How does risk tolerance vary with stake size? This important question cannot be adequately answered if framing effects … coherent change in relative risk aversion is observed for losses. The increase in relative risk aversion over gains cannot be …

decision making under risk. Both theories incorporate well-known deviations from Expected Utility Maximization such as the … Allais paradox or the fourfold pattern of risk attitudes. Stochastic Expected Utility Theory parsimoniously extends the …

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …