We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

very important for the risk-return characteristics of the resulting portfolios and their sensitivities to common risk … design elements of low-beta strategies too. If smaller firms are excluded, risk-adjusted returns of low-beta strategies can …

coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …

utility, which has two key features. First, intertemporal substitution and risk aversion are disentangled. Second, the … increases the implied equity premium because inattentive investors with recursive utility face greater long-run risk and thus …

This paper challenges H. Markowitz's Portfolio Theory due to its narrow focus upon market risk. It identifies 6 risks … to trigger signals that drive: asset allocation, portfolio choice and risk management. Passive investment is seen as sub … high price premium paid to a stock's annual moving average price is the key risk to the investor since it exposes him to …

expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside … protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a …, the control of the downside risk is carried out through the presence of a floor benchmark with respect to which we can …

covariance matrix implied by the long-run risk model of Bansal and Yaron (2004). Comparing the optimal allocations of investors … using the longrun risk VAR versus an unrestricted reduced-form VAR reveals stark differences in portfolio strategies. Long …-run risk investors are quite conservative relative to reduced-form investors due to intertemporal hedging concerns. Despite the …

According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public …-Scandolo theory, portfolio valuation can be framed as a convex optimization problem. We provide useful MSDC models and show that …

We consider a portfolio optimization problem of the Black-Litterman type, in which we use the conditional value-at-risk … (CVaR) as the risk measure and we use the multi-variate elliptical distributions, instead of the multi-variate normal …