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 …

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 …

risk-sharing. General equilibrium models and consumption data tend to find that the costs are small, typically less than … higher variability of stocks, and/or (b) the higher degree of risk aversion required to reconcile an international equity …