Information risk is an endogenous element of the market dynamics that can be independent from contingent levels of … market efficiency. Being structural, it may require to be remunerated by a specific risk premia or by returns from specific … portfolio strategies. Drivers of information risk are detected applying an original model developed by the Author to the case of …

extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic … global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact …

-parameter distribution. It is possible to define Risk and Return as a generic function of these two parameters. This paper determines the … Differential Conditions for the definitions of Risk and Return that maintain the Risk Aversion property in the 3D space of the Risk …The condition of Risk Aversion implies that the Utility Function must be concave. Taking into account the dependence of …

manipulation of aggregate risk, we separately test the price and choice implications of our theory. Consistent with our theory, we … of price-sensitive agents increases when there is no aggregate risk, and iii) price-insensitive agents tend to trade to … more balanced portfolios when there is aggregate risk …

, straddles in the market portfolio is shown to increase the expected utility of any risk averse investor and also increase the …

implicit in the Risk Premium Valuation Model (Hassett 2010) that the equity risk premium is a function of risk free rates …. Since 1960 the equity risk premium has been 1.9-2.48 times the risk free rate. The long term consistency of this …

of the Utility Function on the return that has any type of two-parameter distribution; it is possible to define Risk and …The condition of Risk Aversion implies that the Utility Function must be concave. We take into account the dependence … Target, the former may be the Standard Deviation of the return, and the latter is usually the Expected value of the return …

the NASDAQ and NYSE stock exchange from September 1977 to December 2014.The paper "Rational Learning for Risk …