and the real-time prediction of professional forecasters. We find that optimism shocks – in line with theory - generate a …

-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance … against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … the futures price by the estimated risk premium, a common problem is that there are as many measures of the market … expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select 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 …