's optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the …

variations. We show that a hedged portfolio sorted on idiosyncratic diffusive risk yields a weekly return of -2.16%, suggesting … the existence of a low idiosyncratic risk anomaly. Subsequently, we examine possible explanations for this anomaly, and …

model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock …We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing … risk factors from standard asset pricing models nor by firm characteristics. Our results reveal a novel link between …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets …

calculating option-specific risk discounts (calls) and premiums (puts). However, first, I revisit the variable μ (expected return … function of time and therefore the partial derivative equation Black, Scholes, and Merton solved was incomplete. Importantly …

serial correlation and momentum trading on stocks with high predicted serial correlation. The trading strategy generates risk …

translates into significant excess returns of option trading strategies that are not explained by common risk factors. Simulation …