This paper studies the pricing of long and short run variance and correlation risk. The predictive power of the market variance risk premium for returns is driven by the correlation risk premium and the systematic part of individual variance premia. Furthermore, I find that aggregate volatility...

We propose a novel approach for measuring the impact of climate change on long-horizon equity risk and optimal portfolio choice. Our method combines historical data about the impact of climate change on return dynamics with prior beliefs elicited from the temperature long-run risk (LRR-T) model...