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

In the present work I derive the risk functions of 5 standard estimators for expected asset returns which are …-variance estimator, and the CAPM estimator. I resolve the question why it is meaningful to study the risk function in the context of … situations it is better to renounce parameter estimation altogether and pursue some trivial strategy such as the totally risk …

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity … returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on … from 47 developed and emerging market countries over a four-decade period. Our risk factor reflects changes in the cross …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between … choices of risk function (e.g. VaR vs CVaR); choice of return distribution (power law tail vs Gaussian) and choice of event … frequency, for risk assessment. We exploit this to provide a simple method for portfolio optimization when the asset returns …

Empirically, standard, intuitive measures of risk like volatility and beta do not generate a positive correlation with … average returns in most asset classes. It is possible that risk, however defined, is not positively related to return as an … highlighting the assumptions consistent with no risk premium. The key is that when agents are concerned about relative wealth, risk …

production of two outputs whose markets have not the same risk, our approach allows the project's cash flow to be discounted at a …

Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of … riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical … stock returns. Stocks in the lowest riskiness portfolio have economically and statistically higher risk-adjusted returns …

Inflation risk is greatest in times of national or global stress; inflation risk is a form of a “tail risk.” A … traditional portfolio of stocks and bonds is exposed to inflation risk. The specific nature of an investor's liabilities and … a core of commodities and TIPS, funded proportionally from return-seeking and risk-reducing assets; Add inflation …