contained in the volatility risk premium and option-implied skewness increases substantially Sharpe ratios and certainty …

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. …

generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …

We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS … exhibit higher levels of operational risk. We find evidence of a strong liquidity premium: hedge funds offer investors less … liquidity than do ARUs yet exhibit better risk-adjusted performance. Our findings are substantially unchanged under various …

withdrawal of employers and external insurers as risk bearers of systematic financial and longevity risks. Partly because of … pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and … risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of …

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a … large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that …-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in …