type="main" <title type="main">ABSTRACT</title> <p>We introduce a novel approach to estimating latent oil risk factors and establish their significance in pricing nonoil securities. Our model, which features four factors with simple economic interpretations, is estimated using both derivative prices and oil-related equity...</p>

Few papers in the literature on inequality measurement deal with uncertainty, particularly when the ranking of cohorts may not be fixed. We present a set of axioms implying such a class of inequality measures under uncertainty that is a one-parameter extension of the generalized Gini mean over...

Building on the Ramsey-de Finetti idea of event exchangeability, we derive a characterization of probabilistic sophistication without requiring any of the various versions of monotonicity, continuity, or comparative likelihood assumptions imposed by Savage (1954), Machina and Schmeidler (1992),...

We introduce the concept of a conditional small world event domain--an extension of Savage's [The Foundations of Statistics, Wiley, New York, 1954] notion of a 'small world'--as a self-contained collection of comparable events. Under weak behavioral conditions we demonstrate probabilistic...

type="main" xml:lang="en" <title type="main">ABSTRACT</title> <p>We develop a multiperiod rational expectations model of securities market equilibrium in which equilibrium prices may move between periods even though it is common knowledge that no new information has arrived about ultimate security payoffs. This happens...</p>

We provide a random variable characterization of the necessary and sufficient conditions for a shift of the distribution of rate of return on the risky asset in the two asset portfolio problem to reduce demand for all risk--averse expected utility maximizing investors. We provide random variable...