major disaster region underweight disaster zone stocks to a much greater degree than distant managers and that this aversion … to disaster zone stocks is related to a salience bias that decreases over time and distance from the disaster, rather …

integration has risen. In standard theory, greater financial integration facilitates international borrowing and lending, helping …

Risk parity has been considered a heuristic asset allocation method. In this paper, we show that, to the contrary, risk … parity is a special case of a mean-risk type of a portfolio optimization problem with log-regularization to constrain weights … unconstrained mean-risk portfolio and a risk parity (or risk budgeted in general) portfolio. We also demonstrate in a Bayesian …

We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the … market by combining the framework of Bali, Demirtas, and Levy (2009) with a Markov switching mechanism. We show that the risk … periods of market turbulence. This is puzzling since it is during such periods that downside risk should be most prominent. We …

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 …

portfolios that help mitigating climate change risk but at the same time enable harvesting well-established return drivers such …

optimal policy balance in the context of catastrophic climate risk. The analysis uses the WITCH integrated assessment model … with a module that models the endogenous risk of experiencing an economic catastrophe if temperature increases above a … certain threshold. We find that the risk of a catastrophic outcome would encourage countries to reduce emissions even in the …

insurance may help realize the goal of mitigating catastrophe risk and the following losses. I explore five regulatory tools … — risk-based pricing, contract design, loss prevention services, claim management, and refusal to insure — used by … could have a significant effect on risk mitigation. Finally, I discuss the possibility and feasibility of regulation by …