of risk aversion, realistic investment constraints, and transaction costs. Interestingly, the BL approach is well suited …

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

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both … can be attributed to compensation for bearing a varying default risk and term risk. This paper shows that the change in … controlling for risk characteristics such as duration and yield-to-maturity.This paper also documents the integration of the …

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …

To explore how portfolio allocations among equities, fixed income securities, and cash are impacted by investors' risk …

-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model …

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

expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The … on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …