uncertainty and risk, as they indicate that uncertainty-averse investors demand a premium for owning stocks with negative βEPU … EPU being an economically priced and distinct risk factor for equities on an international scale …

substantial wealth relative to consumption demands, sequence of returns risk is operative throughout retirement. We explore, in an … asset-liability modeling context, the reasons why sequence risk exists throughout the planning horizon and why it can be … particularly acute at the end of an investor's life span. Given the nature of this risk, prudent asset management benefits from …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

adjusted to its risk. We summarize market liquidity by two major characteristics: a costly one because of the loss of … indicators are proposed to integrate, to a certain extent, market liquidity risk, especially for hedge funds investment … strategies according to their liquidity profile: do they want to capture illiquidity risk premium? Do they want to be free to …

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …

the end of June 2009. Since hedge funds have been marketed to investors as risk diversifiers in addition to being return …

alpha, in line with our theoretical predictions. Finally, we estimate a significant negative illiquidity risk premium that …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …