The typical portfolio theory does not distinguish investors and asset managers. Most of investments, however, are delegated to asset managers, which leads to an Agency problem. Moreover, the Agency problem faced by the investment industry is specific as the managers can manipulate the...

The typical portfolio theory does not distinguish investors and asset managers. Most of investments, however, are delegated to asset managers, which leads to an Agency problem. Moreover, the Agency problem faced by the investment industry is specific as the managers can manipulate the...

The aim of this paper is to make the case for a new emerging sub-field at the crossroads of Financial Economics and Geo-economics. The underlying thread is that with the development of financial markets and globalization, standard geopolitical and macroeconomic tools will become less and less...

Decision theory under uncertainty has developed two approaches to model aversion to ambiguity. The first approach is based on the multiple priors model and is known as maxmin expected utility (MEU) (Gilboa and Schmeidler) 1989). The second approach based on Schmeider (1989) models ambiguity...

The aim of this paper is to develop an approach to extract information about cyber risks from structured financial products. We consider decision makers that are interested in extracting information about the uncertainty of Cyber risks. The value of information can be evaluated using recently...

This paper is a first attempt to develop a methodology, consistent with non-linear probability weighting, to construct portfolios for Private Banking customers. Empirical evidence suggests that decision makers transform probability kernels in a non-linear way (Kahneman and Tversky (1992), Prelec...

This paper discusses coherent risk measures and the transformation of so-called objective probability distributions, also called distortion functions. It is argued that observed probability weighting as described in Kahneman and Tversky (1992) is not due to behavioral (irrational ?) reasons, but...