volatility predictor, the results of an application to tactical asset allocation are presented. -- Multivariate GARCH ; forecast …

equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …), discounted at that rate, and multiplied by the aggregate risk aversion. The stock price volatility is equal to the market price … of DDV plus a volatility risk premium. In particular, stock price volatility is larger than the dividend volatility if …

main result is that wealth can be grown from volatility. Our findings demonstrate the benefits of active portfolio …

shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility … heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study …

risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is …

individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …