in this equation, has been used to gain insights into exchange rate determination, foreign exchange risk premia, and … international risk sharing. We argue that, in fact, this equation is of limited usefulness. By itself, the asset market view does … incomplete asset markets, measures of agents' marginal utility growths, and international risk sharing, cannot be based on asset …

Most of the international macro models, in contrast to the data, imply a very high level of risk sharing across …

We show that the probability of risk parity beating any other portfolio is more than 50 percent. We also prove that if … portfolio performance is measured by Sharpe ratio, risk parity is the only maximin portfolio when (1) all assets' future Sharpe … assets' future Sharpe ratios is greater than some constant. If portfolio performance is measured by expected return, risk …

A recent popular approach to portfolio selection aims at diversifying risk by looking for the so called Risk Parity … portfolios. These are defined by the condition that the risk contributions of all assets to the global risk of the portfolio are … equal. The Risk Parity approach has been originally introduced for the volatility risk measure. In this paper we consider …

average risk tolerance across investors. The same constant applies to every real foreign investment held by every investor … market risk premia, an average of world market volatilities, and an average of exchange rate volatilities, where we take the … exchange risk approaches zero, the constant will be equal to one minus the ratio of the variance of the world market return to …

because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two … demonstrated that the ability to share risk across countries in the fixed rate regime does not necessarily lead to higher welfare … than the inability to share risk in the flexible rate regime …

because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two … demonstrated that the ability to share risk across countries in the fixed rate regime does not necessarily lead to higher welfare … than the inability to share risk in the flexible rate regime …