finite horizon. Classical risk-neutral approaches do not accommodate the risk aversion often encountered in practice. We add … to the scarce literature on risk aversion by considering the risk measure Conditional Value-at-Risk (CVaR), which … policy and obtain structural results. The most important managerial implication is that the risk-averse optimal price is …

Average Value-at-Risk (AVaR) is a potential alternative to Value-at-Risk in the financial regulation of banking and … derive the fair return for the company's debt holders fulfilling the risk-neutral pricing constraint in closed form. Further ….g., from 2.59\% to 35.3\% in different situations, implying that the company's strategy intimately determines the default risk …

This paper studies the dynamic mean-risk portfolio optimization problem with variance and Value-at-Risk(VaR) as the … risk measures in recognizing the importance of incorporating different risk measures in the portfolio management model …