risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Oil futures … aggregate outcomes. However, the option-implied tail risk premia are not spanned by traditional macroeconomic and oil market …

The estimation of systematic risk (or 'beta') in central to the implementation of the Capital Asset Pricing Model and …

economics and their connection to risk and uncertainty. Risk-neutral valuation, a direct consequence of Black-Scholes model …, restricts the range of individual and subjective uncertainty by putting a price on replicable risk, thereby conferring to modern …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading …