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The Private Information Price of Risk

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The Handbook of Post Crisis Financial Modeling

Abstract

The Private Information Price of Risk (PIPR) represents the incremental price of risk assessed when private information becomes available. The PIPR plays a prominent role in models with private information. It determines the perception of risk for the recipient of a private information signal. It lies at the heart of the optimal consumption-portfolio policies of such an informed agent. It drives the return performance of an informed fund manager. It is an essential component of the welfare gains derived by investors in professionally managed funds.

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Authors
  1. Jérôme Detemple
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  2. Marcel Rindisbacher
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Editor information

Editors and Affiliations

  1. School of Management and Institute of Finance, University of Leicester, UK

    Emmanuel Haven (Professor) (Professor)

  2. College of Business, Law, Education and Social Science, Bangor University, UK

    Philip Molyneux (Dean) (Dean)

  3. University of St Andrews, UK

    John O. S. Wilson (Professor of Banking and Finance) (Professor of Banking and Finance)

  4. University of Manchester, UK

    Sergei Fedotov (Professor of Applied Mathematics) (Professor of Applied Mathematics)

  5. Hull University Business School, UK

    Meryem Duygun (Professor of Banking and Finance) (Professor of Banking and Finance)

Copyright information

© 2016 Jérôme Detemple and Marcel Rindisbacher

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Cite this chapter

Detemple, J., Rindisbacher, M. (2016). The Private Information Price of Risk. In: Haven, E., Molyneux, P., Wilson, J.O.S., Fedotov, S., Duygun, M. (eds) The Handbook of Post Crisis Financial Modeling. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-137-49449-8_8

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