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 …

find that advisors induce their clients to take more risk, thereby raising expected returns. On the other hand, we find … limited evidence of customization: advisors direct clients into similar portfolios independent of their clients' risk … 2.7% each year in fees and thus gives up all of the equity premium gained through increased risk-taking …

Transaction costs in trading involve both risk and return. The return is associated with the cost of immediate … execution and the risk is a result of price movements during a more gradual trading. The paper shows that the trade-off between … risk and return in optimal execution should reflect the same risk preferences as in ordinary investment. The paper develops …

Ranguelova that examined the implication of portfolio risk after the transition to an investment-based system has been completed … system that is completely investment-based. We model intergenerational guarantees and assess the risk of such guarantees to … combinations of taxes and saving deposits in the later years. The extra risk to retirees and/or taxpayers is relatively small …

In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions … addressing these contractions. The key mechanism stems from heterogeneous risk tolerance: as a recessionary shock hits the … economy and brings down asset prices, risk-tolerant agents' wealth share declines and their leverage rises endogenously. This …

distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing …