This paper considers the risk management problem of an investor who holds a diversified portfolio of global equities or … bonds and chooses long or short positions in currencies to manage the risk of the total portfolio. Over the period 1975 …-2005, we find that a risk-minimizing global equity investor should short the Australian dollar, Canadian dollar, Japanese yen …

The relationship between risk in the environment, risk aversion and inequality aversion is not well understood … with varying degrees of risk (“endowment risk”) influence individual behavior. We derive theoretical predictions for these … games using utility functions that capture additively separable constant relative risk aversion and inequity aversion. We …