and inflation risk. Both sources of uncertainty make it difficult to stabilize consumption over time. However, investors …. Optimal consumption and risk management strategies are derived. It is shown that dynamic hedging increases an investor …Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty: a random asset price …

We examine the implications of short-run and long-run consumption risks on the momentum and long-term contrarian … short-run and long-run shocks in consumption growth, we find the otherwise standard intertemporal asset pricing model goes a … of the standard CAPM and the consumption CAPM in explaining these well-documented return behaviors …