risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint … into account leads to ambiguous effects w.r.t. to the impact of capital as well as inflation risk, thus contradicting …

risk-averse households. Deriving a complete solution of the optimization problem taking the intertemporal budget constraint … ambiguous effects w.r.t. to the impact of capital market risk as well as inflation risk, which is due to the interplay of … response to positive changes in inflation risk and capital market risk, respectively, with both effects lasting permanently. …

implications to risk-based asset allocation. Using a regime-switching model that controls for the economic effects of monetary … policy we identify three co-movement regimes. We document that risk-based portfolio strategies poorly perform in the low … high stock market risk and a very accommodating Fed policy. Less effectiveness is demonstrated under the positive …

eligible for inclusion in purchase programmes – took on more credit and liquidity risks than less exposed ones. Risk-taking was …

monetary policy on pension fund risk incentives in the United States. Using two structural vector autoregressive (VAR) models … between pen- sion fund risk-taking, low interest rates and the decline in Treasury yields across both well-funded and … underfunded public pension plans, which is thus consistent with a structural risk-shifting incentive …

unconventional monetary policy on pension fund risk incentives in the United States. Using two structural vector autoregressive (VAR … fund risk-taking, low interest rates and the decline in Treasury yields across both well-funded and underfunded public … pension plans, which is thus consistent with a structural risk-shifting incentive …

Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …