When Capital Asset pricing Model (CAPM) is considered as valid asset pricing theory, Security Market Line (SML) is … evaluation erroneous.Similarly, when we extend this concept to equity risk premiums for the market, any historical risk premium … can only be applicable for a similar period into the future. It is not possible to predict the equity risk premium for any …

term spread indicators, as determinants of the long-term risk of aggregated future asset prices. However, the subsequent …

accurate risk forecasts, but also potentially reduces the regulatory capital requirements during periods of distress. In terms … than the equally weighted portfolio and all competing models. Finally, the regime forecasts are employed in a dynamic risk … control strategy that avoids most losses during the fi nancial crisis and vastly improves risk-adjusted returns …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a …