This stochastic simulation analysis examines the risk characteristics of target-date funds focusing on the trade-offs between wealth creation and security. The dynamic portfolio adjustment of marketed target-date funds, with varied asset allocations, along age and various time horizons is shown....

We examine how third party ratings and mandatory benchmark disclosure affect aggregate risk adjustment by retail investors. Morningstar changed its ratings methodology in June 2002. Before the change, the ratings were based on a risk-adjusted performance ranking of all US equity funds and highly...

Using trading data from Finland and the US, I empirically show that investors tend to buy riskier stocks following realized losses. The measure of risk that the investors seem to pay attention to is the market beta of a stock. This behavior of buying higher beta stocks after a realized loss is...

We consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000 biggest cryptocurrencies, only downside market risk, cryptocurrency size and policy uncertainty factors are systematically...

We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund holding the market portfolio. We show that, under standard assumptions, an equilibrium exists. We then derive predictions for equilibrium asset prices, investor behavior, and...

We show using both simulated and historical data that separating active returns (i.e., alpha) from market exposure (i.e., beta) can have significant tax benefits. An investment strategy that separately invests into a passive index portfolio and an actively-managed long-short portfolio is more...

Many tests of asset pricing models address only the pricing predictions - but these pricing predictions rest on portfolio choice predictions which seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices, based on unobserved heterogeneity. This approach...

Presentation Slides for "Overconfidence, Arbitrage, and Equilibrium Asset Pricing" This paper offers a model in which asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are...