market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using …. We find that the model can be tuned easily using Value-at-Risk (VaR) related benchmarks. In the multi-stage setting, we … formally prove that the optimal solution consists of a sequence of myopic (single-stage) decisions with risk …

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security …

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. …

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 …

down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a …

.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral … expressions of the expected return and risk on the MV portfolio, the population covariance matrix is always a quadratic form … proportionally with the sample size. Moreover, this paper deduces the limiting behavior of the expected return and risk on the …

variables. This class contains a variety of models that are useful for modeling intertemporal household decisions under risk …