Risk preferences are generally measured with utility functions, which are subjective and usually restrict market agents to be risk averse. The current study investigates investors' preferences toward risk from the index price movement perspective. In a risk neutral market, future prices will increase or decrease with the same probability. However, if the market representative-agents are risk av...

We study private-value auctions with n risk-averse bidders, where n is large. We first use asymptotic analysis techniques to calculate explicit approximations of the equilibriumbids and of the seller’s revenue in any k-price auction (k = 1, 2, . . .). These explicit approximations show that in all large k-price auctions the effect of risk-aversion is O(1/n2) small. Hence, all large k-price auct...

We study the dynamic general equilibrium of an economy where risk averse shareholders delegate the management of the firm to risk averse managers. The optimal contract has two main components: an incentive component corresponding to a non-tradable equity position and a variable ’salary’ component indexed to the aggregate wage bill and to aggregate dividends. Tying a manager’s compensation to th...

We examine the optimal regulatory policy for a risk-averse …rm when the …rm is imperfectly informed about its e¢ ciency parameter for a project at the time of contracting. The …rm’s risk aversion shifts the optimal regulatory policy from a …xed-price contract to a cost-plus contract. The optimal regulatory policy entails undere¤ort by an ine¢ cient …rm as in Lafont and Tirole (1986) and the e¤o...

In this paper, we extend a recently proposed scenario decomposition algorithm (Ahmed (2013)) for risk-neutral 0-1 stochastic programs to the risk-averse setting. Specifically, we consider risk-averse 0-1 stochastic programs with objective functions based on coherent risk measures. Using a dual representation of a coherent risk measure, we first derive an equivalent minimax reformulation of the ...

We study statistical properties of the optimal value and optimal solutions of the Sample Average Approximation of risk averse stochastic problems. Central Limit Theorem type results are derived for the optimal value and optimal solutions when the stochastic program is expressed in terms of a law invariant coherent risk measure. The obtained results are applied to hypotheses testing problems aim...

Drosophila melanogaster postfeeding larvae show food-averse migration toward food-free habitats before metamorphosis. This developmental switching from food attraction to aversion is regulated by a neuropeptide Y (NPY)-related brain signaling peptide. We used the fly larva model to delineate the neurobiological basis of age-restricted response to environmental stimuli. Here we provide evidence ...

We conduct a two-phase laboratory experiment, separated by several weeks. In the first phase, we conduct urn games intended to measure ambiguity aversion on a representative population of undergraduate students. In the second phase, we invite the students back with four different solicitation treatments, varying in the ambiguity of information regarding the task and the payout of the laboratory...

It is widely accepted among axiomatic bargaining theorists that if one bargainer is more risk averse than a second, the second will be a tougher bargaining opponent than the first against all opponents. We argue that this relationship between risk aversion and bargaining toughness is both highly fragile, and more nuanced than previously articulated. In the Nash and Kalai-Smorodinsky bargaining ...

W e analyze a decentralized supply chain with a single risk-averse retailer and multiple risk-averse suppliers under a Conditional Value at Risk objective. We define coordinating contracts and show that the supply chain is coordinated only when the least risk-averse agent bears the entire risk and the lowest-cost supplier handles all production. However, due to competition, not all coordinating...