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~institution:"Massachusetts Institute of Technology / Department of Economics"
~institution:"National Bureau of Economic Research"
~institution:"World Bank"
~language:"eng"
~subject:"Finanzmarkt"
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ECONIS (ZBW)
265
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1
Optimal Asset Taxes in Financial Markets with Aggregate Uncertainty
Scheuer, Florian
-
2012
This paper studies Pareto-optimal
risk
-sharing arrangements in a private information economy with aggregate uncertainty …
Persistent link: https://www.econbiz.de/10012460841
Saved in:
2
Inflation
Risk
and Capital Market Equilibrium
Bodie, Zvi
-
1979
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 …
Persistent link: https://www.econbiz.de/10012478775
Saved in:
3
Lifecycle Portfolio Choice with Systematic Longevity
Risk
and Variable Investment-Linked Deferred Annuities
Kartashov, Vasily
-
2011
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 …
Persistent link: https://www.econbiz.de/10012461152
Saved in:
4
Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
Chien, YiLi
-
2014
technologies and are subject to both aggregate and idiosyncratic income
risk
. The different asset trading technologies, which are …
Persistent link: https://www.econbiz.de/10012458339
Saved in:
5
Financial
Risk
Measurement for Financial
Risk
Management
Andersen, Torben G.
-
2012
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 …
Persistent link: https://www.econbiz.de/10012460575
Saved in:
6
Does
Risk
Explain Anomalies? Evidence from Expected Return Estimates
Wu, Jin Ginger
-
2010
evidence implies that returns of most anomalies are unexpected, and that mispricing, not
risk
, is the main driving force of …
Persistent link: https://www.econbiz.de/10012462701
Saved in:
7
Maxing Out : Stocks as Lotteries and the Cross-Section of Expected Returns
Bali, Turan G.
-
2009
between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and
risk
…
Persistent link: https://www.econbiz.de/10012463843
Saved in:
8
Adaptation Using Financial Markets : Climate
Risk
Diversification through Securitization
Kahn, Matthew E.
;
Ouazad, Amine
;
Yönder, Erkan
-
National Bureau of Economic Research
-
2024
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 …
Persistent link: https://www.econbiz.de/10014512098
Saved in:
9
The "Out of Sample" Performance of Long-run
Risk
Models
Ferson, Wayne E.
-
2012
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 …
Persistent link: https://www.econbiz.de/10012460810
Saved in:
10
A Model of Shadow Banking
Gennaioli, Nicola
-
2011
move together as in Adrian and Shin (2010), and iii) intermediaries increase their exposure to systematic
risk
as they … reduce their idiosyncratic
risk
through diversification, as in Acharya, Schnabl, and Suarez (2010). Under rational …
Persistent link: https://www.econbiz.de/10012461542
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