a simple extension of the long-run risk model … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …

when the investor has access to nominal bonds and a stock portfolio. In the presence of unhedgeable inflation risk, there … of the investor. We apply our method to a three-factor Gaussian model with a time-varying price of risk that captures the … changes in term premia generates large hedging demands for long-term bonds …

will understate volatility and increase risk-adjusted performance measures such as the Sharpe ratio. We propose an …

This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … leverage. State prices are estimated using the flexible risk-neutral density method of Rosenberg (1995) and a daily cross … risk aversion over S&P500 return states is substantially higher than risk aversion implied by Black-Scholes state prices …

parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and …This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By … gamma) using Monte-Carlo simulation. We estimate hedging parameters for options on the Standard and Poor's 500 index, a bond …

"This paper studies empirically the relationship between trade policy and individual income risk faced by workers, and … three steps. First, longitudinal data on workers are used to estimate time-varying individual income risk parameters in … various manufacturing sectors. Second, the estimated income risk parameters and data on trade barriers are used to analyze the …