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

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …

A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal … implicitly. In accordance with Basel III, this paper shows that the tendency of default is more governed by systematic risk … rather than idiosyncratic risk during a hectic period. Among the models considered, the one with random factor loading and a …

approach yields better risk-adjusted returns as well as probabilistic Sharpe ratios compared to MV specifications. However …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a …

studies have shown and translate into substantial utility gains from the perspective of an investor with pronounced risk …