Dual Moments and Risk Attitudes

SlideVaR: a risk measure with variable risk attitudes

To find a trade-off between profitability and prudence, financial practitioners need to choose appropriate risk measures. Two key points are: Firstly, investors' risk attitudes under uncertainty conditions should be an important reference for risk measures. Secondly, risk attitudes are not absolute. For different market performance, investors have different risk attitudes. We proposed a new risk measure named SlideVaR which sufficiently reflects the different subjective attitudes of investors and the impact of market changes on investors' attitudes. We proposed the concept of risk-tail region …

基于扭曲风险度量与混合风险态度的最优配置

Optimal allocations with distortion risk measures and mixed risk attitudes

本文研究异质风险态度下的帕累托最优风险分担，将 n 主体问题归约为风险厌恶与风险追求代表间的下确界卷积两主体模型，并刻画最优配置的存在条件、无界情形及非负约束下的显式解。

最优风险共享、均衡与福利：结合经验现实的风险态度

Optimal risk sharing, equilibria, and welfare with empirically realistic risk attitudes

本文探讨了在考虑经验现实的风险态度下，最优风险共享、均衡与福利的理论框架及实证结果。

Understanding Gambling Behavior and Risk Attitudes Using Cryptocurrency-based Casino Blockchain Data

The statistical concept of Gambler's Ruin suggests that gambling has a large amount of risk. Nevertheless, gambling at casinos and gambling on the Internet are both hugely popular activities. In recent years, both prospect theory and lab-controlled experiments have been used to improve our understanding of risk attitudes associated with gambling. Despite theoretical progress, collecting real-life gambling data, which is essential to validate predictions and experimental findings, remains a challenge. To address this issue, we collect publicly available betting data from a \emph{DApp} (decentra…

Lévy Information and the Aggregation of Risk Aversion

When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each investor has a pricing kernel, and that these individual pricing kernels are aggregated to form a market pricing kernel. The various investors are then buyers or sellers depending on how their individual pricing kernels compare to that of the market. In Brownian-based models, we can represent such heterogeneous attitudes by letting the market price of risk be a random variable, the distribution of which corresponds to the variability of attitude across the market. If the flow of market information is…

高阶模糊态度

Higher-Order Ambiguity Attitudes

本文提出一种无模型的模糊偏好，定义模糊厌恶与模糊审慎，证明其等价于多种模型中的正三阶导数，并关联到模糊下的最优保险问题。