The risk of financial ruin during retirement plays a critical role in the formation of equity premiums. Retirees … supply side, for retirees who seek to reduce the risk to outlive their money, the average asset-weighted risk-neutral equity … premium, proved to be around 8%. On the demand side, risk adjustments may be done using the traditional utility-based and …

REITs' idiosyncratic risk and their cross-sectional expected returns between 1981 and 2010. In addition to the full sample … models. Overall, we document a negative relation between idiosyncratic risk and cross-sectional expected returns and …

I propose a simple time-series risk measure in trading stock market anomalies, CoAnomaly, the time-varying average …, CoAnomaly carries a negative price of risk. These return patterns suggest that arbitrageurs take the time-varying correlation …

This paper examines the extent to which idiosyncratic risk measures explain cross-sectional differences in hedge fund … momentum effects. Idiosyncratic risk is a powerful factor in explaining the cross-sectional variation in hedge fund returns …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … no significant relationship. After controlling for a large set of fund characteristics and risk factors considered in … statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge …

Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of … expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular … investment model after the global financial crisis in 2008. However, risk parity has also been criticized because it focuses on …

We propose a new measure of time-varying tail risk that is directly estimable from the cross section of returns. We … exploit firm-level price crashes every month to identify common fluctuations in tail risk across stocks. Our tail measure is … significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …

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 …

This paper estimates hedge fund and mutual fund exposure to newly proposed measures of macroeconomic risk that are … no significant relationship. After controlling for a large set of fund characteristics and risk factors considered in … statistically significant. Hence, we argue that macroeconomic risk is a powerful determinant of cross-sectional differences in hedge …