We introduce three new families of reward-risk ratios, study their properties and compare them to existing examples … members only depend on the distribution of a return. In the second part of the paper we provide an overview of existing reward-risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

investment's Value-at-Risk as a reasonable calculation of the worst threat an action appears to make possible, and its return … offer. In exploring the extension of the Value-at-Risk approach from applications to investments in financial assets to … applications to investments in real assets, the properties of Value-at-Risk as a risk measure are reviewed. Recognizing that Value-at-Risk …

Most textbook finance literature assumes risk to be the standard deviation of returns (volatility), which is not only … is consistent with investors’ actual perception of risk. Our method is presenting investors return distributions with … different risk characteristics for which they have to state their perceived risk and make investment decisions. Our results hint …

We study the effect of variation in correlation on investment decision in an experimental two asset application … attributed to common behavioral bias in financial decision. Field implications of the results are discussed …

-)cyclical equity premium. We calibrate the level of ambiguity aversion to match only the first moment of the risk-free rate in data … levels of risk aversion. We find that this simple modification of a Lucas-tree model accounts for a large part of the …