications. We show that empirical results on the relation …

forward hedging and vertical integration are two separate mechanisms for demand and spot price risk diversification that both … forward hedging when retailers are highly risk averse. We illustrate our analysis with data from the French electricity market. … the impact of forward markets and vertical integration on prices, risk premia and retail market shares. We point out that …

This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for … commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances …

We study risk taking on behalf of others in an experiment on a large random sample. The decision makers in our … experiment are facing high-powered incentives to increase the risk on behalf of others through hedged compensation contracts or … respond strongly to these incentives that result in an increased risk exposure of others. However, we find that the increase …

-performance relationship by manipulating her risk exposure. In a dynamic portfolio choice framework, we show that as the year-end approaches … risky asset despite its positive risk premium. Under multiple sources of risk, with both systematic and idiosyncratic risks … present, we show that optimal managerial risk shifting may not necessarily involve taking on any idiosyncratic risk. Costs of …