beta co-moves with market variance and the stochastic discount factor (SDF), beta risk is priced, and the expected return … model on equity and option data, we find that beta risk explains expected returns on low- and high-beta stocks, resolving … on a stock deviates from the security market line. The model predicts that low-beta stocks earn high returns because …

demand arise as a risk factor. Motivated by theory, we use shocks to the ratio of residential-to-aggregate investment to … capture the housing demand risk. The single-factor model exhibits strong explanatory power for expected returns across various … equity characteristic-sorted portfolios and non-equity asset classes with positive risk price estimates that are similar in …

-order risk-seeking SD (RSD) alone for any two prospects is not sufficient to imply Omega ratio dominance insofar that the Omega … ratio of one asset is always greater than that of the other one. We extend the theory of risk measures by proving that the … preference of second-order SD implies the preference of the corresponding Omega ratios only when the return threshold is less …

expected force). To improve riskreturn characteristics of well-known return maximization and risk minimization benchmark … notably, risk and left-tail risk-adjusted returns. Resolving portfolio model selection uncertainties further improves risk-return … network-based asset allocation strategies improve key portfolio return characteristics in an out-of-sample framework, most …

nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange … hedging strategy using only the NFNE futures. This shows the importance of hedging the global equity systematic risk of stock …

risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the … jointly satisfy three natural fairness requirements for allocating risk capital in illiquid markets: Core Compatibility, Equal … Treatment Property and Strong Monotonicity. Core Compatibility can be viewed as the allocated risk to each coalition (subset) of …

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … financial entity may have to liquidate part of its assets, which is costly. The definition of a risk allocation game under …

exists differ substantially. This article compares risk and returns for regular and lump-sum investors for all possible … risk of negative returns disappears for horizons that are six years shorter. Increasing contributions deteriorate risk and … contributors may return five months earlier to the stock market than lump-sum investors. …