“Real options” is often viewed as a valuable managerial tool of flexibility and exploration in new technology investment. Real options theory has been criticized, however, due...
We study the portfolio selection problem of an investor who can optimally exert costly effort for more income. The possibility of generating more income, if necessary, increases ...
Jaksa Cvitanic, Levon Goukasian, Fernando Zapatero
We develop a structural model of credit risk in a network economy, where any firm can lend to any other firm, so that each firm is subject to counterparty risk either from dire...
This paper explores biases in the elicitation of utilities under risk and the contribution that generalizations of expected utility can make to the resolution of these biases. We ...