In this article, we investigate risk return characteristics and diversification benefits when private equity is used as …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 … investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples …, periods, and return decomposition methods, and is the only component of Ø; that has significant out-of-sample predictive … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears …

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An …

correction of mispricing. We show that in order to minimize the risk and the cost of arbitrage an investor who identifies several … mispriced assets optimally advertises only one of them, and overweights it in his portfolio; a risk-neutral arbitrageur invests …

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An …

transparency relating to effective risk transfer, risk-related management compensation, and credible measurement of rating …, financial intermediaries, whose risk is opaque, may be subjected to higher capital requirements. …