"This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio …

investor preferences are defined over moments of the terminal wealth distribution such as its skew and kurtosis. Time … allocations to stocks the longer their time horizon. Conversely, in bull markets it is optimal for investors to decrease …

across time. That is, in contrast with many early authors, it is found to be positive and highly significant after … to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …

states - both among bonds and stocks and among large and small stocks - and change over time as investors revise their …

"We analyze the volatility surface vs. moneyness and time to expiration implied by MIBO options written on the MIB30 …, the most important Italian stock index. We specify and fit a number of models of the implied volatility surface and find … that it has a rich and interesting structure that strongly departs from a constant volatility, Black-Scholes benchmark …

to the higher volatility of the estimates of foreign state variables, our model produces excessive turnover in foreign …

moments of the wealth distribution such as its skewness and kurtosis. Time-variations in investment opportunities are …