critical question of when to employ leverage and when to reduce risk, though, is not often addressed. We establish that … better absolute and risk-adjusted returns than a comparable buy and hold unleveraged strategy as well as a constant leverage …

variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns …

many strong assumptions that are indispensable to the model such as the monotone likelihood ratio property (MLRP), risk …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

uncertainty and risk, as they indicate that uncertainty-averse investors demand a premium for owning stocks with negative βEPU … EPU being an economically priced and distinct risk factor for equities on an international scale …