Risk appetite and endogenous risk

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   Daníelsson, J., H. S. Shin, and J.-P. Zigrand (2009). Risk appetite and endogenous risk.

Market volatility reflects traders' actions, while their actions depend on perceptions of risk. Equilibrium volatility is the fixed point of the mapping that takes perceived risk to actual risk. We solve for equilibrium stochastic volatility in a dynamic setting where risk neutral traders operate

  author =  {J{\'o}n Dan{\'i}elsson and Hyun Song Shin and Jean-Pierre
  title =   {Risk appetite and endogenous risk},
  year =    2009,

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