We investigate the determinants of a household's decision on whether to invest in risky financial assets. Financial theory suggests that with increasing labor income risk, the reluctance of households to hold stocks increases. We propose to measure income risk as the observed variation of...

In this paper we perform a theoretical and econometric analysis of the fundamental drivers of gold. We demonstrate that gold is significantly influenced by inflation changes, interest rates, currency changes and central bank reserve policies. A key finding is that the influence of the drivers...

For the euro debt crisis, we assess the relevance of financial contagion from an investor perspective. We find that contagion, which we identify through the joint occurrence of extremely negative bond returns, has only small and transitory effects on broad government bond portfolios. For...

This paper analyzes and contrasts the diversification benefits of gold and the volatility index VIX from a financial and sustainability perspective. We operationalize sustainability by means of carbon emissions and show that the addition of gold or the VIX to a diversified equity portfolio can...

There is a large and growing literature on spillovers but no study that systematically evaluates the importance of spillovers for portfolio management. This paper provides such an analysis and demonstrates that spillovers are fully embedded in estimates of expected returns, variances, and...