for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only … returns and investors have coefficients of relative risk aversion larger than one. The absolute size of this demand increases … hedging demands by long-term, risk averse investors. A comparative statics exercise shows that the size of hedging demands is …

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 …

This paper analyzes optimal portfolio decisions of long-horizon investors with undiversifiable labor income risk and … unambiguously larger for employed investors than for retired investors when labor income risk is uncorrelated with stock return risk … income risk on savings and portfolio choice and finds that, when labor income risk is independent of stock market risk, a …

-cycle (or target date) funds. We find that life-cycle funds designed to match the risk tolerance and investment horizon of … investors have small welfare costs. All other choices, including life-cycle funds which do not match investors' risk tolerance …

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