(Generalized AutoRegressive Score) and GARCH models, extending them to Student's t-GARCH and t-GAS. Second, an important risk … standard option pricing inapplicable. Therefore we parametrize the investor's risk preference and use utility indifference … pricing techniques. We use Lease Square Monte Carlo simulations as a dimension reduction technique. Moreover, an investor …

natural experiment with risk sources of probability judgment error, i.e. source functions, implied by index option prices …

This paper describes results from a new experiment studying determinants and effects of economic risk-taking. In each … higher are the returns but also the higher is the risk of a crash and a loss. This setup permits us to investigate how … transparency and incentive structures – two issues intensively debated in policy circles – affect risk taking and vulnerability to …

Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … the portfolio value. Risk to LIQUIDATION means every day-t, a portion of portfolio assets-i, for integer i ϵ (1, N) is …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …