implementation of the ICAPM, which captures market risk and intertemporal risk (i.e., changes in long-term expected returns and … volatility). We build our intertemporal risk factors as mimicking portfolios for changes in dividend yield and realized … volatility and demonstrate that, ex-post, they capture news to long-term expected returns and volatility. Our estimated risk …

make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely … the risk of funding shortfall. We seek to explore the optimal asset allocation strategies for such institutions, the … effects of funding shortfall risk on asset prices, and its ability to explain any empirical asset pricing regularities that …

higher degree of downside risk. To hedge against that specific risk, investors could buy put options. However, the … short selling the underlying security, i.e. transfer risk to a third party, something not properly developed in the domestic … necessary, in this paper we show the point calculating protection against downside risk in the Argentinean stock market, using …

extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic … global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact …

In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making … associated risk of shares, and of the portfolio of the shares. The illustrations of tables and figures can significantly … contribute to the understanding of a reader in relation to portfolio management of risk and returns. The illustrative table and …

The possibility to minimize volatility of the systematic risk while maximizing returns, is the use of an optimized buy … investments in leveraged portfolios also. The approach seems to modify the meaning of "nondiversifiable-risk" of the market risk …

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …

condition of efficient markets, it is shown under the mean-variance CAPM that information which makes the future value of a firm …

correlated assets. As investors shift attention from firms towards systematic risk factors, stock prices become less informative …, increasing systematic uncertainty and incentivizing learning about the systematic risk. This learning complementarity leads to … risk concentration …

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