aggregate risk. We propose a theory to explain these risk exposures. We study a financial accelerator model where entrepreneurs … inefficiently high risk exposure for entrepreneurs …

This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following …, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees …

A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount …, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself--will be misspecified … that three new factors, a "volatility," "risk premium," and "real" factor, contain important information about one …

Investor confidence and risk tolerance are important concepts that investors are constantly trying to gauge. Yet these … changes in demand and fundamentals perceived by all investors, and a second that reflects changes in the relative risk … tolerance of institutional investors over and above that of domestics. The latter component, changes in relative risk tolerance …

international capital flows that highlights the interplay between diminishing returns, production risk and sovereign risk. We show … that in the presence of reasonable diminishing returns and production risk, the probability that international crises occur …

risk. These connections lead to two different network structures. In a clustered network groups of financial institutions … expectations are low, they do not roll over the debt and there is systemic risk in that all institutions are early liquidated. We …

asset demands and prices. International asset pricing models with mean-variance investors predict that an asset's risk … empirical evidence shows that a country's risk premium depends on its covariance with the world market portfolio and that there … is some evidence that exchange rate risk affects expected returns. However, the theoretical asset pricing literature …