We explore the benefits of intergenerational risk-sharing through both private funded pensions and via the public debt …

arising from a fund's assets, investor risk reflecting the likelihood that a fund's shareholders will redeem shares … disruptively, and sponsor risk due to uncertainty about MMF sponsors' support for distressed funds. I find that during the run on … three types of risk. In contrast, as the asset-backed commercial paper (ABCP) crisis unfolded in 2007, many MMFs suffered …

/09 another way to deal with diversification came up, that is equally-weighted risk contribution portfolio. This kind of procedure … leads not to equalize the portfolio weights but the risk weights. The only thing to understand is how we can measure risk …. While many authors focus on volatility, in this paper we shall present an alternative and coherent risk measure, that is …

Government-issued longevity bonds would allow longevity risk to be shared efficiently and fairly between generations …. In exchange for paying a longevity risk premium, the current generation of retirees can look to future generations to … hedge their aggregate longevity risk. There are also wider social benefits. Longevity bonds will lead to a more secure …

Inflation risk is greatest in times of national or global stress; inflation risk is a form of a “tail risk.” A … traditional portfolio of stocks and bonds is exposed to inflation risk. The specific nature of an investor's liabilities and … a core of commodities and TIPS, funded proportionally from return-seeking and risk-reducing assets; Add inflation …

of traditional finance theory. Even after controlling for market segmentation and “investability” of foreign markets … market uncertainty. My empirical hypotheses are based on a psychological theory that relates uncertainty in the markets to … increases in investors' risk aversion which in turn increases investors' proneness to familiarity bias. I hypothesize that …

study how these endogenous effects influence traditional measures of risk-adjusted performance. We show that structural …

performance fees even though these funds may be more expensive. According to agency theory, performance fees could incentivize … managers to achieve better returns, but they could also result in excessive risk taking. While we find evidence that these … Prospect Theory preferences can help explain the emergence of certain financial products beyond other "classical" explanations …

I solve in closed form for the optimal dynamic risk choice of a fund manager who is compensated with a high-water mark … contract. The optimal risk choice depends on the ratio of the fund's assets under management to its high-water mark. If the … risk taking, though in many cases exercise is never optimal. In particular, leaving to restart at a proportionally smaller …