This article studies the inflation-protection qualities of cash, bonds, stocks, and direct real estate, and the optimal inflation-protecting asset allocations within a downside risk framework. Using a value-at-risk model to capture predictable price dynamics, the authors find that the...

This paper investigates how the nature of risk changes as investment horizon lengthens, and what it means for investors. Accumulated wealth is analyzed in terms of four drivers: expected return, cash flow innovations, discount rate innovations, and reinvestment rates. This perspective highlights...

We infer which risk model investors use by looking at their capital allocation decisions. We find that investors adjust for risk using the beta of the Capital Asset Pricing Model (CAPM). Extensions to the CAPM perform poorly, implying that they do not help explain how investors measure risk

Climate change is happening fast and may have a large impact on investment values. The growing debate about fossil fuel divestment is a signal that investors are slowly waking up to this threat, but long-term investors must do much more if they are to avoid material damage to the value of their...

As society looks increasingly at investors to take responsibility for events occurring at investee companies, corporate misbehaviour may spill over and damage the investor's reputation. In this paper, we explore the consequences this phenomenon might have for traditional portfolio construction...