The paper offers a proof that expected utility maximisation with logarithmic utility is a dominant preference in the biological selection process in the sense that a population following any other ...

Historically, risk measures have been used for single-period investments, and this has prevented their application by investors willing to reinvest their wealth for more than one period. Due to its ...

One of the stylized facts underlying prospect theory is a fourfold pattern of risk preferences. People have been shown to be risk seeking for small probability gains and large probability losses, ...

We compare different ways of modeling real world probabilities of default over a fixed time horizon conditioned on a vector of explanatory variables. Besides a simple logistic regression, we introduce ...