, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure … investment returns and risk, provide an attractive and effective alternative to traditional guaranteed life annuity products …. While longevity risk sharing in pooled annuities has received recent attention, incorporating investment risk beyond fixed …

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

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and … beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 … discontinuous betas in portfolios of stocks as the number of holdings increase. We show that discontinuous risk dissipates faster …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

only on a covariance matrix are ambiguous because in such a risk setting only the overall portfolio variance is of any …

delivers higher risk-adjusted returns compared to the volatility-targeting strategy, and that it successfully caps the realized …