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 …

A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount …, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself--will be misspecified … positive conditional correlation between risk and return that is strongly statistically significant, whereas the unconditional …

lowers required returns. Consistent with this hypothesis, we find that asset classes with embedded leverage offer low risk …

We study the economic sources of stock-bond return comovements and its time variation using a dynamic factor model. We …, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and … stock and bond return correlations, but that other factors, especially liquidity proxies, play a more important role. The …

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and … persistent across subsamples, other terms in our decomposition (the composition and return effects and U.S. timing abroad), as …

risk-sharing. General equilibrium models and consumption data tend to find that the costs are small, typically less than … much higher variability of stocks, and/or (b) the higher degree of risk aversion required to reconcile an international …

unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models …

increase in the cross-country correlations of cash flow shocks raises the risk of a globally diversified portfolio at all … risk at long horizons and does not diminish the benefits of global portfolio diversification to long-term investors …