and practitioners account for risk more explicitly. We develop risk adjusted growth portfolio and discuss how to implement …

-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The … GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute … the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that …

performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …

Perfect consumption risk sharing requires both, frictionless goods as well as frictionless financial market integration …. This project aims at analyzing the consequences of both type of frictions for the allocation of risk across countries in a … consumption risk sharing depending on the nature of the underlying shock. …

Before the 2007-09 crisis, standard risk measurement methods substantially underestimated the threat to the financial … generating systemic risk during the crisis. …

This paper shows how risk may aggravate fluctuations in economies with imperfect insurance and multiple assets. A two … period job matching model is studied, in which risk averse agents act both as workers and as entrepreneurs. They choose … unique under full insurance. If investment is fully insured but unemployment risk is uninsured, the precautionary saving …

covariance matrix implied by the long-run risk model of Bansal and Yaron (2004). Comparing the optimal allocations of investors … using the longrun risk VAR versus an unrestricted reduced-form VAR reveals stark differences in portfolio strategies. Long …-run risk investors are quite conservative relative to reduced-form investors due to intertemporal hedging concerns. Despite the …