We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility … such sets when volatility uncertainty is modeled by a stochastic differential equation, driven by Peng's G-Brownian motion. …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

Risk premia are related to price probability ratios or for continuous time pure jump processes the ratios of jump … arrival rates under the pricing and physical measures. The variance gamma model is employed to synthesize densities with risk …

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

We empirically examine whether investors demand a systemic component of Volatility Risk (VRP-beta) using the stock … find VRP-beta is positively related to the hedging demand of tail risk and negatively associated with the options market … liquidity, but unrelated to the size and volatility of the stock. Our results are robust to alternate specifications of realized …

Undiversifiable (or systematic risk) has long been an enemy of investors. Many countercyclical strategies have been … technique, founded on the premise of physiological bias and risk-aversion. We take a behavioral discussion in order to … negative betas to the S&P 500, while exhibiting similar risk-adjusted excess returns over both bull and bear markets. Further …

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If … idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this … price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently …