We extend the Consumption-based CAPM (C-CAPM) model for representative agents with different risk attitudes. We introduce the concept of expectation dependence and show that for a risk averse representative agent, it is the first-degree expectation dependence rather than the covariance that determines C-CAPM’s riskiness. We extend the assumption of risk aversion to prudence and provide a weaker...

It is known that overlapping generations models with imperfectly competitive firm may exhibit a continuum of stationary equilibria. The reason of this indeterminacy is that different price expectation functions of consumers lead to different objective demand functions against which firm maximize. All these expectation functions fulfil perfect foresight in the equilibrium, but they can be arbitr...

We establish the duality formula for the superreplication price in a setting of volatility uncertainty which includes the example of random G-expectation. In contrast to previous results, the contingent claim is not assumed to be quasi-continuous.

Recently, China has a more prominent trend of domestic price rise, which has obviously influenced public’s daily life and corporate production and operation. If we don’t take effective measures to deal with price trend, it will lead to further strengthened inflation expectation and deteriorate market economy order. Business community is actively seeking countermeasures to deal with the impact o...

A mathematical model to price convertible bonds involving mixed fractional Brownian motion with jumps is presented. We obtain a general pricing formula using the risk neutral pricing principle and quasi-conditional expectation. The sensitivity of the price to changing various parameters is discussed. Theoretical prices from our jump mixed fractional Brownian motion model are compared with the p...

The paper investigates the nature of dynamic prices and expectations in a competitive market. The approach is applied to the U.S. beef market, which exhibits cyclical patterns and signi"cant biological lags in the production process. Beef price equations are estimated under di!erent expectation regimes. The empirical results indicate the presence of heterogeneous price expectations, with a sign...

A macroeconometric simulation study is undertaken to evaluate the impact of commodity price stabilisation (CPS) schemes for the export tree crop industry in Papua New Guinea. The findings suggest that there is a negligible level of favourable macroeconomic impacts of CPS. Contrary to the expectation, CPS adversely affects the stability of monetary and external sectors (BOP). CPS policy has fail...

We present a mathematical solution to the insurance puzzle. Our solution only uses time-average growth rates and makes no reference to risk preferences. The insurance puzzle is this: according to the expectation value of wealth, buying insurance is only rational at a price that makes it irrational to sell insurance. There is no price that is beneficial to both the buyer and the seller of an ins...