Induced uncertainty, market price of risk, and the dynamics of consumption and wealth.
Yulei LuoEric R. YoungPublished in: J. Econ. Theory (2016)
Keyphrases
- extreme events
- risk averse
- risk aversion
- risk neutral
- investment strategies
- risk measures
- expected utility
- utility function
- decision making
- black scholes
- risk management
- stock market
- decision makers
- optimal portfolio
- risk evaluation
- financial crisis
- portfolio management
- dynamical systems
- early warning
- emergency management
- portfolio optimization
- real option
- dynamic model
- market data
- decision theoretic
- financial markets
- chance constraints
- uncertain data
- risk analysis
- robust optimization
- exchange rate
- option pricing
- foreign exchange
- inherent uncertainty
- high risk
- investment decisions
- technological innovation
- stock exchange
- stochastic programming
- financial data