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 …

In this paper we examine risk-return trade-off of investing in Latin American emerging stock markets. In particular … high returns for a relatively low level of risk when combined into a portfolio of Canadian shares. Optimal portfolios were … derived based on historic (ex-post) observations and evaluated utilizing the mean return per unit of risk (MRPUR) performance …

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 …

systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk … effect is robust to alternative portfolio sorts based on the well-established risk factors as well as industry portfolios. We … that end, return dispersion serves as a more meaningful proxy for risk in this emerging market that has experienced a …

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

subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation … ambiguity premium and risk premium demonstrate that a decrease in ambiguity premium on volatility gives rise to an increase in …

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both … can be attributed to compensation for bearing a varying default risk and term risk. This paper shows that the change in … controlling for risk characteristics such as duration and yield-to-maturity.This paper also documents the integration of the …

asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …