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

. The constant relative risk aversion (CRRA) model and several extensions (habit persistence, recursive utility and …

This paper evaluates models with idiosyncratic consumption risk using Hansen and Jagannathan’s (1991) volatility bounds …. It is shown that idiosyncratic risk does not change the volatility bounds at all when consumers have constant relative … risk aversion (CRRA) preferences and the distribution of the idiosyncratic shock is independent of the aggregate state …

We use a comprehensive dataset of Funds-of-Hedge-Funds (FoFs) to investigate performance, risk and capital formation in … the hedge fund industry over the past ten years. We confirm the finding of high systematic risk exposures in FoF returns … experienced a recent, dramatic decline in risk-adjusted performance. …

establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston … trend in idiosyncratic risk in any of the countries we examine. …

theaters and trades, why they run, what determines the risk, whether to return to the theater or trade when the dust settles …, and how much to pay for assets (or tickets) in light of this risk. These theoretical considerations shed light on the …

cash and synthetic market's valuation of credit risk differ to various degrees. The VECM analysis suggests that the CDS …