Forecasting the density of returns is useful for many purposes in finance, such as risk manage- ment activities … asset of interest or option prices on this same asset. The latter method needs to convert the risk-neutral estimate of the …

assets with short-selling where there is risk and ambiguity. Agents have Bewley’s incomplete preferences. As an inertia … of an individually rational efficient allocation or of an equilibrium is that the relative interiors of the risk adjusted … sets of probabilities intersect. The more risk averse, the more ambiguity averse the agents, the more likely is an …

degree of market integration, global market risk premium, regional exchange-rate risk premium and local market risk premium … explained by the regional level of trade openness and the regional stock mar- ket development; ii) the local market risk premium … is found to explain more than 50% of total risk premium for emerging market returns; iii) conditional correlations …

) allowing for dynamic changes in the degree of market integration, regional market risk price, currency risk price and domestic … market risk price. Main findings are as follows: i) the prices of risk in Australia are extremely sensitive to major …

for three sources of time-varying risks: common international market risk, exchange rate risk and regional market risk. At … estimate the ICAPM. Our results show that the currency risk premium is the most important component of the total premium … followed by the global market premium. As for the regional risk, our findings show that it is significantly priced for our …

in the US markets should have more stocks than crude oil asset in order to reduce their portfolio risk. Finally, the use … investors to effectively hedge the risk of their stock portfolios with lower costs, as compared to the standard DCC-GARCH model. …

consider the case where the agents are risk neutral, a very common assumption in ffnance in order to have explicit solutions … market and UIRP for the international capital market are equivalent conditions. We show through an example of risk … allocation clearing the international good market is no-trade. Finally, we recover Dumas [3] under risk aversion in a simpliffed …