risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance …

have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment … producer distress indices that signal the build-up of upside and downside price risk, and by conducting a risk scenario …

, noting that according to a simple model of futures arbitrage, if index-fund buying influences prices by changing the risk …

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 …

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 …

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