is negative in all countries except Canada (where it is positive) in the case of bond flows. Under the assumption of risk …

We define a class of risk-taking-neutral (RTN) background risks. These background risks have the property that they … will not alter decisions made with respect to another risk, for individuals with HARA utility. If we wish to compare a … decision made with and without some exogenous background risk, it is often easier to compare the decision made to one made with …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil …

risk and asset allocations. Recent work (Boyd, De Nicolò and Jalal, 2009, BDNJ henceforth) predicts that as competition in … less risk as loan rates decline is sufficiently strong. We test these predictions using two samples with radically … of competition. We also find that as competition intensifies, borrower risk decreases and the loan-to-asset ratio …

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a … nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank's actual portfolio, i.e. the …

Review. In a mean-variance framework the optimal tax on risk-free returns is zero with constant returns to scale in private … returned as a stochastic lump sum, the optimal tax on excess returns is irrelevant with only aggregate risk, and approaches 100 …% if there is also idiosyncratic risk …