Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

Consider the portfolio problem of choosing the mix between stocks and bonds under a downside risk constraint. Typically … stock returns exhibit fatter tails than bonds corresponding to their greater downside risk. Downside risk criteria like the …

risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. … dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce …

find that risk-shifting interacts with regulatory arbitrage motives to explain how banks adjust their portfolios after … yielding but zero risk-weight sovereign bonds. The increase in banking system risk might therefore be even larger than the … decline in risk-weighted solvency ratios suggests. Distress in the banking system also feeds back onto bond prices. Bonds …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …