a simple extension of the long-run risk model … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …

that arrive from outside the system. The combination of risk-sensitive behavior rules and the coordinated actions implied … Gaussian. We illustrate such endogenous extreme events through the pricing density resulting from dynamic hedging of options …

variation in home price shocks, and local indices add 3-7% more. In an index hedging framework, homeowners should be willing to …

systematic risk is highly nonlinear in extreme scenarios-especially during the subprime crisis. We find that countercyclical …-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk. Our results … suggest that the hedge fund strategies' betas respond more to illiquidity uncertainty than to illiquidity risk during crises …