takes a holistic view of the problem and determines the optimal asset allocation as well as risk hedging decisions by means … investigate the performance of alternative risk management strategies. Through extensive computational experiments, both in static … alternative hedging strategies – including options – to control the main risk exposures, (c) the relative performance of …

this problem is sufficiently general to allow (i) risk aversion to vary independently of intertemporal substitution, (ii …) many risky assets, (iii) stochastic labor income that may be correlated with asset returns and/or follow life …-cycle patterns, and (iv) portfolio adjustment costs. We use Weil's (1993) isoelastic/constant absolute risk averse model as a …