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

We study how retail savings products can share market risk across investor cohorts, thereby completing financial … to individually sub-optimal decisions, improves risk sharing by allowing inter-cohort risk sharing …

This paper identifies the risk and risk-adjusted return determinants of US insurers. We find that the significant firm …-specific determinants for risk and risk-adjusted return vary slightly for the risk proxy and risk-adjusted return proxy used, and the types … to both total risk and systematic risk; in addition, size is positively related to systematic risk. Profitability and …

pricing kernel with all underlying risk factors, we decompose the expected stock return into four risk premiums related to the …

expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside … protection when the benchmark performs poorly and thus they should integrate a form of downside risk control. We propose a …, the control of the downside risk is carried out through the presence of a floor benchmark with respect to which we can …

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse …