James Huang

Lancaster University - Department of Accounting and Finance

The Management School

Lancaster LA1 4YX

United Kingdom

SCHOLARLY PAPERS

21

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2,620

CITATIONS
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SSRN RANKINGS

Top 8,652

in Total Papers Citations

64

Scholarly Papers (21)

1.

Relationships between Risk Aversion, Prudence and Cautiousness

LUMS Working Paper No. 2000/012
Number of pages: 18 Posted: 08 Mar 2001
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 480 (57,595)
Citation 6

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Risk aversion, prudence, cautiousness

Risk Neutral Probabilities and Option Bounds: A Geometric Approach

Lancaster University Management School Working Paper No. 2004/052, EFA 2005 Moscow Meetings Paper
Number of pages: 58 Posted: 06 Mar 2005
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 225 (133,732)
Citation 5

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Option bounds, option pricing, risk neutral density, first order stochastic dominance

Option Bounds and Second Order Arbitrage Opportunities

Lancaster University Management School Working Paper No. 2004/053
Number of pages: 75 Posted: 22 Nov 2004 Last Revised: 17 Feb 2009
James Huang and Zhengjun Zhang
Lancaster University - Department of Accounting and Finance and affiliation not provided to SSRN
Downloads 177 (167,714)
Citation 5

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Option bounds, option pricing, stochastic dominance, arbitrage opportunities, risk averse

3.

On Downside Risk Aversion Measures

Number of pages: 27 Posted: 22 Dec 2012 Last Revised: 13 Dec 2013
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 220 (137,081)
Citation 2

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cautiousness, downside risk aversion, prudence, rate of change in risk aversion, Schwarzian derivative, option pricing

4.

Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks

Number of pages: 32 Posted: 19 May 2006
Christoph Kuzmics, Chiaki Hara and James Huang
University of Graz - Department of Economics, Kyoto University - Institute of Economic Research and Lancaster University - Department of Accounting and Finance
Downloads 173 (171,110)
Citation 1

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efficient risk-sharing rules, relative risk aversion, absolute risk tolerance, Inada condition, idiosyncratic risks, background risks, incomplete markets

5.

Two-Dimensional Risk-Neutral Valuation Relationships for the Pricing of Options

EFA 2004 Maastricht Meetings Paper No. 3598
Number of pages: 32 Posted: 03 Aug 2004
University of Konstanz - Department of Economics, Lancaster University - Department of Accounting and Finance and University of Manchester - Division of Accounting and Finance
Downloads 171 (172,842)
Citation 4

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6.

Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules

Number of pages: 28 Posted: 19 May 2006
Chiaki Hara, James Huang and Christoph Kuzmics
Kyoto University - Institute of Economic Research, Lancaster University - Department of Accounting and Finance and University of Graz - Department of Economics
Downloads 169 (174,660)
Citation 25

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aggregation, heterogeneous consumers, absolute risk tolerance, mutual fund theorem

7.

Are We Extracting the True Risk Neutral Density from Option Prices? A Question with No Easy Answer

Number of pages: 32 Posted: 15 Feb 2009
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 168 (175,555)

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risk neutral density, option pricing, estimation errors, ill-posed problem

8.

Impact on Option Prices of Divergent Consumer Confidence: A Note

EFMA 2002 London Meetings
Number of pages: 22 Posted: 18 Jun 2002
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 105 (253,477)
Citation 1

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9.

Stochastic Dominance Option Bounds and Nth Order Arbitrage Opportunities

Number of pages: 35 Posted: 22 Nov 2004
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 95 (270,879)
Citation 5

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Option bounds, option pricing, stochastic dominance, arbitrage opportunities

10.

Cautiousness and Tendency to Buy Options

Lancaster University Management School Working Paper No. 2004/051
Number of pages: 16 Posted: 24 Nov 2004
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 88 (284,435)
Citation 1

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Cautiousness, Tendency to buy options, prudence, risk aversion, options

11.

Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem

Number of pages: 27 Posted: 17 Jun 2008
Chiaki Hara, James Huang and Christoph Kuzmics
Kyoto University - Institute of Economic Research, Lancaster University - Department of Accounting and Finance and University of Graz - Department of Economics
Downloads 82 (297,088)
Citation 3

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Risk aversion, risk tolerance, cautiousness, portfolio insurance, idiosyncratic risks, background risks, incomplete markets

12.

Dara and Drra Option Bounds from Concurrently Expiring Options

Lancaster University Management School Working Paper No. 2004/055
Number of pages: 28 Posted: 19 Nov 2004
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 67 (333,185)
Citation 3

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Option bounds, option pricing, DARA, DRRA, risk aversion

13.

A Note on the Negishi Approach to Equilibrium

Number of pages: 12 Posted: 19 Dec 2012
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 66 (335,791)

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exchange economy, existence of equilibrium, the Negishi approach

14.

Cautiousness in the Small and in the Large

Number of pages: 27 Posted: 27 Oct 2012 Last Revised: 17 Dec 2012
James Huang and Richard Stapleton
Lancaster University - Department of Accounting and Finance and University of Manchester - Division of Accounting and Finance
Downloads 66 (335,791)
Citation 5

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cautiousness, convex transformation of random variables, demand for options, downside risk aversion, strong increases in skewness

15.

The Choice between a Stock and a Corporate Bond: Risk Aversion or Downside Risk Aversion?

Number of pages: 13 Posted: 19 Dec 2012
James Huang and Richard Stapleton
Lancaster University - Department of Accounting and Finance and University of Manchester - Division of Accounting and Finance
Downloads 63 (343,943)

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cautiousness, demand for corporate bonds, demand for stocks, downside risk aversion

16.

Risk Aversion or Downside Risk Aversion, Which Explains the Convexity of Optimal Compensation Contracts?

Number of pages: 10 Posted: 22 Dec 2012
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 49 (386,945)

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cautiousness, downside risk aversion, executive stock options, optimal compensation contract, principal-agent problem, risk aversion

17.

Cautiousness and Skewness Preferences in a More General Context

Number of pages: 19 Posted: 18 Dec 2012 Last Revised: 23 Dec 2012
Richard Stapleton and James Huang
University of Manchester - Division of Accounting and Finance and Lancaster University - Department of Accounting and Finance
Downloads 44 (404,434)

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cautiousness, convex transformation of random variables, downside risk aversion, strong increases in skewness

18.

A Note on Comparative Skewness Preferences

Number of pages: 8 Posted: 19 Dec 2012
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 42 (411,812)
Citation 2

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cautiousness, convex transformation of random variables, downside risk aversion, skewness preferences, strong increases in skewness

19.

Option Bounds from Concurrently Expiring Options When Relative Risk Aversion is Bounded

Lancaster University Management School Working Paper No. 2004/056
Number of pages: 25 Posted: 24 Nov 2004
James Huang
Lancaster University - Department of Accounting and Finance
Downloads 40 (419,271)
Citation 3

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Option bounds, option pricing, risk aversion

20.

On the Linear Sharing Mechanism: The Unknown and Unlikely Cases

Number of pages: 33 Posted: 10 Jan 2013
James Huang and Baohua Zhu
Lancaster University - Department of Accounting and Finance and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 30 (461,698)

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linear sharing mechanism, linear sharing rules, linear fractional risk aversion, Pareto efficient

21.

Almost First Stochastic Dominance: What Do We Know from the Options Market?

Posted: 05 Mar 2007
James Huang
Lancaster University - Department of Accounting and Finance

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Option bounds, option pricing, risk neutral density, first order stochastic dominance.