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 …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

We propose and implement a procedure to dynamically hedge climate change risk. We extract innovations from climate news … change hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk … approaches to managing climate risk. …

regularities by developing a new firmbased trade model wherein managers are risk averse. Higher volatility induces the reallocation … are more affected by higher industry-wide expenditure volatility than the least productive exporters. We rationalize these …

This experimental study is concerned with the impact of the timing of the resolution of risk on people's willingness to … inferred from decisions regarding hypothetical choice problems, we had participants put their own money at risk in a real … period under delayed resolution (which involved two days). Affective traits and risk attitudes were measured through a web …

We study a segmented-markets setting in which self-fulfilling volatility can arise. The only requirements are (i) asset … valuation ratios stationary (e.g., cash flow growth rises when valuations rise). We prove that when self-fulfilling volatility … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …