An economy faces an unknown individual risk, such as the health effects of a recently discovered environmental hazard …

The problem of irreversible investment with idiosyncratic risk is studied by interpreting market incompleteness as a …

growth. At early stages of development, the presence of indivisible projects limits the degree of risk spreading …

We examine the optimal customization of a financial derivative in the presence of a background risk. This problem … includes the model of finding the optimal constant amount of a given pecuniary risk as a degenerated case. We show the … importance of this perspective with a preference-free solution for the pecuniary background risk case and a general solution for …

factor and by 0.247% for the factor of diffusion volatility. We obtain a R² value above 80%, and the jump risk factor is … explains why and how the jump risk affects options' bid-ask spread and empirically shows that the jump risk influences options …

implement risk management in the real world …

probabilistic model uncertainty. In particular, I prove the existence of a three-fold tradeoff between returns, risk, and ambiguity … supported by the incomplete diversifiability of ambiguity and the existence of a tradeoff between risk and ambiguity. The …

allows returns to be smoothed, nondiversifiable risk to be eliminated, and an ex ante Pareto improvement compared to the …

An economy faces an unknown individual risk, such as the health effects of a recently discovered environmental hazard …