I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices … cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess …

equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …), discounted at that rate, and multiplied by the aggregate risk aversion. The stock price volatility is equal to the market price … of DDV plus a volatility risk premium. In particular, stock price volatility is larger than the dividend volatility if …

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 …, while reducing pooled annuity income volatility and downside risk, as well as an investment strategy that reduces exposure …

According to recent research, diversification across risk factors (or investment styles) proves to be more efficient … worthwhile to combine risk factors in a dynamic manner, in a process that we call Dynamic Risk Allocation (DRA). Building a DRA … process.Our main finding is that risk factor allocation largely replaces traditional global equity and bond market premiums as …

Inter-temporal risk parity is a strategy that rebalances risky assets and cash in order to target a constant level of … ex-ante risk over time. When applied to equities and compared to a buy-and-hold portfolio it is known to improve the … Sharpe ratio and reduce drawdowns. We apply inter-temporal risk parity strategies to factor investing, namely value and …

horizons. We claim that the commonly employed variance ratio is not capable of exclusively determining whether investment risk …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be …