A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book …-to-market, and industry portfolios as well as individual stocks indicate that the conditional covariances of equity portfolios …

Is it possible to obtain an objective and quantifiable measure of risk backed up by choices made by some specific … of VaR models, including VaR and conditional-VaR, as measures of downside risk. Though supported to some extent with … unanimous choices by some specific groups of expected or non-expected utility investors, VaRs as profiles of risk measures at …

arguments to clarify and extend results available in the literature. We show that if agents are risk averse in the sense of mean … equilibrium with MPS-risk-averse investors without assuming that the market is complete. Our proof does not require any additional …

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk … decrease the rate at which prices change, yet they impair the risk sharing function and they decrease market liquidity in …