portfolio weights. In order to fulfil this gap we answer three questions: which is the minimum risk premium that justifies … definition of crossed beta and the net risk premium ratio that stems from it. The latter fulfils the axioms of risk …/reward performance measures. The three answers to the questions are related to the net risk premium. The analysis in developed for the …

addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider … time-varying relations because investors' risk-aversion may change over time, based upon changing economic states. Moreover … identify that the relations between risk and return vary over time, and the risk-aversion parameters on momentum and value …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not …

This paper outlines and applies a methodology for estimating and examining the variation in risk and return for … individual homes. This is important because most households own individual properties and the risk and return profile of each of … and much lower risk. This gave them a far superior Sharpe ratio. Moreover, while we find that shares benefit to a greater …

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 …

. Bai, Liu, and Wong (2009) propose a bootstrap-corrected estimator to correct the overestimation, but there is no closed … better than the bootstrap-corrected estimators for both the optimal return and its corresponding allocation. Another … advantage of our improved estimation of returns is that we can also obtain an explicit formula for the standard deviation of the …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic … risk are priced in an international capital asset pricing model (ICAPM). The paper also tests if the price of risk …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …

decile generate 6% more annualized risk-adjusted return compared to stocks in the highest uncertainty beta decile. We find …