We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

an institutional investor´s portfolio taking into account differences in investment style and risk aversion …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

might lead to seemingly U-shaped relative risk aversion for a representative investor, as found empirically by Ait …-Sahilia and Lo (2000) and Jackwerth (2000). -- Portfolio choice ; Derived relative risk aversion ; Additive background risk … ; Multiplicative background risk …

In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …-variance estimator, and the CAPM estimator. I resolve the question why it is meaningful to study the risk function in the context of … situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk …

risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a … methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement … applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios …

This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security …