PURE INDICATOR OF RISK APPETITE

The Risk Appetite of Private Equity Sponsors

Using a unique proprietary data set of 460 realized buyouts completed between 1990 and 2005, we examine the risk appetite of private equity (PE) sponsors in different states of the PE market and analyse key determinants of deal-level equity risk. We develop a new approach to mathematically model PE investment equity risk based on the Black-Cox default model. We find higher equity volatilities d...

Modeling the myocardial dilution curve of a pure intravascular indicator.

The dispersion and dilution of contrast medium through the myocardial vasculature is examined first with a serial model comprised of arterial, capillary, and venous components in series to determine their time-concentration curves (TCC) and the myocardial dilution curve (MDC). Analysis of general characteristics shows that the first moment of the MDC, adjusted for that of the aortic TCC and mea...

Does Option Compensation Increase Managerial Risk Appetite?

This paper solves the dynamic investment problem of a risk averse manager compensated with a call option on the assets he controls. Under the manager’s optimal policy, the option ends up either deep in or deep out of the money. As the asset value goes to zero, volatility goes to infinity. However, the option compensation does not strictly lead to greater risk seeking. Sometimes, the manager’s o...

Rethinking Risk: Aspiration as Pure Risk

There exists no satisfactory theory of risk in current normative decision theories. Notions based on utility curvature, loss aversion and probability weighting are derivative, cannot be applied to nonnumerical consequences, and are not psychologically intuitive. I develop Pure Risk theory which resolves these problems – it is consistent with existing normative theories, and both internalises an...

Rethinking Risk Attitude: Aspiration as Pure Risk