interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at … related indirectly and insignificantly to the immunization risk inherent in a bond portfolio. The main goal of this study is …

tradeoff between market and reinvestment risk explains this pattern. Intuitively, while long-term dividend claims are highly … exposed to market risk, they are also good hedges for reinvestment risk because dividend prices rise as expected returns … decline, and longer-term claims are more sensitive to discount rates. In the estimated ICAPM, reinvestment risk dominates at …

these events. Using theory and simulations we study the implications of the imminent threat of climate change on different … that lead to these assets becoming stranded. Our result suggest that climate change implies a positive and increasing risk … risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

of these events. Using theory and simulations we study the implications of the imminent threat of climate change on … risk premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate … change risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …