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 …

more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha …

Real risk-free interest rates have trended down over the past 30 years. Puzzlingly in light of this decline, (1) the … that rising market power, rising unmeasured intangibles, and rising risk premia, play a crucial role, over and above the …

of yield curve models helps with resolving the puzzles. It also allows us to connect the differences between … international yield curves to characteristics of exchange rates …

to compensate for risk. Real ex-post returns averaged 7% annually across two centuries, including default episodes, major … and with the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our …

. Decomposing this fall, default risk accounts for 37% of the reduction in yields, reduced redenomination risk for 13%, and reduced …