positive relationship between risk taking and retirement fl exibility is weakened - and under some conditions even turned … around - if not only capital-market risks but also productivity risks are considered. Productivity risk in combination with a … labour income, reducing the willingness of consumers to bear risk. Moreover, it turns out that general-equilibrium effects …

, we show that agents economic hedging portfolios can be obtained by an intuitively appealing, risk aversion …-weighted approximate replication of the economic risk variables using the investment opportunity set, as opposed to the unweighted hedging … demand obtained in the traditional mean-variance framework.We find that agents across a broad range of levels of risk …

Coherent risk measures have received considerable attention in the recent literature.Coherent regular risk measures … with second order stochastic dominance.As a consequence, these risk measures are natural candidates in a mean-risk trade …-off portfolio choice.In this paper we develop a mean-coherent regular risk spanning test and related performance measure.The test …

We empirically analyze the implementation of coherent risk measures in portfolio selection.First, we compare optimal … portfolios obtained through mean-coherent risk optimization with corresponding mean-variance portfolios.We find that, even for a … tests for the mean-coherent risk efficient frontiers, which we compare to their equivalents in the meanvariance framework …

market wide volatility.Although unconditional analysis over the full sample suggests that country-based or industry-based EMU …-wide portfolios provide similar risk-return trade-offs, a rolling window analysis indicates a striking change in the structure of …-based strategies, offer similar risk return trade-offs and diversification benefits. …