We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the … and probabilities, which generate variation in consumption, and the consumption smoothing induced by risk aversion. Using …

The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability …

hourly output and hourly revenue risk-reducing benefits from the optimal choice of locational generation capacities is … and solar energy and revenue risk are computed using the actual market portfolio and the risk-adjusted expected hourly …

fluctuations in savings on domestic investment and the current account? In the long run, we find that countries invest the marginal … to smooth consumption, but also domestic investment. To achieve this, they use foreign assets as a buffer stock …

choices and the valuation of fees and investors' payoffs. Increasing the investment allocation to the alpha …-generating strategy typically lowers the fund's risk-adjusted excess return due to frictions such as price pressure. When the manager is … via both management and incentive fees, we show that (i) the high-powered incentive fees encourage excessive risk taking …

and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model …

This paper presents a dynamic model of a public pension fund's choice of portfolio risk. Optimal portfolio allocations … public pension fund management, we find evidence that funds chose greater overall asset - liability portfolio risk following … periods of relatively poor investment performance. In addition, pension plans that select a relatively high rate with which to …

While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief …. This paper investigates the effect of financial innovation on portfolio risks in an economy when both the risk sharing and … the possibilities for risk sharing. My main result shows that financial innovation also always increases the speculative …

been profitable historically. The risk exposure of carry traders might explain their high returns, but conventional models … of risk do not work because traditional risk factors, used to price the stock market, do not price currency returns. Less … to the stock market. More exotic models of "crisis risk" are another possibility, but I show that any time-variation in …