This paper studies Pareto-optimal risk-sharing arrangements in a private information economy with aggregate uncertainty …

assets in the economy is greater than zero, an increase in inflation uncertainty will lower the risk premia on all real … assets. (3.) A preliminary empirical test of the theory using rates of return on common stocks, long-term bonds, real estate … and commodity futures contracts yields mixed results. The risk premia on long-term bonds and futures have the "wrong …

manage systematic mortality risks, namely self-insurance and risk transfer to purchasers of the annuity products. We … demonstrate that self-insurance leads to high loadings, so that households offered a choice would favor the risk transfer scheme …

evidence implies that returns of most anomalies are unexpected, and that mispricing, not risk, is the main driving force of …

between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

technologies and are subject to both aggregate and idiosyncratic income risk. The different asset trading technologies, which are …

In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …

This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The … long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the … 1990s. When we restrict the risk premiums to identify structural parameters, this results in larger average pricing errors …