We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

The relationship between risk and expected returns has been investigated extensively in the financial economics … with time-varying asymmetry, linked to the upside and downside uncertainty, the risk-return puzzle is investigated across … skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive …

Risk transmission among financial markets and their participants is time- evolving, especially for the extreme risk … scenarios. Possibly sudden time variation of such risk structures ask for quantitative technology that is able to cope with such … situations. Here we present a novel localized multivariate CAViaR-type model to respond to the challenge of time-varying risk …

the pricing of common equity risk factors …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …