-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 …

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 …

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

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

an additional hedging motif driven by the interaction between real exchange rate risk and ambiguity aversion. What … matters is the long-run as opposed to the short-run risk. Domestic equity is a good hedge with respect to long-run real … exchange rate risk even when bonds are traded. The higher is the degree of ambiguity aversion, the stronger is the home bias …

techniques from the theory of multiple risk-bearing. Applying this analysis, the effect of labor income taxes on the demand for …The effect of uninsured labor income risk on the joint saving/portfolio composition decision is analyzed using new …

This paper considers a world in which pension funds may default, the cost of the associated risk of default is not …