Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …

expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient … the results suggest that the CAPM's pricing error is small when slightly inefficient, positively weighted proxies are used. …

such as interest rates, (expected) inflation, output growth and dividend payouts. We also view risk aversion, and …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Portfolio choice is usually modelled by von Neumann-Morgenstern utility. Risk-value models are more general and permit … the derivation of risk-value efficient frontiers. A behaviorally based risk measure with an endogenous or exogenous … benchmark is used to derive efficient portfolios and to analyse the implied equilibrium asset pricing. In risk-value models a …

combining data from multiple surveys, we create an integrated measure of volatility in available household resources, accounting … different groups are exposed to economic risk. As the ESI derives from a data-independent conceptual foundation, it can be …

downside risk and recognizes the heavytail feature of the asset return distributions. Then we show that optimal portfolio sizes …

-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …