a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …

uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in …

correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor …

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …

We use traded options on growth and value indices to test for clientele differences in risk preferences. Value … investors appear to have exhibited a higher average level of risk aversion than growth investors for two different time periods … with different levels of risk-aversion to switch between investment styles conditional upon the evolution of returns and …

We estimate the risk and expected returns of private equity investments based on the market prices of exchange …