more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint … discrete time constant relative risk aversion and joint normally distributed asset return assessments are sufficient to yield …

Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold … risk can be hedged by holding foreign currency if the domestic currency tends to depreciate when the domestic real interest … rate falls, as implied by the theory of uncovered interest parity. Empirically this effect is important and can lead …

it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also …

that realistic heterogeneity of risk aversion and labor income risk can strongly affect optimal portfolio choice over the …

We show that reaching for yield -- a tendency to take more risk when the real interest rate declines while the risk … constraint also affects the response of risktaking to a change in the risk premium, which can even change sign. In a variant of …