Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk … measure with an endogenous or exogenous benchmark. If the risk measure is modelled by a negative HARA-function, then sharing … variance and kurtosis of the risk-neutral probability distribution of the aggregate pay-off. …

We explore the pricing of variance risk by decomposing stocks' total variance into systematic and idiosyncratic return … variances. While systematic variance risk exhibits a negative price of risk, common shocks to the variances of idiosyncratic … returns carry a large positive risk premium. This implies investors pay for insurance against increases (declines) in …

, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …

This Paper solves explicitly a simple equilibrium asset pricing model with liquidity risk – the risk arising from … various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and …

We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand … turnover and low leverage, which may lower systematic risk exposures. To examine this possibility, we launch an easily … constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

efficiently allocate risk. Our work demonstrates that financial markets, by their very nature, cannot be Pareto efficient, except …

information on the part of punters. Bookmakers’ attitudes towards risk and the degree of competition between them will influence … bookmaker behaviour. Using a data set of 1696 races in Ireland in 1993, we find that bookmakers are extremely risk-averse, and …