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- Biblioteca Digitais de Teses e Dissertações da USP
- Fundação Getúlio Vargas
- Instituto Politécnico de Lisboa
- Universidade de Adelaide
- Springer Berlin / Heidelberg
- Universidade Carlos III de Madrid
- Banco Mundial
- Instituto Superior de Economia e Gestão
- Harvard University
- Universidade Cornell
- Society for Industrial and Applied Mathematics (SIAM)
- Mais Publicadores...

## Determinação entrópica do preço racional da opção européia simples ordinária sobre ação e bond: uma aplicação da teoria da informação em finanças em condição de incerteza; Entropic approach to rational pricing of the simple ordinary option of european-type over stock and bond: an application of information theory in finance under uncertainty

Fonte: Biblioteca Digitais de Teses e Dissertações da USP
Publicador: Biblioteca Digitais de Teses e Dissertações da USP

Tipo: Tese de Doutorado
Formato: application/pdf

Publicado em 17/12/1999
Português

Relevância na Pesquisa

56%

#Densidade neutralizadora do preço da incerteza#Derivative#Derivativo#Entropia#Entropy#Information Theory#Opção#OPtion#Preço racional#Rational price#risk-neutral density funtion

Esta tese promove uma integração entre Finanças e Teoria de Informação para criação de um ambiente alternativo para a determinação do preço racional da opção européia simples ordinária sobre ação e ativo de renda fixa (bond). Uma das características deste novo ambiente de determinação de preço racional é poder continuar utilizando o cálculo newtoniano em vez do estocástico. Cria uma notação matemática precisa e completa para a Teoria da Informação e a integra com a teoria de Finanças em condições de incerteza. Integra as abordagens entrópicas de determinação do preço racional da opção européia simples ordinária de Gulko (1998 e 1998a) e de Yang (1997). Define precisamente o mundo com preço da incerteza neutralizado (risk-neutral world), o mundo martingale, o mundo informacionalmente eficiente e o mundo entrópico e suas implicações para a Ciência do Investimento e, mais especificamente, para a determinação do preço racional de ativos básicos e derivativos. Demonstra detalhadamente a fórmula do preço racional da opção européia simples ordinária de Black-Scholes-Merton, melhorando a notação matemática, simplificando (eliminando a abordagem martingale) e complementando a demonstração feita por Baxter & Rennie (1998). Interrompe uma sucessão de trabalhos que estabelecem uma forma equivocada de calcular o preço da opção européia simples ordinária. Esse erro teve sua origem...

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## Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

Fonte: Fundação Getúlio Vargas
Publicador: Fundação Getúlio Vargas

Tipo: Dissertação

Português

Relevância na Pesquisa

75.95%

#Tail Risk#Two-Pass Cross-Sectional Regressions#Priced Risk Factor#Risk-Neutral Probability#Value-at-Risk#Risco (Economia)#Análise de regressão#Ações (Finanças)#Mercado financeiro

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

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## What drives corporate default risk premia? Evidence from the CDS market

Fonte: Instituto Politécnico de Lisboa
Publicador: Instituto Politécnico de Lisboa

Tipo: Conferência ou Objeto de Conferência

Publicado em /04/2011
Português

Relevância na Pesquisa

45.82%

This paper studies the evolution of the default risk premia for European firms during the years surrounding the recent credit crisis. We employ the information embedded in Credit Default Swaps (CDS) and Moody’s KMV EDF default probabilities to analyze the common factors driving this risk premia.
The risk premium is characterized in several directions: Firstly, we perform a panel data analysis to capture the relationship between CDS spreads and actual default probabilities. Secondly, we employ the intensity framework of Jarrow et al. (2005) in order to measure the theoretical effect of risk premium on expected bond returns. Thirdly, we carry out a dynamic panel data to identify the macroeconomic sources of risk premium. Finally, a vector autoregressive model analyzes which proportion of the co-movement is attributable to financial or macro variables. Our estimations report coefficients for risk premium substantially
higher than previously referred for US firms and a time varying behavior. A dominant factor explains around 60% of the common movements in risk premia. Additionally, empirical evidence suggests a public-to-private risk transfer between the sovereign CDS spreads and corporate risk premia.

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## Modelling power market and pricing electricity derivatives in a regime switching framework.

Fonte: Universidade de Adelaide
Publicador: Universidade de Adelaide

Tipo: Tese de Doutorado

Publicado em //2014
Português

Relevância na Pesquisa

45.77%

The deregulation of power market has led to an increase in risk for both consumers and producers when trading the underlying. Random price variations require a proper risk hedging strategy; related securities like forwards, options and swaps are the main derivatives that investors resort to in order to reduce the risk. The electricity spot price however has a particular behaviour, a consequence of the physical nature of the underlying. The non elastic offer rate causes the market equilibrium price to jump to extreme high or low levels in addition to the mean reversion and seasonality effects. After the Introduction to the thesis contents and the background given in Chapter I, Chapter II and III develop pricing using a stochastic discount factor with applications to power derivatives. Because of the multiple sources of randomness, the power market is incomplete and any risk neutral probability measure is not unique. Pricing derivatives under the historical measure using a stochastic discount factor is one way to overcome this issue. Chapter IV investigate a different type of power pricing model. We suggest a general form for the spot price model where the randomness is given by a compensated pure jump process. Chapter V considers a new model for electricity spot price driven by a unobserved Markov jump process and the jumps are modelled using an independent Markov chain driving the jump size. In the presence of an unobserved process...

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## Stochastic measures of arbitrage

Fonte: Springer Berlin / Heidelberg
Publicador: Springer Berlin / Heidelberg

Tipo: Artigo de Revista Científica
Formato: application/pdf

Publicado em //2002
Português

Relevância na Pesquisa

55.7%

#Arbitrage#isk-neutral probability measure#market integration#vector optimization#dual problem#duality gap#Empresa

Empirical research has provided evidence supporting the existence of arbitrage opportunities in real financial markets although market imperfections are often the main reason to explain these empirical deviations. Consequently, recent literature has turned the attention to imperfect markets in order to extend the most significant results on asset pricing. This paper develops several stochastic measures providing relative arbitrage earnings available in a financial market. The measures allow us to take into account different type of frictions. They are introduced by means of several dual pairs of vector optimization problems. Primal problems permit us to characterize the arbitrage absence even in an imperfect market and they also provide optimal arbitrage portfolios if the arbitrage absence fails. Dual ones allow us to extend the risk-neutral valuation methodology for imperfect and noarbitrage free markets and provide new interpretations for the measures in terms of “frictions effect” or “committed errors” in the valuation process.

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## Integration and arbitrage in the spanish financial markets: an empirical approach

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: Trabalho em Andamento
Formato: application/pdf

Publicado em /12/1997
Português

Relevância na Pesquisa

65.9%

#Integration#Arbitrage profits#State prices#Risk-neutral probability measure#Efficient market#Empresa

Several authors have introduced different ways to measure the integration between fmancial markets. Most of
them are derived from the basic assumptions to price assets, like the Law of One Price or the absence of arbitrage
opportunities. Two perfectly integrated markets must give identical price to identical fmal payoffs, and a vector of
positive discount factors, common to both markets, must exist. Therefore, if these properties do not hold, their
degree of violation can be measured and considered as an integration measure.
The present paper empirically test the integration measures in the Spanish fmancial markets. Hence, several
interesting values are obtained, like for instance, the state prices or the risk-neutral probabilities. Furthermore,
when the risk-neutral probabilities do not exist, explicit cross-market arbitrage portfolios are detected.
The results of our test are surprising for several reasons. First of all, the arbitrage opportunities very often appear,
and the bid-ask spread and the transaction costs are not able to avoid the arbitrage profits. Furthermore, the
criticisms, which are usually argued when empirical papers show the existence of arbitrage opportunities, do not
apply here, since we work with perfectly synchronized high frequency data. On the other hand...

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## Dynamic interest-rate modelling in incomplete markets

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: info:eu-repo/semantics/doctoralThesis; info:eu-repo/semantics/doctoralThesis
Formato: application/pdf

Português

Relevância na Pesquisa

45.95%

#Modelo estocástico#Modelo matemático#Tipo de interés#Bonos#Interest-rates modelling#Levy and additive processes#Risk-neutral measure#Incomplete markets#Credit risk#Weak convergence#Market calibration

In the first chapter, a new kind of additive process is proposed. Our main goal is to define, characterize and prove the existence of the LIBOR additive process as a new stochastic process. This process will be defined as a piecewise stationary process with independent increments, continuous in probability but with discontinuous trajectories, and having "càdlàg" sample paths. The proposed process is specically designed to derive interest-rates modelling because it allows us to introduce a jump-term structure as an increasing sequence of Lévy measures. In this paper we characterize this process as a Markovian process with an infinitely divisible, selfsimilar, stable and self-decomposable distribution. Also, we prove that the Lévy-Khintchine characteristic function and Lévy-Itô decomposition apply to this process. Additionally we develop a basic framework for density transformations. Finally, we show some examples of LIBOR additive processes. A no-arbitrage framework to model interest rates with credit risk, based on the LIBOR additive process, and an approach to price corporate bonds in incomplete markets, is presented in the second chapter. We derive the no-arbitrage conditions under different conditions of recovery, and we obtain new expressions in order to estimate the probabilities of default under risk-neutral measure. Additionally...

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## Is There a Distress Risk Anomaly? Corporate Bond Spread as a Proxy for Default Risk

Fonte: Banco Mundial
Publicador: Banco Mundial

Tipo: Publications & Research :: Policy Research Working Paper

Português

Relevância na Pesquisa

66.02%

#ABSOLUTE PRIORITY RULE#ACCOUNTING#ASSET PRICES#ASSET PRICING TESTS#ASSET PRICING THEORIES#ASSET RETURNS#ASSET VALUE#ASSET VALUES#BANKRUPT#BANKRUPTCIES#BANKRUPTCY

Although financial theory suggests a
positive relationship between default risk and equity
returns, recent empirical papers find anomalously low
returns for stocks with high probabilities of default. The
authors show that returns to distressed stocks previously
documented are really an amalgamation of anomalies
associated with three stock characteristics -- leverage,
volatility and profitability. In this paper they use a
market based measure -- corporate credit spreads -- to proxy
for default risk. Unlike previously used measures that proxy
for a firm's real-world probability of default, credit
spreads proxy for a risk-adjusted (or a risk-neutral)
probability of default and thereby explicitly account for
the systematic component of distress risk. The authors show
that credit spreads predict corporate defaults better than
previously used measures, such as, bond ratings, accounting
variables and structural model parameters. They do not find
default risk to be significantly priced in the cross-section
of equity returns. There is also no evidence of firms with
high default risk delivering anomalously low returns.

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## Sovereign default probabilities within the european crisis

Fonte: Instituto Superior de Economia e Gestão
Publicador: Instituto Superior de Economia e Gestão

Tipo: Dissertação de Mestrado

Publicado em /09/2012
Português

Relevância na Pesquisa

55.94%

#Crisis#Risk-neutral probability#Real probability#Market price of risk#CDS spreads#Sovereign#Weibull distribution#Crise#Probabilidade risco-neutral#Probabilidade real#Indice de Sharpe

Mestrado em Matemática Financeira; In this thesis we assess the real default probabilities of three groups of European sovereigns
- peripheral, central and safe haven - in order to get a forward looking measure of the market sentiment about their default, as well as their evolution within the current European crisis. We follow Moody's CDS-implied EDF Credit Measures and Fair-Value Spreads methodology by extracting risk-neutral probabilities of default, assumed to be Weibull distributed, from CDS spreads and convert them into real probabilities of default, using an adaptation of the Merton model to remove the risk premium. We use CDS spreads data from 2008 to 2011 and country dependent market prices of risk as proxy for the risk premium based on the equity benchmark indices of each country. The obtained real default probabilities proved to be a suitable indicator to predict defaults according to the credit events. They have increased severely since 2009/2010, in particular for the peripheral
economies - Greece, Ireland and Portugal. The Greece's 1-year probability of default
reached 55% at the end of 2011 and a default took place in March 2012. These three
countries had to request a bailout from the EU/IMF authorities, Greece and Ireland in
2010 and Portugal in April 2011. Spain and Italy...

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## The Probability of Rare Disasters: Estimation and Implications

Fonte: Harvard University
Publicador: Harvard University

Tipo: Research Paper or Report

Português

Relevância na Pesquisa

45.86%

I analyze a rare disasters economy that yields a measure of the risk neutral probability of a macroeconomic disaster, p*t . A large panel of options data provides strong evidence that p*t is the single factor driving option-implied jump risk measures in the cross section of firms. This is a core assumption of the rare disasters paradigm. A number of empirical patterns further support the interpretation of p*t as the risk-neutral likelihood of a disaster. First, standard forecasting regressions reveal that increases in p*t lead to economic downturns. Second, disaster risk is priced in the cross section of U.S. equity returns. A zero-cost equity portfolio with exposure to disasters earns risk-adjusted returns of 7.6% per year. Finally, a calibrated version of the model reasonably matches the: (i) sensitivity of the aggregate stock market to changes in the likelihood of a disaster and (ii) loss rates of disaster risky stocks during the 2008 financial crisis.

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## On honest times in financial modeling

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 21/08/2008
Português

Relevância na Pesquisa

55.78%

#Quantitative Finance - Computational Finance#Mathematics - Probability#90A12#60G30, 62P20, 05C38, 15A15

This paper demonstrates the usefulness and importance of the concept of
honest times to financial modeling. It studies a financial market with asset
prices that follow jump-diffusions with negative jumps. The central building
block of the market model is its growth optimal portfolio (GOP), which
maximizes the growth rate of strictly positive portfolios. Primary security
account prices, when expressed in units of the GOP, turn out to be nonnegative
local martingales. In the proposed framework an equivalent risk neutral
probability measure need not exist. Derivative prices are obtained as
conditional expectations of corresponding future payoffs, with the GOP as
numeraire and the real world probability as pricing measure. The time when the
global maximum of a portfolio with no positive jumps, when expressed in units
of the GOP, is reached, is shown to be a generic representation of an honest
time. We provide a general formula for the law of such honest times and compute
the conditional distributions of the global maximum of a portfolio in this
framework. Moreover, we provide a stochastic integral representation for
uniformly integrable martingales whose terminal values are functions of the
global maximum of a portfolio. These formulae are model independent and
universal. We also specialize our results to some examples where we hedge a
payoff that arrives at an honest time.

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## Partially Observable Risk-Sensitive Markov Decision Processes

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

45.76%

We consider the problem of minimizing a certainty equivalent of the total or
discounted cost over a finite and an infinite time horizon which is generated
by a Partially Observable Markov Decision Process (POMDP). The certainty
equivalent is defined by $U^{-1}(EU(Y))$ where $U$ is an increasing function.
In contrast to a risk-neutral decision maker this optimization criterion takes
the variability of the cost into account. It contains as a special case the
classical risk-sensitive optimization criterion with an exponential utility. We
show that this optimization problem can be solved by embedding the problem into
a completely observable Markov Decision Process with extended state space and
give conditions under which an optimal policy exists. The state space has to be
extended by the joint conditional distribution of current unobserved state and
accumulated cost. In case of an exponential utility, the problem simplifies
considerably and we rediscover what in previous literature has been named
information state. However, since we do not use any change of measure
techniques here, our approach is simpler. A small numerical example, namely the
classical repeated casino game with unknown success probability is considered
to illustrate the influence of the certainty equivalent and its parameters.

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## Time Dynamics of Probability Measure and Hedging of Derivatives

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

55.87%

We analyse derivative securities whose value is NOT a deterministic function
of an underlying which means presence of a basis risk at any time. The key
object of our analysis is conditional probability distribution at a given
underlying value and moment of time. We consider time evolution of this
probability distribution for an arbitrary hedging strategy (dynamically
changing position in the underlying asset). We assume log-brownian walk of the
underlying and use convolution formula to relate conditional probability
distribution at any two successive time moments. It leads to the simple PDE on
the probability measure parametrized by a hedging strategy. For delta-like
distributions and risk-neutral hedging this equation reduces to the
Black-Scholes one. We further analyse the PDE and derive formulae for hedging
strategies targeting various objectives, such as minimizing variance or
optimizing quantile position.; Comment: 8 pages, LaTeX, corrected some typos

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## On the Solvability of Risk-Sensitive Linear-Quadratic Mean-Field Games

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 26/11/2014
Português

Relevância na Pesquisa

45.8%

#Mathematics - Optimization and Control#Computer Science - Computer Science and Game Theory#Computer Science - Systems and Control#Mathematics - Probability

In this paper we formulate and solve a mean-field game described by a linear
stochastic dynamics and a quadratic or exponential-quadratic cost functional
for each generic player. The optimal strategies for the players are given
explicitly using a simple and direct method based on square completion and a
Girsanov-type change of measure. This approach does not use the well-known
solution methods such as the Stochastic Maximum Principle and the Dynamic
Programming Principle with Hamilton-Jacobi-Bellman-Isaacs equation and
Fokker-Planck-Kolmogorov equation. In the risk-neutral linear-quadratic
mean-field game, we show that there is unique best response strategy to the
mean of the state and provide a simple sufficient condition of existence and
uniqueness of mean-field equilibrium. This approach gives a basic insight into
the solution by providing a simple explanation for the additional term in the
robust or risk-sensitive Riccati equation, compared to the risk-neutral Riccati
equation. Sufficient conditions for existence and uniqueness of mean-field
equilibria are obtained when the horizon length and risk-sensitivity index are
small enough. The method is then extended to the linear-quadratic robust
mean-field games under small disturbance...

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## Risk Neutral Option Pricing With Neither Dynamic Hedging nor Complete Markets

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

45.81%

Proof that under simple assumptions, such as constraints of Put-Call Parity,
the probability measure for the valuation of a European option has the mean
derived from the forward price which can, but does not have to be the
risk-neutral one, under any general probability distribution, bypassing the
Black-Scholes-Merton dynamic hedging argument, and without the requirement of
complete markets and other strong assumptions. We confirm that the heuristics
used by traders for centuries are both more robust, more consistent, and more
rigorous than held in the economics literature. We also show that options can
be priced using infinite variance (finite mean) distributions.

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## Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

45.78%

This paper investigates the pricing and hedging of variance swaps under a
$3/2$ volatility model. Explicit pricing and hedging formulas of variance swaps
are obtained under the benchmark approach, which only requires the existence of
the num\'{e}raire portfolio. The growth optimal portfolio is the num\'{e}raire
portfolio and used as num\'{e}raire together with the real world probability
measure as pricing measure. This pricing concept provides minimal prices for
variance swaps even when an equivalent risk neutral probability measure does
not exist.; Comment: 23 pages, 5 figures

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## Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 17/05/2015
Português

Relevância na Pesquisa

55.8%

In this article, we consider a Markov process X, starting from x and solving
a stochastic differential equation, which is driven by a Brownian motion and an
independent pure jump component exhibiting state-dependent jump intensity and
infinite jump activity. A second order expansion is derived for the tail
probability P[X(t)>x+y] in small time t, for y>0. As an application of this
expansion and a suitable change of the underlying probability measure, a second
order expansion, near expiration, for out-of-the-money European call option
prices is obtained when the underlying stock price is modeled as the
exponential of the jump-diffusion process X under the risk-neutral probability
measure.; Comment: 35 pages, 3 figures

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## CAPM, rewards, and empirical asset pricing with coherent risk

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 02/05/2006
Português

Relevância na Pesquisa

45.82%

#Mathematics - Probability#Quantitative Finance - Pricing of Securities#Quantitative Finance - Risk Management#91B28#91B30, 91B50

The paper has 2 main goals: 1. We propose a variant of the CAPM based on
coherent risk. 2. In addition to the real-world measure and the risk-neutral
measure, we propose the third one: the extreme measure. The introduction of
this measure provides a powerful tool for investigating the relation between
the first two measures. In particular, this gives us - a new way of measuring
reward; - a new approach to the empirical asset pricing.

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## Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

45.81%

#Quantitative Finance - Trading and Market Microstructure#Quantitative Finance - Pricing of Securities#60G, 60H, 91B, 91G

This paper highlights the role of risk neutral investors in generating
endogenous bubbles in derivatives markets. We find that a market for
derivatives, which has all the features of a perfect market except completeness
and has some risk neutral investors, can exhibit extreme price movements which
represent a violation to the Gaussian random walk hypothesis. This can be
viewed as a paradox because it contradicts wide-held conjectures about prices
in informationally efficient markets with rational investors. Our findings
imply that prices are not always good approximations of the fundamental values
of derivatives, and that extreme price movements like price peaks or crashes
may have endogenous origin and happen with a higher-than-normal frequency.; Comment: 21 pages. The second version presents the following upgrades:
improved precision in the definition of agents and their behaviour;
simplification in the notation of the probability measure; simplification in
section 4.1; addition of caveats in the conclusions. The results of the
second version remain unchanged

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## Risk trading and endogenous probabilities in investment equilibria

Fonte: Society for Industrial and Applied Mathematics (SIAM)
Publicador: Society for Industrial and Applied Mathematics (SIAM)

Tipo: Article; accepted version

Português

Relevância na Pesquisa

45.89%

#risky design equilibrium problem#risk trading#risky design game#stochastic-endogenous equilibrium problem#risk averse#risk measure#complete financial market

This is the author accepted manuscript. It is currently under an indefinite embargo pending publication by the Society for Industrial and Applied Mathematics (SIAM); A risky design equilibrium problem is an equilibrium system that involves N designers who invest in risky assets, such as production plants, evaluate these using convex or coherent risk measures, and also trade financial securities in order to manage their risk. Our main finding is that in a complete risk market - when all uncertainties can be replicated by financial products - a risky design equilibrium problem collapses to what we call a risky design game, i.e., a stochastic Nash game in which the original design agents act as risk neutral and there emerges an additional system risk agent. The system risk agent simultaneously prices risk and determines the probability density used by the other agents for their risk neutral evaluations. This situation is stochastic-endogenous: the probability density used by agents to value uncertain investments is endogenous to the risky design equilibrium problem. This result is most striking when design agents use coherent risk measures in which case the intersection of their risk sets turns out to be a risk set for the system risk agent...

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