positions for a wide range of parameter values, even if agents have an incentive to hedge labor income risk by purchasing …

Kapitalanlagemöglichkeiten, die damit beworben werden, dass sie kaum systematisches Risiko beinhalten und damit eine Art Hedgewirkung entfalten …

-currency-denominated risk-free asset prohibits these mechanisms from breaking the pattern consistent with complete markets. In this paper, we … characterize how goods markets drive exchange rate cyclicality, taking into account trade in risk-free and/or risky assets. We show … that goods-market mechanisms come back into play, even when there is cross-border trade in two risk-free assets, as long as …

formulation is the traditional LFM, where the estimation of risk premia and alphas is performed by means of a cross … excess returns. This formulation requires only time-series regressions for the estimation of risk premia and alphas. We … statistics. Our results show that when estimating risk premia and testing multi-beta models, the LFM* formulation should be …

Reliable estimates of variances and covariances are crucial for portfolio management and risk controlling. This paper …. Most importantly, we investigate the quality of these estimators directly in the context of portfolio applications and risk … diversification benefits without diluting this evaluation by any concept aiming to forecast returns. As an additional benchmark we …

any single European country is based on the well known portfolio diversification principle. Econometric estimates of …