This paper studies the comparative statics regarding changes in risk on Nash's solution to bargaining games with stochastic outcome and disagreement points. When absolute risk tolerance is linear with constant slope, the Nash's solution to bargaining with risky outcomes and risky disagreement...

We apply the aggregation property of Identical Shape Harmonic Absolute Risk Aversion (ISHARA) utility functions to analyze the comparative statics properties of a bargaining model with uncertainty. We identify sufficient and necessary conditions under which an increase in one's degree of risk...

This paper proposes a framework that decomposes the market risk into three components: upside, downside, and tail risk. Their risk premiums can be estimated using information from either the index options market or the stock market. The estimated premiums from both markets share two important...