-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 … sufficiently poor fund performances substantially curtail managerial risk-taking, provide strong incentives to de-leverage, and …

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 …, pension plans take more risk when they have greater representation by plan participants on their Boards of Trustees …

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 …

stocks and risk-free bonds over its lifecycle. We show that allowing for the wage indexation of social security benefits …

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is … particularly challenging because the demands of real-world risk management in financial institutions - in particular, real …

In simple one-good international macro models, the presence of non-diversifiable labor income risk means that country … against non-diversifiable labor income risk. We then use our our theory to link openness to trade to the level of …

with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … value premium is larger in %u201Cbad times,%u201D due to time variation in risk preferences; (c) the unconditional CAPM …

It is now well known that the Sharpe ratio and other related reward-to-risk measures may be manipulated with option …

. I find that changes in dividend risk have effects opposite to those in standard dynamic portfolio models without money …